Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)

In forceVersion 2014-04-16from 2014-01-01

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Contents

Preamble
CHAPTER 1 SUBJECT MATTER AND SCOPE
1. Article 1 Subject matter and scope
CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS
1. Article 2 Reporting reference dates
2. Article 3 Reporting remittance dates
3. Article 4 Reporting thresholds — entry and exit criteria
CHAPTER 3 FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION
SECTION 1 Format and frequency of reporting on own funds and own funds requirements
1. Article 5 Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013
2. Article 6 Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013
3. Article 7 Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis
4. Article 8 Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis
SECTION 2 Format and frequency of reporting on financial information on a consolidated basis
1. Article 9 Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis
2. Article 10 Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013
3. Article 11 Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis
CHAPTER 4 FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013
1. Article 12
CHAPTER 5 FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. Article 13
CHAPTER 6 FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. Article 14
CHAPTER 7 FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS
1. Article 15 Format and frequency of reporting on liquidity coverage requirement
2. Article 16 Format and frequency of reporting on stable funding
CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES
1. Article 17
CHAPTER 9 TRANSITIONAL AND FINAL PROVISIONS
1. Article 18 Transitional period
2. Article 19 Entry into Force
ANNEX
ANNEX I C 01.00 — OWN FUNDS (CA1) C 02.00 — OWN FUNDS REQUIREMENTS (CA2) C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) C 04.00 — MEMORANDUM ITEMS (CA4) C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3) C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1) C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2) C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details) C 16.00 — OPERATIONAL RISK (OPR) C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details) C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 1.2.3.4.5.6.7.8.9.10. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM) C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA) REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS SA Exposure class IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: Country: Country: Country: Currency: National market:
ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
PART I GENERAL INSTRUCTIONS
1.
1.1.1. a)
1.2.4.5.6.7.8.
PART II TEMPLATE RELATED INSTRUCTIONS
1.
1.1.10.11.12.13.14.
1.1.10. a)
1.1.10.11.12.13. a)
1.2.
1.2.1.
1.3.
1.3.1.
1.4.
1.4.1.
CET1 capital ratio including Pillar II adjustments
Target CET1 capital ratio due to Pillar II adjustments
T1 capital ratio including Pillar II adjustments
Target T1 capital ratio due to Pillar II adjustments
1.5.
1.5.1.
12.1.1 a)
13.1.1 a)
14.1.1 a)
15.1.1 a)
16.1.1 a)
17.1.1 a)
1.6.
1.6.1.15.16.17.18.19.
1.6.1.15.16. a.
1.6.2.20.21.22.23.24.
1.6.2.1. Adjustments included in RWAs
1.3.3
1.6.3.26.
1.6.3.1. Amount of instruments plus related share premium
2.
2.1.27. a)
2.3.31.32.33.34.35.36.37.
2.4. ENTITIES WITHIN SCOPE OF CONSOLIDATION
Reporting of fixed overheads of investment firms:
TIER 2 CAPITAL
3.
3.1.38.
3.1.1.39.40.41.42.43.44.45.
3.2.
3.2.1.47. a)
3.2.2.48.49.50.51.52.53.54.55.56.57.
3.2.2.48.49.50. a)
3.2.2.48.49.50.51. a)
3.2.2.48.49.50.51.52.53.54. a)
3.2.3.58.59.60.61.62.63.64.65.66.67.
3.2.3.58. a)
3.2.3.58.59.60.61.62.63.64.
3.2.4.
3.2.4.1.68.69.70.
3.2.4.2.71.72.
3.2.5. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
3.3.
3.3.1.74.75.76.77.
3.3.1.74. i.
3.3.1.74.75.76. i.
3.3.2.78.
3.3.3.
3.3.3.1 INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
3.4.79.80.81.
3.4.1.
3.4.1.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
3.4.2.
3.4.2.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
3.4.3.
3.4.3.1.82.83.84.
3.4.3.1.82. a)
3.4.3.2. Own funds requirements for credit risk
3.5.
3.5.1.85.86.87.88.89.90.
3.5.1.85.86.87. a)
3.5.2. INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%)
3.5.2.91. PD/LGD APRROACH: TOTAL
3.6.
3.6.1.92.93.94.95.96.97.98.
3.6.2. UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
3.7.
3.7.1.99.100.
3.7.2.101.102.
3.7.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
1250 % (UNRATED)
3.8.
3.8.1.103.104.105.
3.8.2.106.107.
3.8.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
3.9.
3.9.1.108.109.110.111.112.
3.9.1.108.109. a.
3.9.2. INTERNAL CODE
4.
4.1.
4.1.1.113.114.115.116.117.118.
4.1.2. RELEVANT INDICATOR
4.2.
4.2.1.119.120.121.122.123.124.
4.2.2. EVENT TYPES
5.125.126.
5.1.
5.1.1.127.128.
5.1.2. ALL POSITIONS (LONG AND SHORT)
5.2.
5.2.1.129.130.131.
5.2.2. ALL POSITIONS (LONG AND SHORT)
5.3.
5.3.1.132.133.134.135.
5.3.2. ALL POSITIONS (LONG AND SHORT)
5.4.
5.4.1.136.137.
5.4.2. ALL POSITIONS (LONG AND SHORT)
5.5.
5.5.1.138.139.
5.5.2. CURRENCY
5.6.
5.6.2. All POSITIONS (LONG AND SHORT)
5.7.
5.7.1.141.142.
5.7.2. VaR
12 weeks average measure
12 WEEKS AVERAGE MEASURE AND LAST MEASURE
5.8.
5.8.1. Exposure value
ANNEX III REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
1.
4.
8.
9.
11.
13.
16.
17.
20.
22.
30.
31.
40.
41.
44.
45.
ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
1.
4.
6.ABCDEFGHIJLMNOPQRS
8.
9.
11.
13.
16.
17.
20.
22.
30.
31.
40.
41.
44
45
ANNEX V REPORTING ON FINANCIAL INFORMATION
PART 1 GENERAL INSTRUCTIONS
1.1.2.3.
1.1.2.3.4.
2.5.6.7.8.9.10. Table 1 Credit/debit convention, positive and negative signs
3.11.
4.
4.1.12.13.14.15.16.17.18.19.
4.1.12.13.
4.1.12.13.14.
4.2.20.21.22.23.
4.2.20.
4.2.20.21.
5.
5.1.24.25.26.27.
5.2.28.29.30.31.32.33.34.
6.35.
PART 2 TEMPLATE RELATED INSTRUCTIONS
1.
1.1.1.2.3.4.5.6.
1.2.7.8.9.10.11.12.
1.3.13.14.15.16.17.18.19.20.
2.21.22.23.24.25.26.27.28.29.30.
2.21.22.
4.32.33.34.35.36.37.38.39.40.
5.41.
6.42.43.44.45.46.
7.47.48.49.50.
8.51.52.53.54.
8.51.52.
9.55.56.57.58.59.60.61.62.63.
9.55.56.57.
9.55.56.57.58.
9.55.56.57.58.59.
9.55.56.57.58.59.60.
10.64.65.66.
10.1.67.
10.1.67.68.
10.2.69.70.71.72.
10.2.69.70.
10.4.75.
12.
12.1.79.80.81.82.
12.1.79.80.81.
14.88.89.90.91.92.93.
14.88.89.90.91.
15.94.
15.4.99.
16.103.104.105.106.
17.107.108.109.
19.112.
19.1.113.114.115.116.
19.1.113.
19.2.117.
21.119.120.
21.2.122.
22.123.
22.1.124.
22.2.125.
23.
23.3.128.129.130.
26.134.
26.1.135.136.
26.2.137.138.
26.3.139.
27.
27.2.141.142.143.
PART 3 1. Table 2 (a)(1)(2)(b)(2)(c)(2)(d)(3)(e)(2)(f)(3)(4)(g)(2)(4)(5)(6)(h)(4)(5)(6)(i)(2)(3)(4)(5)(6)(j)(1)(2)(3)(4)(5)(6)(ja)(1)(2)(3)(4)(5)(6)(k)(3)(4)(5)(l)(2)(3)(4)(5)(6)(m)(3)(4)(5)(n)(o)(p) Table 3 (a)(1)(2)(3)(b)(2)(3)(4)(c)(4)(5)(6)(d)(4)(5)(6)(e)(f)(2)(3)(4)(5)(6)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach
ANNEX VI C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES) REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY Country:
ANNEX VII INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY
3.10. a)
4.11.12.13.14.15.
4.11.12.13. a)
5. Sum of losses stemming from lending up to the reference percentages
ANNEX VIII LARGE EXPOSURES TEMPLATES C 26.00 — Large Exposures limits (LE Limits) C 27.00 — Identification of the counterparty (LE 1) C 28.00 — Exposures in the non-trading and trading book (LE 2) C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3) C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4) C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5) TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
PART I GENERAL INSTRUCTIONS
1.1.2.3.4.5.6.7.
1.1. a.
PART II TEMPLATE RELATED INSTRUCTIONS
1.1.2.3.4.5.6.7.
2.8.9. a.
3.11.12.13.14.15.16.17.18.19.20.
3.11.12.13.14.15.16. a.
4.
4.1. Non institutions
5.
5.1. Counterparty Identification:
6.
6.1. Code
7.
7.1. Code
8.
8.1. Code
9.
9.1. Code
ANNEX X C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2) C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3) C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) C 44.00 - GENERAL INFORMATION (LR5) C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc) C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6) REPORTING ON LEVERAGE
ANNEX XI REPORTING ON LEVERAGE
PART I GENERAL INSTRUCTIONS
1.
PART II TEMPLATE RELATED INSTRUCTIONS
2.4.5.6.7.8.9.10.11.12.13.
3.14.15.16.17.18.19.20.21.22.23.
4.24.25.26. SFTs exposure according to CRR 220
Tier 1 capital — fully phased-in definition
5.27.28. Derivatives — Accounting balance sheet value
6.29.30.31. Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight)
> 0 % and ≤ 12 %
> 12 % and ≤ 20 %
> 20 % and ≤ 50 %
> 50 % and ≤ 75 %
> 75 % and ≤ 100 %
> 100 % and ≤ 425 %
> 425 % and ≤ 1250 %
7.32. Common Equity Tier One — fully phased-in definition
8.33.34. Off-balance sheet items; of which

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, and in particular the fourth subparagraph of Article 99(5); the fourth subparagraph of Article 99(6); the third subparagraph of Article 101(4); the third subparagraph of Article 394(4); the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,

Whereas:

(1) Without prejudice to the competent authorities' powers under Article 104 (1) (j) of Directive 2013/36/EU of the European Parliament and of the Council, with a view to increasing efficiency and reducing the administrative burden, a coherent reporting framework should be established on the basis of a harmonised set of standards.

(2) The provisions in this Regulation are closely linked, since they deal with institutions' reporting requirements. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all related implementing technical standards required by Regulation (EU) No 575/2013 in a single Regulation.

(3) The nature and complexity of institutions' activities such as trading book or non-trading book and approaches used for credit risk determine the extent of the actual reporting obligations of institutions. In addition, and in accordance with Article 99 (5) of Regulation (EU) No 575/2013, the reporting burden to institutions should be proportionate and reduced frequencies of reporting of certain templates should be introduced. Further, in order to take into account the nature, scale and complexity of institutions, template-specific materiality thresholds, should be introduced before certain reporting requirements are triggered.

(4) Where reporting requirements are based on quantitative thresholds, in order to ensure a smooth transition to common supervisory reporting, template-specific entry and exit criteria should be introduced.

(5) Institutions applying an accounting year that is different from the calendar year should be allowed to adjust reporting reference dates and remittance dates for reporting financial information, in order to alleviate, for such institutions, the burden of preparing the accounts for two different periods.

(6) Financial information covers information on institutions' financial situation and potential systemic risks. The basic information on the financial situation is complemented with more detailed breakdowns to provide supervisors with information on risks of different activities. Institutions should therefore provide granular and uniform data especially on geographical and sectoral breakdowns and significant counterparties of exposures and funding in order to provide supervisory authorities with information on potential concentrations and build-ups of systemic risks.

(7) In order to ensure consistency and comparability of information, where competent authorities require institutions to report information on own funds by using International Financial Reporting Standards (IFRS), as applicable under Regulation (EC) No 1606/2002 of the European Parliament and of the Council, and extends this reporting requirement also to the reporting of financial information, institutions should report financial information in a manner similar to that of institutions preparing their consolidated accounts using IFRS, as applicable under Regulation (EC) No 1606/2002.

(8) Similarly, in order to ensure consistency and comparability of information, where competent authorities require institutions using national accounting standards to report financial information by virtue of Article 99 (6), these institutions should report financial information in a manner similar to that of institutions using IFRS, as applicable under Regulation (EC) No 1606/2002, for reporting adjusted based on national accounting standards.

(9) As there is a multitude of different reporting requirements at national and Union level for purposes other than those established by Regulation (EU) No 575/2013, such as statistical data, monetary data, Pillar II data any rules on the common supervisory reporting can only be part of an overall reporting framework. Using one IT solution which applies to the overall reporting framework is more cost efficient compared to specifying different IT solutions for individual parts of that overall reporting framework. In order to avoid having to require institutions to report necessary information using one specific IT solution while applying other IT solutions for other reporting requirements, and with the view to avoiding unjustified implementation and operating costs, a Data Point Model and defined minimum precision requirements should be developed, so as to ensure that the different IT solutions in place produce harmonised data as well as reliable data quality. Further, in order to reduce the reporting burden for institutions, provided that the necessary requirements are fully met, competent authorities should be allowed to continue to define alternative presentations and data exchange formats currently also used for other reporting purposes. In that respect, competent authorities should be allowed to not require data points that can be derived from other data points included in the data point model, or data points referring to information that is already collected by the competent authority.

(10) Given the novelty of reporting requirements in some jurisdictions in relation to financial information and in relation to liquidity reporting requirements, and with the view to providing institutions with adequate time to implement those requirements in a manner that will produce data of high quality, a deferred application date should apply in relation to those reporting requirements.

(11) Given the first time application of common supervisory reporting in the Union and the need for institutions to adapt their reporting and IT systems to the common supervisory reporting requirements, institutions should have longer remittance dates for monthly reports during the first year of application of the common supervisory reporting.

(12) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.

(13) The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council,

HAS ADOPTED THIS REGULATION:

CHAPTER 1 SUBJECT MATTER AND SCOPE

Article 1 Subject matter and scope

This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:

(a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;

(b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;

(d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;

(e) Liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013.

CHAPTER 2 REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2 Reporting reference dates

1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates:

(a) Monthly reporting: on the last day of each month;

(b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December;

(d) Annual reporting: 31 December.

2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.

3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.

Article 3 Reporting remittance dates

1. Institutions shall submit information to competent authorities by close of business of the following remittance dates:

(a) Monthly reporting: 15th calendar day after the reporting reference date;

(b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February;

(d) Annual reporting: 11 February.

2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.

3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.

4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.

5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4 Reporting thresholds — entry and exit criteria

1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.

2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.

3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

CHAPTER 3 FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION

SECTION 1 Format and frequency of reporting on own funds and own funds requirements

Article 5 Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).

(a) Institutions shall submit the following information with a quarterly frequency:

(1) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II;

(2) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II;

(3) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II;

(4) the information on the geographical distribution of exposures by country as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II, where non-domestic original exposures in all non-domestic countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;

(5) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II;

(6) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II;

(7) the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II;

(8) the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II;

(9) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II;

(10) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II;

(11) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II.

(b) Institutions shall submit the following information with a semi-annual frequency:

(1) the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in Part II point 3.9 of Annex II;

(2) the information on material losses regarding operational risk in the following manner:

(a) institutions which calculate own funds requirements relating to operational risk according to Chapters 3 or 4 of Title III of Part 3 of Regulation (EU) No 575/2013 shall report this information as specified in template 17 of Annex I, according to the instructions in Part II point 4.2 of Annex II;

(b) institutions which calculate own funds requirements relating to operational risk according to Chapter 3 of Title III of Part 3 of Regulation (EU) No 575/2013 and whose ratio of their individual balance sheet total on the sum of individual balance sheet totals of all institutions within the same Member State is below 1 % may only report the information as specified in template 17 of Annex I according to the instructions in paragraph 124 of Part II of Annex II. Balance sheet total figures shall be based on year-end figures for the year before the year preceding the reporting reference date. The entry and exit criteria of Article 4 shall apply;

(c) institutions which calculate the own funds requirements relating to operational risk according to Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 are entirely exempted from reporting information referred to in template 17 of Annex I and point 4.2 of Part II of Annex II.

Article 6 Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:

(a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;

(b) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 7 Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis

1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.

2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.

Article 8 Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency;

(b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.

2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein;

(b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.

SECTION 2 Format and frequency of reporting on financial information on a consolidated basis

Article 9 Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2. The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a) the information specified in Part 1 of Annex III with a quarterly frequency;

(b) the information specified in Part 3 of Annex III with a semi-annual frequency;

(d) the information specified in template 20 in Part 2 of Annex III with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

(e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

Article 10 Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.

Article 11 Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis

1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2. The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a) the information specified in Part 1 of Annex IV with a quarterly frequency;

(b) the information specified in Part 3 of Annex IV with a semi-annual frequency;

(d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply;

(e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

(f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply;

CHAPTER 4 FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

Article 12

1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.

2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.

3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.

CHAPTER 5 FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 13

1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

CHAPTER 6 FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 14

1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.

2. The reporting of this data shall reflect the methodology applicable for the calculation of the leverage ratio, either as the simple arithmetic mean of monthly data over the quarter, as per Article 429(2) of Regulation (EU) No 575/2013, or, where competent authorities have exercised the derogation in Article 499 (3) of the Regulation (EU) No 575/2013, as end of quarter leverage ratio.

3. Institutions are required to report the information referred to in paragraph 22 of Part II of Annex XI in the next reporting period, if one of the following conditions is met: The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date

(a) the derivatives share referred to in paragraph 15 of Part II of Annex XI is more than 1,5 %;

(b) the derivatives share referred to in paragraph 15 of Part II of Annex XI exceeds 2,0 %.

4. Institutions for which the total notional value of derivatives as defined in paragraph 17 of Part II of Annex XI exceeds 10 billion € shall report the information referred to in paragraph 22 of Part II of Annex XI, even though their derivatives share does not fulfil the conditions described in paragraph 3. The entry criteria of Article 4 shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

5. Institutions are required to report the information referred to in paragraph 23 of Part II of Annex XI in the next reporting period where one of the following conditions is met: The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

(a) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI is more than EUR 300 million;

(b) the credit derivatives volume referred to in paragraph 18 of Part II of Annex XI exceeds EUR 500 million.

6. Where the threshold that is specified in paragraph 39 of Part II of Annex XI is in all cases not met, institutions shall be exempted from the requirement to report information as specified in paragraph 40 of Part II of Annex XI.

CHAPTER 7 FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 15 Format and frequency of reporting on liquidity coverage requirement

1. In order to report information on the liquidity coverage requirement according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

2. The information set out in Annex XII shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

Article 16 Format and frequency of reporting on stable funding

In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.

CHAPTER 8 IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

Article 17

1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definition included in the data point model specified in Annex XIV and the validation formulae specified in Annex XV as well as the following specifications:

(a) information that is not required or not applicable shall not be included in a data submission;

(b) numeric values shall be submitted as facts according to the following:

(a) data points with the data type Monetary shall be reported using a minimum precision equivalent to thousands of units;

(b) data points with the data type Percentage shall be expressed as per unit with a minimum precision equivalent to four decimals;

2. The data submitted by the institutions shall be associated with the following information:

(a) reporting reference date and reference period;

(b) reporting currency;

(d) identifier of the reporting institution;

(e) level of application as individual or consolidated.

CHAPTER 9 TRANSITIONAL AND FINAL PROVISIONS

Article 18 Transitional period

The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest. For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014. For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date

Article 19 Entry into Force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. This Regulation shall apply from 1 January 2014. Articles 9, 10 and 11 shall apply from 1 July 2014. Article 15 shall apply from 1 March 2014.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 16 April 2014. For the Commission The President José Manuel Barroso

ANNEX

ANNEX I C 01.00 — OWN FUNDS (CA1) C 02.00 — OWN FUNDS REQUIREMENTS (CA2) C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3) C 04.00 — MEMORANDUM ITEMS (CA4) C 05.01 — TRANSITIONAL PROVISIONS (CA5.1) C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA) C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) C 08.02 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2) C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1) C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2) C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3) C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1) C 10.02 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2) C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT) C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA) C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB) C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details) C 16.00 — OPERATIONAL RISK (OPR) C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details) C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC) 1.2.3.4.5.6.7.8.9.10. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP) C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX) C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM) C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM) C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA) REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS SA Exposure class IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: Country: Country: Country: Currency: National market:

COREP TEMPLATES Template number Template code Name of the template /group of templates Short name CAPITAL ADEQUACY CA 1 C 01.00 OWN FUNDS CA1 2 C 02.00 OWN FUNDS REQUIREMENTS CA2 3 C 03.00 CAPITAL RATIOS CA3 4 C 04.00 MEMORANDUM ITEMS: CA4 TRANSITIONAL PROVISIONS CA5 5,1 C 05.01 TRANSITIONAL PROVISIONS CA5.1 5,2 C 05.02 GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID CA5.2 GROUP SOLVENCY GS 6 C 06.00 GROUP SOLVENCY GS CREDIT RISK CR 7 C 07.00 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS CR SA CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 8,1 C 08.01 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 1 8,2 C 08.02 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) CR IRB 2 GEOGRAPHICAL BREAKDOWN CR GB 9,1 C 09.01 Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) CR GB 1 9,2 C 09.02 Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) CR GB 2 9,3 C 09.03 Table 9.3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country CR GB 3 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 10,1 C 10.01 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 1 10,2 C 10.02 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: CR EQU IRB 2 11 C 11.00 SETTLEMENT/DELIVERY RISK CR SETT 12 C 12.00 CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS CR SEC SA 13 C 13.00 CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS CR SEC IRB 14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details OPERATIONAL RISK OPR 16 C 16.00 OPERATIONAL RISK OPR 17 C 17.00 OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR OPR Details MARKET RISK MKR 18 C 18.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS MKR SA TDI 19 C 19.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS MKR SA SEC 20 C 20.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO MKR SA CTP 21 C 21.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES MKR SA EQU 22 C 22.00 MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK MKR SA FX 23 C 23.00 MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES MKR SA COM 24 C 24.00 MARKET RISK INTERNAL MODELS MKR IM 25 C 25.00 CREDIT VALUE ADJUSTMENT RISK CVA Rows ID Item Amount 010 1 OWN FUNDS 015 1.1 TIER 1 CAPITAL 020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 030 1.1.1.1 Capital instruments eligible as CET1 Capital 040 1.1.1.1.1 Paid up capital instruments 050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 060 1.1.1.1.3 Share premium 070 1.1.1.1.4 (-) Own CET1 instruments 080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 130 1.1.1.2 Retained earnings 140 1.1.1.2.1 Previous years retained earnings 150 1.1.1.2.2 Profit or loss eligible 160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 180 1.1.1.3 Accumulated other comprehensive income 200 1.1.1.4 Other reserves 210 1.1.1.5 Funds for general banking risk 220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 230 1.1.1.7 Minority interest given recognition in CET1 capital 240 1.1.1.8 Transitional adjustments due to additional minority interests 250 1.1.1.9 Adjustments to CET1 due to prudential filters 260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 270 1.1.1.9.2 Cash flow hedge reserve 280 1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 285 1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities 290 1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation 300 1.1.1.10 (-) Goodwill 310 1.1.1.10.1 (-) Goodwill accounted for as intangible asset 320 1.1.1.10.2 (-) Goodwill included in the valuation of significant investments 330 1.1.1.10.3 Deferred tax liabilities associated to goodwill 340 1.1.1.11 (-) Other intangible assets 350 1.1.1.11.1 (-) Other intangible assets gross amount 360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 370 1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses 390 1.1.1.14 (-)Defined benefit pension fund assets 400 1.1.1.14.1 (-)Defined benefit pension fund assets gross amount 410 1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets 420 1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use 430 1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital 440 1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital 450 1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight 460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight 470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1250 % risk weight 471 1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1250 % risk weight 472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight 480 1.1.1.22 (-) CET1 instruments of financial sector entites where the institution does not have a significant investment 490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment 510 1.1.1.25 (-) Amount exceeding the 17,65 % threshold 520 1.1.1.26 Other transitional adjustments to CET1 Capital 524 1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR 529 1.1.1.28 CET1 capital elements or deductions - other 530 1.1.2 ADDITIONAL TIER 1 CAPITAL 540 1.1.2.1 Capital instruments eligible as AT1 Capital 550 1.1.2.1.1 Paid up capital instruments 560 1.1.2.1.2* Memorandum item: Capital instruments not eligible 570 1.1.2.1.3 Share premium 580 1.1.2.1.4 (-) Own AT1 instruments 590 1.1.2.1.4.1 (-) Direct holdings of AT1 instruments 620 1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments 621 1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments 622 1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments 660 1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments 670 1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital 680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries 690 1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital 700 1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment 710 1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment 720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital 730 1.1.2.9 Other transitional adjustments to AT1 Capital 740 1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 744 1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR 748 1.1.2.12 AT1 capital elements or deductions - other 750 1.2 TIER 2 CAPITAL 760 1.2.1 Capital instruments and subordinated loans eligible as T2 Capital 770 1.2.1.1 Paid up capital instruments and subordinated loans 780 1.2.1.1* Memorandum item: Capital instruments and subordinated loans not eligible 790 1.2.1.3 Share premium 800 1.2.1.4 (-) Own T2 instruments 810 1.2.1.4.1 (-) Direct holdings of T2 instruments 840 1.2.1.4.2 (-) Indirect holdings of T2 instruments 841 1.2.1.4.3 (-) Synthetic holdings of T2 instruments 842 1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments 880 1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans 890 1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital 900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries 910 1.2.5 IRB Excess of provisions over expected losses eligible 920 1.2.6 SA General credit risk adjustments 930 1.2.7 (-) Reciprocal cross holdings in T2 Capital 940 1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment 950 1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment 960 1.2.10 Other transitional adjustments to T2 Capital 970 1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 974 1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR 978 1.2.13 T2 capital elements or deductions - other Rows Item Label Amount 010 1 TOTAL RISK EXPOSURE AMOUNT 020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR 030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR 040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES 050 1.1.1 Standardised approach (SA) 060 1.1.1.1 SA exposure classes excluding securitisation positions 070 1.1.1.1.01 Central governments or central banks 080 1.1.1.1.02 Regional governments or local authorities 090 1.1.1.1.03 Public sector entities 100 1.1.1.1.04 Multilateral Development Banks 110 1.1.1.1.05 International Organisations 120 1.1.1.1.06 Institutions 130 1.1.1.1.07 Corporates 140 1.1.1.1.08 Retail 150 1.1.1.1.09 Secured by mortgages on immovable property 160 1.1.1.1.10 Exposures in default 170 1.1.1.1.11 Items associated with particular high risk 180 1.1.1.1.12 Covered bonds 190 1.1.1.1.13 Claims on institutions and corporates with a short-term credit assessment 200 1.1.1.1.14 Collective investments undertakings (CIU) 210 1.1.1.1.15 Equity 211 1.1.1.1.16 Other items 220 1.1.1.2 Securitisation positions SA 230 1.1.1.2* of which: resecuritisation 240 1.1.2 Internal ratings based Approach (IRB) 250 1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used 260 1.1.2.1.01 Central governments and central banks 270 1.1.2.1.02 Institutions 280 1.1.2.1.03 Corporates - SME 290 1.1.2.1.04 Corporates - Specialised Lending 300 1.1.2.1.05 Corporates - Other 310 1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factors are used 320 1.1.2.2.01 Central governments and central banks 330 1.1.2.2.02 Institutions 340 1.1.2.2.03 Corporates - SME 350 1.1.2.2.04 Corporates - Specialised Lending 360 1.1.2.2.05 Corporates - Other 370 1.1.2.2.06 Retail - Secured by real estate SME 380 1.1.2.2.07 Retail - Secured by real estate non-SME 390 1.1.2.2.08 Retail - Qualifying revolving 400 1.1.2.2.09 Retail - Other SME 410 1.1.2.2.10 Retail - Other non-SME 420 1.1.2.3 Equity IRB 430 1.1.2.4 Securitisation positions IRB 440 1.1.2.4* Of which: resecuritisation 450 1.1.2.5 Other non credit-obligation assets 460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP 490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY 500 1.2.1 Settlement/delivery risk in the non-Trading book 510 1.2.2 Settlement/delivery risk in the Trading book 520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS 530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 540 1.3.1.1 Traded debt instruments 550 1.3.1.2 Equity 560 1.3.1.3 Foreign Exchange 570 1.3.1.4 Commodities 580 1.3.2 Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) 590 1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) 600 1.4.1 OpR Basic indicator approach (BIA) 610 1.4.2 OpR Standardised (STA) / Alternative Standardised (ASA) approaches 620 1.4.3 OpR Advanced measurement approaches (AMA) 630 1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS 640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT 650 1.6.1 Advanced method 660 1.6.2 Standardised method 670 1.6.3 Based on OEM 680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK 690 1.8 OTHER RISK EXPOSURE AMOUNTS 710 1.8.2 Of which: Additional stricter prudential requirements based on Art 458 720 1.8.2* Of which: requirements for large exposures 730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property 740 1.8.2*** Of which: due to intra financial sector exposures 750 1.8.3 Of which: Additional stricter prudential requirements based on Art 459 760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR Rows ID Item Amount 010 1 CET1 Capital ratio 020 2 Surplus(+)/Deficit(-) of CET1 capital 030 3 T1 Capital ratio 040 4 Surplus(+)/Deficit(-) of T1 capital 050 5 Total capital ratio 060 6 Surplus(+)/Deficit(-) of total capital Memorandum Items: Capital ratios due to Pillar II adjustments 070 7 CET1 capital ratio including Pillar II adjustments 080 8 Target CET1 capital ratio due to Pillar II adjustments 090 9 T1 capital ratio including Pillar II adjustments 100 10 Target T1 capital ratio due to Pillar II adjustments 110 11 Total capital ratio including Pillar II adjustments 120 12 Target Total capital ratio due to Pillar II adjustments Row ID Item Column Deferred tax assest and liabilities 010 010 1 Total deferred tax assets 020 1.1 Deferred tax assets that do not rely on future profitability 030 1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences 040 1.3 Deferred tax assets that rely on future profitability and arise from temporary differences 050 2 Total deferred tax liabilities 060 2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability 070 2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability 080 2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 090 2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Credit risk adjustments and expected losses 100 3 IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures 110 3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount 120 3.1.1 General credit risk adjustments 130 3.1.2 Specific credit risk adjustments 131 3.1.3 Additional value adjustments and other own funds reductions 140 3.2 Total expected losses eligible 145 4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures 150 4.1 Specific credit risk adjustments and positions treated similarily 155 4.2 Total expected losses eligible 160 5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 170 6 Total gross provisions eligible for inclusion in T2 capital 180 7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Thresholds for Common Equity Tier 1 deductions 190 8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment 200 9 10 % CET1 threshold 210 10 17,65 % CET1 threshold 220 11 Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures Investments in the capital of financial sector entities where the institution does not have a significant investment 230 12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 240 12.1 Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 250 12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 260 12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 270 12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 280 12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 290 12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 291 12.3 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 292 12.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 293 12.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 300 13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 310 13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 320 13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 330 13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 340 13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 350 13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 360 13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 361 13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 362 13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 363 13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 370 14 Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions 380 14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 390 14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 400 14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 410 14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 420 14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 430 14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 431 14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 432 14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 433 14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Investments in the capital of financial sector entities where the institution has a significant investment 440 15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions 450 15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 460 15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 470 15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 480 15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 490 15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 500 15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 501 15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 502 15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 503 15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 510 16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions 520 16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 530 16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 540 16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 550 16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 560 16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 570 16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 571 16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 572 16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 573 16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 580 17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions 590 17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment 600 17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment 610 17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 620 17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 630 17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 640 17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 641 17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 642 17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 643 17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Total risk exposure amounts of holdings not deducted from the corresponding capital category: 650 18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital 660 19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital 670 20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital Temporary waiver from deduction from own funds 680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 690 22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 700 23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 710 24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Capital buffers 740 27 Combined buffer requirement 750 Capital conservation buffer 760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State 770 Institution specific countercyclical capital buffer 780 Systemic risk buffer 790 Systemical important institution buffer 800 Global Systemically Important Institution buffer 810 Other Systemically Important Institution buffer Pillar II requirements 820 28 Own funds requirements related to Pillar II adjustments Additional information for investment firms 830 29 Initial capital 840 30 Own funds based on Fixed Overheads Additional information for calculation of reporting thresholds 850 31 Non-domestic original exposures 860 32 Total original exposures Basel I floor 870 Adjustments to total own funds 880 Own funds fully adjusted for Basel I floor 890 Own funds requirements for Basel I floor 900 Own funds requirements for Basel I floor - SA alternative Adjustments to CET1 Adjustments to AT1 Adjustments to T2 Adjustments included in RWAs Memorandum items Applicable percentage Eligible amount without transitional provisions Code ID Item 010 020 030 040 050 060 010 1 TOTAL ADJUSTMENTS 020 1.1 GRANDFATHERED INSTRUMENTS link to {CA1;r220} link to {CA1;r660} link to {CA1;r880} 030 1.1.1 Grandfathered instruments: Instruments constituting state aid 040 1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC 050 1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme 060 1.1.2 Instruments not constituting state aid link to {CA5.2;r010;c060} link to {CA5.2;r020;c060} link to {CA5.2;r090;c060} 070 1.2 MINORITY INTERESTS AND EQUIVALENTS link to {CA1;r240} link to {CA1;r680} link to {CA1;r900} 080 1.2.1 Capital instruments and items that do not qualify as minority interests 090 1.2.2 Transitional recognition in consolidated own funds of minority interests 091 1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital 092 1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital 100 1.3 OTHER TRANSITIONAL ADJUSTMENTS link to {CA1;r520} link to {CA1;r730} link to {CA1;r960} 110 1.3.1 Unrealised gains and losses 120 1.3.1.1 Unrealised gains 130 1.3.1.2 Unrealised losses 133 1.3.1.3. Unrealised gains on exposures to central governments classified in the Available for sale category of EU-endorsed IAS39 136 1.3.1.4. Unrealised loss on exposures to central governments classified in the Available for sale category of EU-endorsed IAS39 138 1.3.1.5. Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities 140 1.3.2 Deductions 150 1.3.2.1 Losses for the current financial year 160 1.3.2.2 Intangible assets 170 1.3.2.3 Deferred tax assets that rely on future profitability and do not arise from temporary differences 180 1.3.2.4 IRB shortfall of provisions to expected losses 190 1.3.2.5 Defined benefit pension fund assets 194 1.3.2.5* of which: Introduction of amendments to IAS 19 - positive item 198 1.3.2.5** of which: Introduction of amendments to IAS 19 - negative item 200 1.3.2.6 Own instruments 210 1.3.2.6.1 Own CET1 instruments 211 1.3.2.6.1** of which: Direct holdings 212 1.3.2.6.1* of which: Indirect holdings 220 1.3.2.6.2 Own AT1 instruments 221 1.3.2.6.2** of which: Direct holdings 222 1.3.2.6.2* of which: Indirect holdings 230 1.3.2.6.3 Own T2 instruments 231 1.3.2.6.3* of which: Direct holdings 232 1.3.2.6.3** of which: Indirect holdings 240 1.3.2.7 Reciprocal cross holdings 250 1.3.2.7.1 Reciprocal cross holdings in CET1 Capital 260 1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment 270 1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment 280 1.3.2.7.2 Reciprocal cross holdings in AT1 Capital 290 1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment 300 1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment 310 1.3.2.7.3 Reciprocal cross holdings in T2 Capital 320 1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment 330 1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment 340 1.3.2.8 Own funds instruments of financial sector entities where the institution does not have a significant investment 350 1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment 360 1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment 370 1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment 380 1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment 390 1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment 400 1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment 410 1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment 420 1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment 425 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items 430 1.3.3 Additional filters and deductions CA 5.2 Grandfathered instruments: Instruments not constituting State aid Amount of instruments plus related share premium Base for calculating the limit Applicable percentage Limit (-) Amount that exceeds the limits for grandfathering Total grandfathered amount Code ID Item 010 020 030 040 050 060 010 1. Instruments that qualified for point a) of Article 57 of 2006/48/EC link to {CA5.1;r060;c010) 020 2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 link to {CA5.1;r060;c020) 030 2.1 Total instruments without a call or an incentive to redeem 040 2.2. Grandfathered instruments with a call and incentive to redeem 050 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity 060 2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity 070 2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity 080 2.3 Excess on the limit of CET1 grandfathered instruments 090 3 Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 link to {CA5.1;r060;c030) 100 3.1 Total items without an incentive to redeem 110 3.2 Grandfathered items with an incentive to redeem 120 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity 130 3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity 140 3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity 150 3.3 Excess on the limit of AT1 grandfathered instruments ENTITIES WITHIN SCOPE OF CONSOLIDATION INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS NAME CODE LEI code INSITUTION OR EQUIVALENT (YES / NO) SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC) COUNTRY CODE SHARE OF HOLDING (%) TOTAL RISK EXPOSURE AMOUNT OWN FUNDS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIRE-MENTS CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS TOTAL TIER 1 CAPITAL TIER 2 CAPITAL CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER SYSTEMICAL IMPORTANT INSTITUTION BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER COMMON EQUITY TIER 1 CAPITAL ADDITIONAL TIER 1 CAPITAL MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL OF WHICH: QUALIFYING OWN FUNDS OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: QUALIFYING TIER 1 CAPITAL OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: MINORITY INTERESTS OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL OF WHICH: QUALIFYING TIER 2 CAPITAL 010 020 025 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 010 TOTAL 001 002 .... NNN ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0% 20% 50% 100% OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT (-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240 010 TOTAL EXPOSURES Cell linked to CA 020 of which: SME 030 of which: SME subject to SME-supporting factor 040 of which: Secured by mortgages on immovable property - Residential property 050 of which: Exposures under the permanent partial use of the standardised approach 060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 070 On balance sheet exposures subject to credit risk 080 Off balance sheet exposures subject to credit risk 090 Securities Financing Transactions 100 of which: centrally cleared through a QCCP 110 Derivatives & Long Settlement Transactions 120 of which: centrally cleared through a QCCP 130 From Contractual Cross Product Netting BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 140 0 % 150 2 % 160 4 % 170 10 % 180 20 % 190 35 % 200 50 % 210 70 % 220 75 % 230 100 % 240 150 % 250 250 % 260 370 % 270 1250 % 280 Other risk weights MEMORANDUM ITEMS 290 Exposures secured by mortgages on commercial immovable property 300 Exposures in default subject to a risk weight of 100 % 310 Exposures secured by mortgages on residential property 320 Exposures in default subject to a risk weight of 150 % INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR MEMORANDUM ITEMS: UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 010 TOTAL EXPOSURES Cell linked to CA BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 On balance sheet items subject to credit risk 030 Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit risk 040 Securities Financing Transactions 050 Derivatives & Long Settlement Transactions 060 From Contractual Cross Product Netting 070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL 080 SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA: 090 RISK WEIGHT: 0 % 100 50 % 110 70 % 120 Of which: in category 1 130 90 % 140 115 % 150 250 % 160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE 170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS 180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR MEMORANDUM ITEMS: UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 BREAKDOWN OF TOTAL EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: OBLIGOR GRADE OR POOL:1 2 ..... N ORIGINAL EXPOSURE PRE CONVERSION FACTORS Exposures in default Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Of which: write off Credit risk adjustments/write-offs for observed new defaults EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR 010 020 040 050 055 060 070 075 080 090 010 Central governments or central banks 020 Regional governments or local authorities 030 Public sector entities 040 Multilateral Development Banks 050 International Organisations 060 Institutions 070 Corporates 075 of which: SME 080 Retail 085 of which: SME 090 Secured by mortgages on immovable property 095 of which: SME 100 Exposures in default 110 Items associated with particularly high risk 120 Covered bonds 130 Claims on institutions and corporates with a short-term credit assessment 140 Collective investments undertakings (CIU) 150 Equity exposures 160 Other exposures Total exposures ORIGINAL EXPOSURE PRE CONVERSION FACTORS Of which: defaulted Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Of which: write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) EXPOSURE WEIGHTED AVERAGE LGD (%) Of which: defaulted EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR Of which: defaulted RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR EXPECTED LOSS AMOUNT 010 030 040 050 055 060 070 080 090 100 105 110 120 125 130 010 Central governments or central banks 020 Institutions 030 Corporates 040 Of Which: Specialised Lending 050 Of Which: SME 060 Retail 070 Secured by real estate property 080 SME 090 Non-SME 100 Qualifying Revolving 110 Other Retail 120 SME 130 Non-SME 140 Equity Total exposures Amount 010 010 Own fund requirements for credit risk INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 010 020 030 040 050 060 070 080 090 010 TOTAL IRB EQUITY EXPOSURES Cell linked to CA 020 PD/LGD APRROACH: TOTAL 050 SIMPLE RISK WEIGHT APPROACH: TOTAL 060 BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: 070 RISK WEIGHT: 190 % 080 290 % 090 370 % 100 INTERNAL MODELS APPROACH 110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS INTERNAL RATING SYSTEM ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 010 020 030 040 050 060 070 080 090 BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: OBLIGOR GRADE(a): 001 002 … NNN UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS OWN FUNDS REQUIREMENTS TOTAL SETTLEMENT RISK EXPOSURE AMOUNT 010 020 030 040 010 Total unsettled transactions in the Non-trading Book Cell linked to CA 020 Transactions unsettled up to 4 days (Factor 0 %) 030 Transactions unsettled between 5 and 15 days (Factor 8 %) 040 Transactions unsettled between 16 and 30 days (Factor 50 %) 050 Transactions unsettled between 31 and 45 days (Factor 75 %) 060 Transactions unsettled for 46 days or more (Factor 100 %) 070 Total unsettled transactions in the Trading Book Cell linked to CA 080 Transactions unsettled up to 4 days (Factor 0 %) 090 Transactions unsettled between 5 and 15 days (Factor 8 %) 100 Transactions unsettled between 16 and 30 days (Factor 50 %) 110 Transactions unsettled between 31 and 45 days (Factor 75 %) 120 Transactions unsettled for 46 days or more (Factor 100 %) TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % >0 % and <=20 % >20 % and <=50 % >50 % and <=100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATED (CREDIT QUALITY STEPS) 1250% LOOK-THROUGH INTERNAL ASSESMENT APPROACH (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 CQS 2 CQS 3 CQS 4 ALL OTHER CQS UNRATED OF WHICH: SECOND LOSS IN ABCP OF WHICH: AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 010 TOTAL EXPOSURES Cell linked to CA 020 OF WHICH: RE-SECURITISATIONS Cell linked to CA 030 ORIGINATOR: TOTAL EXPOSURES 040 ON-BALANCE SHEET ITEMS 050 SECURITISATIONS 060 RE-SECURITISATIONS 070 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 080 SECURITISATIONS 090 RE-SECURITISATIONS 100 EARLY AMORTISATION 110 INVESTOR: TOTAL EXPOSURES 120 ON-BALANCE SHEET ITEMS 130 SECURITISATIONS 140 RE-SECURITISATIONS 150 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 160 SECURITISATIONS 170 RE-SECURITISATIONS 180 SPONSOR: TOTAL EXPOSURES 190 ON-BALANCE SHEET ITEMS 200 SECURITISATIONS 210 RE-SECURITISATIONS 220 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 230 SECURITISATIONS 240 RE-SECURITISATIONS BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: 250 CQS 1 260 CQS 2 270 CQS 3 280 CQS 4 290 ALL OTHER CQS AND UNRATED TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM 0 % >0 % and <=20 % >20 % and <=50 % >50 % and <=100 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS RATINGS BASED METHOD (CREDIT QUALITY STEPS) 1250% SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESSMENT APPROACH (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS CQS 1 & S/T CQS 1 CQS 2 CQS 3 CQS 4 & S/T CQS 2 CQS 5 CQS 6 CQS 7 & S/T CQS 3 CQS 8 CQS 9 CQS 10 CQS 11 ALL OTHER CQS UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS BEFORE CAP AFTER CAP 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 010 TOTAL EXPOSURES Cell linked to CA 020 OF WHICH: RE-SECURITISATIONS Cell linked to CA 030 ORIGINATOR: TOTAL EXPOSURES 040 ON-BALANCE SHEET ITEMS 050 SECURITISATIONS A 060 B 070 C 080 RE-SECURITISATIONS D 090 E 100 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 110 SECURITISATIONS A 120 B 130 C 140 RE-SECURITISATIONS D 150 E 160 EARLY AMORTISATION 170 INVESTOR: TOTAL EXPOSURES 180 ON-BALANCE SHEET ITEMS 190 SECURITISATIONS A 200 B 210 C 220 RE-SECURITISATIONS D 230 E 240 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 250 SECURITISATIONS A 260 B 270 C 280 RE-SECURITISATIONS D 290 E 300 SPONSOR: TOTAL EXPOSURES 310 ON-BALANCE SHEET ITEMS 320 SECURITISATIONS A 330 B 340 C 350 RE-SECURITISATIONS D 360 E 370 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 380 SECURITISATIONS A 390 B 400 C 410 RE-SECURITISATIONS D 420 E BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: 430 CQS 1 & S/T CQS 1 440 CQS 2 450 CQS 3 460 CQS 4 & S/T CQS 2 470 CQS 5 480 CQS 6 490 CQS 7 & S/T CQS 3 500 CQS 8 510 CQS 9 520 CQS 10 530 CQS 11 540 ALL OTHER CQS AND UNRATED INTERNAL CODE IDENTIFIER OF THE SECURITISATION IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC) ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? SECURITISATION OR RE-SECURITISATION? RETENTION ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE SECURITISATION POSITIONS (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT SECURITISATION POSITIONS - TRADING BOOK TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (mm/yyyy) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION'S SHARE (%) TYPE APPROACH APPLIED (SA/IRB/MIX) NUMBER OF EXPOSURES COUNTRY ELGD (%) (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES EARLY AMORTISATION CTP OR NON-CTP? NET POSITIONS TOTAL OWN FUNDS REQUIREMENTS (SA) SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE LEGAL FINAL MATURITY DATE ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS ELIGIBLE LIQUIDITY FACILITIES OTHER (including non-eligible LF) CONVERSION FACTOR APPLIED SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS BEFORE CAP AFTER CAP LONG SHORT SPECIFIC RISK 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 BANKING ACTIVITIES RELEVANT INDICATOR LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) OWN FUNDS REQUIREMENT Total operational risk exposure amount AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE YEAR-3 YEAR-2 LAST YEAR YEAR-3 YEAR-2 LAST YEAR OF WHICH: DUE TO AN ALLOCATION MECHANISM OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) 010 020 030 040 050 060 070 071 080 090 100 110 120 010 1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) Cell linked to CA2 020 2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES Cell linked to CA2 SUBJECT TO TSA: 030 CORPORATE FINANCE (CF) 040 TRADING AND SALES (TS) 050 RETAIL BROKERAGE (RBr) 060 COMMERCIAL BANKING (CB) 070 RETAIL BANKING (RB) 080 PAYMENT AND SETTLEMENT (PS) 090 AGENCY SERVICES (AS) 100 ASSET MANAGEMENT (AM) SUBJECT TO ASA: 110 COMMERCIAL BANKING (CB) 120 RETAIL BANKING (RB) 130 3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA Cell linked to CA2 MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES TOTAL EVENT TYPES MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION INTERNAL FRAUD EXTERNAL FRAUD EMPLOYMENT PRACTICES AND WORKPLACE SAFETY CLIENTS, PRODUCTS & BUSINESS PRACTICES DAMAGE TO PHYSICAL ASSETS BUSINESS DISRUPTION AND SYSTEM FAILURES EXECUTION, DELIVERY & PROCESS MANAGEMENT LOWEST HIGHEST Rows 010 020 030 040 050 060 070 080 090 100 010 CORPORATE FINANCE [CF] Number of events 020 Total loss amount 030 Maximum single loss 040 Sum of the five largest losses 110 TRADING AND SALES [TS] Number of events 120 Total loss amount 130 Maximum single loss 140 Sum of the five largest losses 210 RETAIL BROKERAGE [RBr] Number of events 220 Total loss amount 230 Maximum single loss 240 Sum of the five largest losses 310 COMMERCIAL BANKING [CB] Number of events 320 Total loss amount 330 Maximum single loss 340 Sum of the five largest losses 410 RETAIL BANKING [RB] Number of events 420 Total loss amount 430 Maximum single loss 440 Sum of the five largest losses 510 PAYMENT AND SETTLEMENT [PS] Number of events 520 Total loss amount 530 Maximum single loss 540 Sum of the five largest losses 610 AGENCY SERVICES [AS] Number of events 620 Total loss amount 630 Maximum single loss 640 Sum of the five largest losses 710 ASSET MANAGEMENT [AM] Number of events 720 Total loss amount 730 Maximum single loss 740 Sum of the five largest losses 810 CORPORATE ITEMS [CI] Number of events 820 Total loss amount 830 Maximum single loss 840 Sum of the five largest losses 910 TOTAL BUSINESS LINES Number of events 920 Total loss amount 930 Maximum single loss 940 Sum of the five largest losses POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 010 020 030 040 050 060 070 010 TRADED DEBT INSTRUMENTS IN TRADING BOOK Cell linked to CA2 011 General risk 012 Derivatives 013 Other assets and liabilities 020 Maturity-based approach 030 Zone 1 040 0 ≤ 1 month 050 > 1 ≤ 3 months 060 > 3 ≤ 6 months 070 > 6 ≤ 12 months 080 Zone 2 090 > 1 ≤ 2 (1,9 for cupon of less than 3 %) years 100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years 110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years 120 Zone 3 130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years 140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years 150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years 160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years 170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years 180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years 190 (> 12,0 ≤ 20,0 for cupon of less than 3 %) years 200 (> 20 for cupon of less than 3 %) years 210 Duration-based approach 220 Zone 1 230 Zone 2 240 Zone 3 250 Specific risk 251 Own funds requirement for non-securitisation debt instruments 260 Debt securities under the first category in Table 1 270 Debt securities under the second category in Table 1 280 With residual term ≤ 6 months 290 With a residual term > 6 months and ≤ 24 months 300 With a residual term > 24 months 310 Debt securities under the third category in Table 1 320 Debt securities under the fourth category in Table 1 321 Rated nth-to default credit derivatives 325 Own funds requirement for securitisation instruments 330 Own funds requirement for the correlation trading portfolio 340 Particular approach for position risk in CIUs 350 Additional requirements for options (non-delta risks) 360 Simplified method 370 Delta plus approach - additional requirements for gamma risk 380 Delta plus approach - additional requirements for vega risk 390 Scenario matrix approach ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 150 % 200 % 225 % 250 % 300 % 350 % 425 % 500 % 650 % 750 % 850 % RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS SUM OF WEIGHTED NET LONG AND SHORT POSITIONS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 490 500 510 520 530 540 550 560 570 580 590 600 610 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060} 020 Of which: RE-SECURITISATIONS 030 ORIGINATOR: TOTAL EXPOSURES 040 SECURITISATIONS 050 RE-SECURITISATIONS 060 INVESTOR: TOTAL EXPOSURES 070 SECURITISATIONS 080 RE-SECURITISATIONS 090 SPONSOR: TOTAL EXPOSURES 100 SECURITISATIONS 110 RE-SECURITISATIONS BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES: 120 Residential mortgages 130 Commercial mortgages 140 Credit card receivables 150 Leasing 160 Loans to corporates or SMEs 170 Consumer loans 180 Trade receivables 190 Other assets 200 Covered Bondes 210 Other liabilities ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH RISK WEIGHTS < 1250 % 1250 % SUPERVISORY FORMULA METHOD LOOK-THROUGH INTERNAL ASSESMENT APPROACH LONG SHORT (-) LONG (-) SHORT LONG SHORT 7 - 10 % 12 - 18 % 20 - 35 % 40- 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) 7 - 10 % 12 - 18 % 20 - 35 % 40 - 75 % 100 % 250 % 350 % 425 % 650 % Other RATED UNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 010 TOTAL EXPOSURES Cell linked to MKR SA TDI {330:060} SECURITISATION POSITIONS: 020 ORIGINATOR: TOTAL EXPOSURES 030 SECURITISATIONS 040 OTHER CTP POSITIONS 050 INVESTOR: TOTAL EXPOSURES 060 SECURITISATIONS 070 OTHER CTP POSITIONS 080 SPONSOR: TOTAL EXPOSURES 090 SECURITISATIONS 100 OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATES: 110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 120 OTHER CTP POSITIONS POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 010 020 030 040 050 060 070 010 EQUITIES IN TRADING BOOK Cell linked to CA 020 General risk 021 Derivatives 022 Other assets and liabilities 030 Exchange traded stock-index futures broadly diversified subject to particular approach 040 Other equities than exchange traded stock-index futures broadly diversified 050 Specific risk 080 Particular approach for position risk in CIUs 090 Additional requirements for options (non-delta risks) 100 Simplified method 110 Delta plus approach - additional requirements for gamma risk 120 Delta plus approach - additional requirements for vega risk 130 Scenario matrix approach ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED 020 030 040 050 060 070 080 090 100 010 TOTAL POSITIONS IN NON-REPORTING CURRENCIES Cell linked to CA 020 Currencies closely correlated 030 All other currencies (including CIUs treated as different currencies) 040 Gold 050 Additional requirements for options (non-delta risks) 060 Simplified method 070 Delta plus approach - additional requirements for gamma risk 080 Delta plus approach - additional requirements for vega risk 090 Scenario matrix approach BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES 100 Other assets and liabilities other than off-balance sheet items and derivatives 110 Off-balance sheet items 120 Derivatives Memorandum items: CURRENCY POSITIONS 130 Euro 140 Lek 150 Argentine Peso 160 Australian Dollar 170 Brazilian Real 180 Bulgarian Lev 190 Canadian Dollar 200 Czech Koruna 210 Danish Krone 220 Egyptian Pound 230 Pound Sterling 240 Forint 250 Yen 260 Latvian Lats 270 Lithuanian Litas 280 Denar 290 Mexican Peso 300 Zloty 310 Rumanian Leu 320 Russian Ruble 330 Serbian Dinar 340 Swedish Krona 350 Swiss Franc 360 Turkish Lira 370 Hryvnia 380 US Dollar 390 Iceland Krona 400 Norwegian Krone 410 Hong Kong Dollar 420 New Taiwan Dollar 430 New Zealand Dollar 440 Singapore Dollar 450 Won 460 Yuan Renminbi 470 Other ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT 010 020 030 040 050 060 070 010 TOTAL POSITIONS IN COMMODITIES Cell linked to CA 020 Precious metals (except gold) 030 Base metals 040 Agricultural products (softs) 050 Others 060 Of which energy products (oil, gas) 070 Maturity ladder approach 080 Extended maturity ladder approach 090 Simplified approach: All positions 100 Additional requirements for options (non-delta risks) 110 Simplified method 120 Delta plus approach - additional requirements for gamma risk 130 Delta plus approach - additional requirements for vega risk 140 Scenario matrix approach VaR STRESSED VaR INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number of overshootings during previous 250 working days VaR Multiplication Factor (mc) SVaR Multiplication Factor (ms) ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) 12 WEEKS AVERAGE MEASURE LAST MEASURE FLOOR 12 WEEKS AVERAGE MEASURE LAST MEASURE 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 010 TOTAL POSITIONS Cell linked to CA Memorandum items: BREAKDOWN OF MARKET RISK 020 Traded debt instruments 030 TDI - General risk 040 TDI - Specific Risk 050 Equities 060 Equities - General risk 070 Equities - Specific Risk 080 Foreign Exchange risk 090 Commodities risk 100 Total amount for general risk 110 Total amount for specific risk EXPOSURE VALUE VaR STRESSED VaR OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS of which: OTC Derivatives of which: SFT MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) PREVIOUS DAY (VaRt-1) MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) LATEST AVAILABLE (SVaRt-1) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS 010 020 030 040 050 060 070 080 090 100 110 120 130 140 010 CVA risk total Link to {CA2;r640;c010} 020 According to Advanced method Link to {CA2;r650;c010} 030 According to Standardised method Link to {CA2;r660;c010} 040 Based on OEM Link to {CA2;r670;c010}

ANNEX II REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

PART I GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.

1.1.1.2.3. STRUCTURE Overall, the framework consists of five blocks of templates: For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework. Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.

1.1.1. a)

Capital adequacy, an overview of regulatory capital; total risk exposure amount;

Group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity

Credit risk (including counterparty, dilution and settlement risks);

Market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

Operational risk.

1.2.4.5.6.7.8.

NUMBERING CONVENTION The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules. The following general notation is followed in the instructions: {Template;Row;Column}. In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}. In the case of templates with only one column, only rows are referred to. {Template;Row} An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.3.9. SIGN CONVENTION Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

PART II TEMPLATE RELATED INSTRUCTIONS

1. CAPITAL ADEQUACY OVERVIEW (CA)

1. 1.1.10.11.12.13.14.

GENERAL REMARKS CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates: The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount. The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2). Transitional provisions are treated as follows in CA templates: The treatment of Pillar II requirements can be different within the EU (Article 104 (2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

1.1.10. a)

CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)

CA3 template contains the ratios for which CRR state a minimum level, and some other related data

CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.

CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will seize to exist once the transitional provisions will expire.

1.1.10.11.12.13. a)

The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.

Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.

Template CA5 is exclusively used for reporting the transitional provisions.

1.1.10.11.12.13.14. a)

The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104 (2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2. C 01.00 — OWN FUNDS (CA1)

1.2.

1.2.1. Instructions concerning specific positions Row Legal references and instructions 010 015 020 030 040 050 060 070 080 090 091 092 130 140 150 160 170 180 200 210 220 230 240 250 260 270 280 285 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 471 472 480 490 500 510 520 524 529 530 540 550 560 570 580 590 620 621 622 660 670 680 690 700 710 720 730 740 744 748 750 760 770 780 790 800 810 840 841 842 880 890 900 910 920 930 940 950 960 970 974 978

1.2.1.

1. Own funds Articles 4(1)(118) and 72 of CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

1.1 Tier 1 capital Article 25 of CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

1.1.1 Common Equity Tier 1 capital Article 50 of CRR

1.1.1.1 Capital instruments eligible as CET1 capital Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR

1.1.1.1.1 Paid up capital instruments Articles 26(1) point (a) and 27 to 30 of CRR Includes capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR). The amount to be reported shall not include the share premium related to the instruments

1.1.1.1.2* Memorandum item: Capital instruments not eligible Article 28(1) points (b), (l) and (m) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments

1.1.1.1.3 Share premium Articles 4(1)(124), 26(1) point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Paid up capital instruments.

1.1.1.1.4 (-) Own CET1 instruments Articles 36(1) point (f) and 42 of CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

1.1.1.1.4.1 (-) Direct holdings of CET1 instruments Articles 36(1) point (f) and 42 of CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.

1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments Articles 4(1)(114), 36(1) point (f) and 42 of CRR

1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments Articles 4(1)(126), 36(1) point (f) and 42 of CRR

1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments Articles 36(1) point (f) and 42 of CRR According to Article 36(1) point (f) of CRR, own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation shall be deducted.

1.1.1.2 Retained earnings Articles 26(1) point (c) and 26(2) of CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

1.1.1.2.1 Previous years retained earnings Articles 4(1)(123) and 26(1) c) of CRR Article 4(1)(123) of CRR defines retained earnings as Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting standards.

1.1.1.2.2 Profit or loss eligible Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point a) of CRR.

1.1.1.2.2.1 Profit or loss attributable to owners of the parent Articles 26(2) and 36(1) point (a) of CRR The amount to be reported shall be the profit or loss reported in the accounting income statement.

1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible Article 26(2) of CRR This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1. If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends) Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

1.1.1.3 Accumulated other comprehensive income Articles 4(1)(100) and 26(1) point (d) of CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters

1.1.1.4 Other reserves Articles 4(1)(117) and 26(1) point (e) of CRR Other reserves are defined in CRR as Reserves within the meaning of the applicable accounting standard that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

1.1.1.5 Funds for general banking risk Articles 4(1)(112) and 26(1) point (f) of CRR Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments Articles 483(1) to (3), and 484 to 487 of CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

1.1.1.7 Minority interest given recognition in CET1 capital Article 4 (120) and 84 of CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

1.1.1.8 Transitional adjustments due to additional minority interests Articles 479 and 480 of CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

1.1.1.9 Adjustments to CET1 due to prudential filters Articles 32 to 35 of CRR

1.1.1.9.1 (-) Increases in equity resulting from securitised assets Article 32(1) of CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

1.1.1.9.2 Cash flow hedge reserve Article 33(1) point (a) of CRR The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge foreseeable at the moment of the calculation.

1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Article 33(1) point (b) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.

1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 33(1) point (c) and 33(2) of CRR The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item.

1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 of CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR

1.1.1.10 (-) Goodwill Articles 4(1)(113), 36(1) point (b) and 37 of CRR

1.1.1.10.1 (-) Goodwill accounted for as intangible asset Articles 4(1)(113) and 36(1) point (b) of CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same that is reported in the balance sheet.

1.1.1.10.2 (-) Goodwill included in the valuation of significant investments Article 37 point (b) and 43 of CRR

1.1.1.10.3 Deferred tax liabilities associated to goodwill Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard

1.1.1.11 (-) Other intangible assets Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

1.1.1.11.1 (-) Other intangible assets gross amount Articles 4(1)(115) and 36(1) point (b) of CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.

1.1.1.11.2 Deferred tax liabilities associated to other intangible assets Article 37 point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard

1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Articles 36(1) point (c) and 38 of CRR

1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses Articles 36(1) point (d), 40, 158 and 159 of CRR The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses (Article 40 of CRR)

1.1.1.14 (-) Defined benefit pension fund assets Articles 4(1)(109), 36(1) point (e) and 41 of CRR

1.1.1.14.1 (-) Defined benefit pension fund assets gross amount Articles 4(1)(109), 36(1) point (e) of CRR Defined benefit pension fund assets are defined as the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets Articles 4(1)(108) and (109), and 41(1) point (a) of CRR Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use Articles 4(1)(109) and 41(1) point (b) of CRR This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted. The assets included in this row shall receive a risk weight for credit risk requirements.

1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital Articles 4(1)(122), 36(1) point (g) and 44 of CRR Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital Article 36(1) point (j) of CRR The amount to be reported is directly taken from CA 1 item Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1.

1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250 % risk weight Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR Qualifying holdings are defined as direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking. According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b) and 258 of CRR Securitisation positions which are subject to a 1250 % risk weight, but alternatively, are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR). In the latter case, they shall be reported in this item.

1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1.250 % risk weight Articles 36(1) point k) (iii) and 379(3) of CRR Free deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.

1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1.250 % risk weight Articles 36(1) point k) (iv) and 153(8) of CRR According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250 % risk weight Articles 36(1) point k) (v) and 155(4) of CRR According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %.

1.1.1.22 (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1 See alternatives to deduction when consolidation is applied (article 49 (2) and (3))

1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.

1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR. See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).

1.1.1.25 (-) Amount exceeding the 17.65 % threshold Article 48(1) of CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(1) of CRR.

1.1.1.26 Other transitional adjustments to CET1 Capital Articles 469 to 472, 478 and 481 of CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

1.1.1.27 Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR

1.1.1.28 CET1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.1.2 ADDITIONAL TIER 1 CAPITAL Article 61 of CRR

1.1.2.1 Capital instruments eligible as AT1 Capital Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR

1.1.2.1.1 Paid up capital instruments Articles 51 point (a) and 52 to 54 of CRR The amount to be reported shall not include the share premium related to the instruments

1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible Article 52(1) points (c), (e) and (f) of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments

1.1.2.1.3 Share premium Article 51 point (b) of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Paid up capital instruments.

1.1.2.1.4 (-) Own AT1 instruments Articles 52(1) point (b), 56 point (a) and 57 of CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

1.1.2.1.4.1 (-) Direct holdings of AT1 instruments Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments Articles 52 (1) point (b) (ii), 56 point (a) and 57of CRR

1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR

1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments Articles 56 point (a) and 57 of CRR According to Article 56 point (a) of CRR, own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations shall be deducted.

1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 85 and 86 of CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.

1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital Articles 4(1)(122), 56 point (b) and 58 of CRR Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1

1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 56 point (d), 59 and 79 of CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted

1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital Article 56 point (e) of CRR The amount to be reported is directly taken from CA 1 item Excess of deduction from T2 items over T2 Capital (deducted in AT1).

1.1.2.9 Other transitional adjustments to AT1 Capital Articles 474, 475, 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Article 36(1) point j) of CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

1.1.2.11 Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR

1.1.2.12 AT1 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR)!

1.2 TIER 2 CAPITAL Article 71 of CRR

1.2.1 Capital instruments and subordinated loans eligible as T2 Capital Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR

1.2.1.1 Paid up capital instruments and subordinated loans Articles 62 point (a), 63 and 65 of CRR The amount to be reported shall not include the share premium related to the instruments

1.2.1.2 (*)Memorandum item: Capital instruments and subordinated loans not eligible Article 63 points (c), (e) and (f); and article 64 of CRR Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods. The amount to be reported shall not include the share premium related to the instruments

1.2.1.3 Share premium Articles 62 point (b) and 65 of CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Paid up capital instruments.

1.2.1.4 (-) Own T2 instruments Article 63 point (b) (i), 66 point (a), and 67 of CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

1.2.1.4.1 (-) Direct holdings of T2 instruments Articles 63 point (b), 66 point (a) and 67 of CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

1.2.1.4.2 (-) Indirect holdings of T2 instruments Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR

1.2.1.4.3 (-) Synthetic holdings of T2 instruments Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR

1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments Articles 66 point (a) and 67 of CRR According to Article 66 point (a) of CRR, own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations shall be deducted.

1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 87 and 88 of CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.

1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

1.2.5 IRB Excess of provisions over expected losses eligible Article 62 point (d) of CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

1.2.6 SA General credit risk adjustments Article 62 point (c) of CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.

1.2.7 (-) Reciprocal cross holdings in T2 Capital Articles 4(1)(122), 66 point (b) and 68 of CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.

1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.

1.2.10 Other transitional adjustments to T2 Capital Articles 476 to 478 and 481 of CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) Article 56 point (e) of CRR Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1. With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR

1.2.13 T2 capital elements or deductions — other This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974. This cell shall not be used to assign capital items/deductions which are not covered by the CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR).

1.3. C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

1.3.

1.3.1. Instructions concerning specific positions Row Legal references and instructions 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 211 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 490 500 510 520 530 540 550 560 570 580 590 600 610 620 630 640 650 660 670 680 690 710 720 730 740 750 760

1.3.1.

1. TOTAL RISK EXPOSURE AMOUNT Articles 92(3), 95, 96 and 98 of CRR

1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR For investment firms under Article 95 (2) and Article 98 of CRR

1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR For investment firms under Article 96 (2) and Article 97 of CRR

1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3) points (a) and (f) of CRR

1.1.1 Standardised approach (SA) CR SA and SEC SA templates at the level of total exposures.

1.1.1.1 SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.

1.1.1.1.01 Central governments or central banks See CR SA template

1.1.1.1.02 Regional governments or local authorities See CR SA template

1.1.1.1.03 Public sector entities See CR SA template

1.1.1.1.04 Multilateral Development Banks See CR SA template

1.1.1.1.05 International Organisations See CR SA template

1.1.1.1.06 Institutions See CR SA template

1.1.1.1.07 Corporates See CR SA template

1.1.1.1.08 Retail See CR SA template

1.1.1.1.09 Secured by mortgages on immovable property See CR SA template

1.1.1.1.10 Exposures in default See CR SA template

1.1.1.1.11 Items associated with particular high risk See CR SA template

1.1.1.1.12 Covered bonds See CR SA template

1.1.1.1.13 Claims on institutions and corporate with a short-term credit assessment See CR SA template

1.1.1.1.14 Collective investments undertakings (CIU) See CR SA template

1.1.1.1.15 Equity See CR SA template

1.1.1.1.16 Other items See CR SA template

1.1.1.2 Securitisations positions SA CR SEC SA template at the level of total securitisation types

1.1.1.2.* Of which: resecuritisation CR SEC SA template at the level of total securitisation types

1.1.2 Internal ratings based Approach (IRB)

1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)

1.1.2.1.01 Central governments and central banks See CR IRB template

1.1.2.1.02 Institutions See CR IRB template

1.1.2.1.03 Corporates — SME See CR IRB template

1.1.2.1.04 Corporates — Specialised Lending See CR IRB template

1.1.2.1.05 Corporates — Other See CR IRB template

1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

1.1.2.2.01 Central governments and central banks See CR IRB template

1.1.2.2.02 Institutions See CR IRB template

1.1.2.2.03 Corporates — SME See CR IRB template

1.1.2.2.04 Corporates — Specialised Lending See CR IRB template

1.1.2.2.05 Corporates — Other See CR IRB template

1.1.2.2.06 Retail — secure by real estate SME See CR IRB template

1.1.2.2.07 Retail — secure by real estate non-SME See CR IRB template

1.1.2.2.08 Retail — Qualifying revolving See CR IRB template

1.1.2.2. 09 Retail — Other SME See CR IRB template

1.1.2.2.10 Retail — Other non-SME See CR IRB template

1.1.2.3 Equity IRB See CR EQU IRB template

1.1.2.4 Securitisations positions IRB CR SEC IRB template at the level of total securitisation types

1.1.2.4* Of which: resecuritisation CR SEC IRB template at the level of total securitisation types

1.1.2.5 Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

1.1.3 Risk exposure amount for contributions to the default fund of a CCP Articles 307 to 309 of CRR

1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR

1.2.1 Settlement/delivery risk in the non-Trading book See CR SETT template

1.2.2 Settlement/delivery risk in the Trading book See CR SETT template

1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR

1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA)

1.3.1.1 Traded debt instruments MKR SA TDI template at the level of total currencies.

1.3.1.2 Equity MKR SA EQU template at the level of total national markets.

1.3.1.3 Foreign Exchange See MKR SA FX template

1.3.1.4 Commodities See MKR SA COM template

1.3.2 Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template

1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Article 92(3) point (e) and 92(4) point (b) of CRR For investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR this element shall be zero.

1.4.1 OpR Basic Indicator approach (BIA) See OPR template

1.4.2 OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template

1.4.3 OpR Advanced measurement approaches (AMA) See OPR template

1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR Only for investment firms under Article 95 (2), Article 96 (2) and Article 98 of CRR. See also Article 97 of CRR Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 of CRR shall report:

If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.

If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.

1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3) point (d) of CRR See CVA template.

1.6.1 Advanced method Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.

1.6.2 Standardised method Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.

1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Articles 92(3) point (b) (ii) and 395 to 401 of CRR

1.8 OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR Additional risk exposure amounts due to Article 3 CRR This item does not have a link to a details template.

1.8.2 Of which: Additional stricter prudential requirements based on Art 458 Article 458 of CRR

1.8.2* Of which: requirements for large exposures Article 458 of CRR

1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of CRR

1.8.2*** Of which: Of which: due to intra financial sector exposures Article 458 of CRR

1.8.3 Of which: Additional stricter prudential requirements based on Art 459 Article 459 of CRR

1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

1.4. C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.

1.4.1. Instructions concerning specific positions Rows 010 020 030 040 050 060 070 080 090 100 110 120

1.4.1.

1 CET1 Capital ratio Article 92(2) point (a) of CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

3 T1 Capital ratio Article 92(2) point (b) of CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

5 Total capital ratio Article 92(2) point (c) of CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

CET1 capital ratio including Pillar II adjustments

Article 92(2) point (a) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the CET1 capital ratio.

Target CET1 capital ratio due to Pillar II adjustments

Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio.

T1 capital ratio including Pillar II adjustments

Article 92(2) point (b) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the T1 capital ratio.

Target T1 capital ratio due to Pillar II adjustments

Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target T1 capital ratio.

Total capital ratio including Pillar II adjustments

Article 92(2) point (c) of CRR and Article 104 (2) CRD IV This cell only has to be populated if a decision of a competent authority has an impact on the total capital ratio.

Target Total capital ratio due to Pillar II adjustments

Article 104 (2) CRD IV This cell only has to be populated if a competent authority decides that an institution has to meet a higher target total capital ratio.

1.5. C 04.00 — MEMORANDUM ITEMS (CA4)

1.5.

1.5.1. Instructions concerning specific positions Rows 010 020 030 040 050 060 070 080 090 100 110 120 130 131 140 145 150 155 160 170 180 190 200 210 220 230 240 250 260 270 280 290 291 292 293 300 310 320 330 340 350 360 361 362 363 370 380 390 400 410 420 430 431 432 433 440 450 460 470 480 490 500 501 502 503 510 520 530 540 550 560 570 571 572 573 580 590 600 610 620 630 640 641 642 643 650 660 670 680 690 700 710 720 730 740 750 760 770 780 790 800 810 820 830 840 850 860 870 880 890 900

1.5.1.

1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the accounting balance sheet.

1.1 Deferred tax assets that do not rely on future profitability Article 39 of CRR Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36(1) point (c) and 38 of CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

1.3 Deferred tax assets that rely on future profitability and arise from temporary differences Articles 36(1) point (c); 38 and 48(1) point (a) of CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17.65 % thresholds in Article 48 of CRR.

2 Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the accounting balance sheet.

2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Article 38(3) and (4) of CRR Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability Article 38 of CRR

2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Article 38 (3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Article 38 (3), (4) and (5) of CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions.

3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount Article 159 of CRR This item shall only be reported by IRB institutions.

3.1.1 General credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions.

3.1.2 Specific credit risk adjustments Article 159 of CRR This item shall only be reported by IRB institutions.

3.1.3 Additional value adjustments and other own funds reductions Articles 34, 110 and 159 of CRR This item shall only be reported by IRB institutions.

3.2 Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to non defaulted exposures shall be reported.

4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR This item shall only be reported by IRB institutions.

4.1 Specific credit risk adjustments and positions treated similarily Article 159 of CRR This item shall only be reported by IRB institutions.

4.2 Total expected losses eligible Articles 158(5), (6) and (10), and 159 of CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Article 62 point (d) of CRR For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0.6 % of risk-weighted exposure amounts calculated with the IRB approach. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0.6 %) which is the base for calculating the cap.

6 Total gross provisions eligible for inclusion in T2 capital Article 62 point (c) of CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects.

7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Article 62 point (c) of CRR According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1.25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1.25 %) which is the base for calculating the cap.

8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Article 46(1) point (a) of CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %..

9 10 % CET1 threshold Article 48(1) points (a) and (b) of CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

10 17.65 % CET1 threshold Article 48(1) of CRR This item contains the 17.65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the Common Equity Tier 1 capital, calculated after all deductions, not including any adjustment due to transitional provisions.

11 Eligible capital for the purposes of qualifying holdings outside the financial sector and large exposures Article 4(1)(71) Eligible capital is defined, for the purposes of qualifying holdings outside the financial sector and large exposures, as the sum of Tier 1 and Tier 2 capital which is equal to or less than one third of Tier 1 capital.

12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44 to 46 and 49 of CRR

12.1 Direct holdings of CET1 capital Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 45, 46 and 49 of CRR

12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:

12.1.1 a)

Underwriting positions held for 5 working days or fewer;

The amounts relating to the investments for which any alternative in article 49 is applied; and

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 of CRR Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR

12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

12.3.1 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR

12.3.2 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 44 and 45 of CRR

12.3.3 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR

13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58 to 60 of CRR

13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and 60(2) of CRR

13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58 and 60(2) of CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:

13.1.1 a)

Underwriting positions held for 5 working days or fewer; and

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR

13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 59 of CRR Article 59 (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

13.3 ynthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR

13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 58 and 59 of CRR

13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR

14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68 to 70 of CRR

14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68, 69 and 70(2) of CRR

14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 70(2) of CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding:

14.1.1 a)

Underwriting positions held for 5 working days or fewer; and

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 4(1)(114), 68 and 69 of CRR

14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR

14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 4(1)(126), 68 and 69 of CRR

14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR

15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 of CRR

15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR

15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 of CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding:

15.1.1 a)

Underwriting positions held for 5 working days or fewer;

The amounts relating to the investments for which any alternative in article 49 is applied; and

Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR

15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 44 and 45 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included.

15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114) and 45 of CRR Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR

15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 44 and 45 of CRR

15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 45 of CRR

16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 of CRR

16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 of CRR

16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 of CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding:

16.1.1 a)

Underwriting positions held for 5 working days or fewer (Article 56 point (d); and

Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR

16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 58 and 59 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included.

16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1)(114) and 59 of CRR Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR

16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 58 and 59 of CRR

16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 59 of CRR

17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 of CRR

17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 of CRR

17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 of CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding:

17.1.1 a)

Underwriting positions held for 5 working days or fewer (Article 66 point (d); and

Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR

17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR

17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(114), 68 and 69 of CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to article 66 point (b) of CRR shall not be included

17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Articles 4(1)(114), 69 of CRR Article 69 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR

17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 4(1)(126), 68 and 69 of CRR

17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Articles 4(1)(126) and 69 of CRR

18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital Article 46(4) of CRR

19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital Article 60 of CRR

20 Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital Article 70 of CRR

21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 12.1.

22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from CET1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 15.1.

23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1.

24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1.

25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 14.1.

26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 of CRR A competent authority may waive on a temporary basis the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 17.1.

27 Combined buffer requirement Article 128 point (6) of CRD

Capital conservation buffer

Articles 128 point (1) and 129 of CRD According to Article 129 (1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

Article 458 (2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 CRR in addition to the capital conservation buffer shall be reported.

Institution specific countercyclical capital buffer

Articles 128 point (2), 130, 135-140 of CRD

Systemic risk buffer

Articles 128 point (5), 133 and 134 of CRD

Systemically important institution buffer

Article 131 of CRD Institutions shall report the amount of the Systemically important institution buffer which is applicable on a consolidated basis.

Global Systemically Important Institution buffer

Articles 128 point (3) and 131 of CRD

Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD

28 Own funds requirements related to Pillar II adjustments Article 104 (2) of CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this cell.

29 Initial capital Articles 12, 28 to 31of CRD and Article 93 of CRR

30 Own funds based on Fixed Overheads Articles 96(2) point (b), 97 and 98(1) point (a) of CRR

31 Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

32 Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template according to Article 5(a)(4) of ITS. The calculation of the threshold shall be done at the basis of the original exposure pre conversion factor. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located.

Adjustments to total own funds

Article 500 (4) of CRR

Own funds fully adjusted for Basel I floor

Article 500 (1) point (b) and (4) of CRR

Own funds requirements for Basel I floor

Article 500 (1) point (b) of CRR

Own funds requirements for Basel I floor — SA alternative

Article 500 (2) and (3) of CRR

1.6. TRANSITIONAL PROVISIONS and GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)

1.6. 1.6.1.15.16.17.18.19.

General remarks CA5 summarizes the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491 of CRR. CA5 is structured as follows: Institutions shall report in the first four columns the adjustments to Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital as well as the amount to be treated as risk weighted assets. Institutions are also required to report the applicable percentage in column 050 and the eligible amount without the recognition of transitional provisions in column 060. Institutions shall only report elements in CA5 during the period where transitional provisions in accordance with Part Ten of CRR apply. Some of the transitional provisions require a deduction from Tier 1. If this is the case the residual amount of a deduction or deductions is applied to Tier 1 and there is insufficient AT1 to absorb this amount then the excess shall be deducted from CET1.

1.6.1.15.16. a.

Template 5.1 summarizes the total adjustments which need to be made to the different components of own funds (reported in CA1 according to the final provisions) as a consequence of the application of the transitional provisions. The elements of this table are presented as adjustments to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

Template 5.2 provides further details on the calculation of those grandfathered instruments which do not constitute state aid.

1.6.2.20.21.22.23.24.

C 05.01 — Transitional provisions (CA5.1) Institutions shall report in Table 5.1 the transitional provisions to own funds components as laid down in Articles 465 to 491 of CRR, compared to applying the final provisions laid down in Title II of Part Two of CRR. Institutions shall report in rows 020 to 060 information in relation with the transitional provisions of grandfathered instruments. The figures to be reported in columns 010 to 060 of row 060 of CA 5.1 can be derived from the respective sections of CA 5.2. Institutions shall report in rows 070 to 092 information in relation with the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 of CRR). In rows 100 onwards institutions shall report information in relation with the transitional provisions of unrealized gains and losses, deductions as well as additional filters and deductions. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. This effect — if it results from transitional provisions — shall be shown in the CA1 template using the respective cells. As a consequence, the adjustments in the columns of the CA5 template do not include any spill-over effects in the case of insufficient capital available.

1.6.2.1. Instructions concerning specific positions Columns 010 Adjustments to CET1 020 Adjustments to AT1 030 Adjustments to T2 040 050 Applicable percentage 060 Rows 010 020 030 040 050 060 070 080 090 091 092 100 110 120 130 133 136 138 140 150 160 170 180 190 194 198 200 210 211 212 220 221 222 230 231 232 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 425 430

1.6.2.1. Adjustments included in RWAs

Column 050 includes the relevant residual amount, i.e. prior the application of provisions of Chapter 2 or 3 of Part Three of CRR. Whereas columns 010 to 030 have a direct link to the CA1 template, the adjustments included in RWA do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the RWA, those adjustments shall be included directly in the CR SA, CR IRB or CR EQU IRB. Additionally, those effects shall be reported in column 040 of CA5.1. As a consequence, those amounts are only memorandum items.

Eligible amount without transitional provisions

Column 060 includes the amount of each instrument prior the application of transitional provisions. I.e. the basis amount relevant to calculate the adjustments.

1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from these adjustments

1.1 Grandfathered instruments Articles 483 to 491 of CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital.

1.1.1 Grandfathered instruments: Instruments constituting state aid Article 483 CRR

1.1.1.1 Instruments that qualified as own funds according to 2006/48/EC Article 483 (1) (2), (4) and (6) of CRR

1.1.1.2 Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme Article 483 (1), (3), (5), (7) and (8) of CRR

1.1.2 Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of table CA 5.2.

1.2 Minority interests and equivalents Articles 479 and 480 of CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2.

1.2.1 Capital instruments and items that do not qualify as minority interests Articles 479 of CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation.

1.2.2 Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Article 85 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital Article 87 and 480 of CRR The amount to be reported in column 060 of this row shall be the eligible amount without transitional provisions.

1.3 Other transitional adjustments Articles 467 to 478 and 481 of CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments.

1.3.1 Unrealised gains and losses Articles 467 and 468 of CRR This row reflects the overall effect of transitional provisions on unrealized gains and losses measured at fair value.

1.3.1.1 Unrealised gains Article 468(1) of CRR

1.3.1.2 Unrealised losses Article 467(1) of CRR

1.3.1.3 Unrealised gains on exposures to central governments classified in the Available for sale category of EU-endorsed IAS39 Article 468 of CRR

1.3.1.4 Unrealised loss on exposures to central governments classified in the Available for sale category of EU-endorsed IAS39 Article 467 of CRR

1.3.1.5 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Article 468 of CRR

1.3.2 Deductions Articles 36(1), 469 to 478 of CRR This row reflects the overall effect of transitional provisions on deductions.

1.3.2.1. Losses for the current financial year Articles 36 (1) point (a), 469 (1), 472 (3) and 478 of CRR The amount to be reported in column 060 of this row shall be the original deduction according to Article 36(1)(a) of CRR. Where firms have only been required to deduct material losses:

where the total interim net loss was material, the full residual amount would be deducted from Tier 1, or

where the whole total interim net loss was not material, no deduction of residual amount would be made.

1.3.2.2. Intangible assets Articles 36 (1) point (b), 469 (1), 472 (4) and 478 of CRR When determining the amount of intangible assets to be deducted, institutions shall take into account the provisions of Article 37 of CRR. The amount to be reported in column 060 of this row shall be the original deduction Article 36(1)(b) of CRR.

1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Articles 36 (1) point (c), 469 (1), 472 (5) and 478 of CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 060 of this row: Total amount according to Article 469 (1) c) of CRR.

1.3.2.4. IRB shortfall of provisions to expected losses Articles 36 (1) point (d), 469 (1), 472 (6) and 478 of CRR When determining the amount of the above-mentioned IRB shortfall of provisions to expected losses to be deducted, institutions shall take into account the provisions of Article 40 of CRR. The amount to be reported in column 060 of this row: Original deduction Article 36(1)(d) of CRR

1.3.2.5. Defined benefit pension fund assets Articles 33 (1) point (e), 469 (1), 472 (7), 473 and 478 of CRR When determining the amount of the above-mentioned defined benefit pension fund assets to be deducted, institutions shall take into account the provisions of Article 41 of CRR. The amount to be reported in column 060 of this row: Original deduction Article 36(1)(e) of CRR

1.3.2.5.* of which: Introduction of amendments to IAS 19 — positive item Article 473 of CRR

1.3.2.5.** of which: Introduction of amendments to IAS 19 — negative item Article 473 of CRR

1.3.2.6. Own instruments Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR

1.3.2.6.1 Own CET1 instruments Articles 36 (1) point (f), 469 (1), 472 (8) and 478 of CRR When determining the amount of the above-mentioned Own Common Equity Tier 1 instruments to be deducted, institutions shall take into account the provisions of Article 42 of CRR. Given that the treatment of the residual amount differs depending upon the nature of the instrument, institutions shall break down holdings in own Common Equity instruments according to direct and indirect holdings. The amount to be reported in column 060 of this row: Original deduction Article 36(1)(f) of CRR.

1.3.2.6.1** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (a) of CRR.

1.3.2.6.1* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 469 (1) (b), 472 (8) (b) of CRR.

1.3.2.6.2 Own AT1 instruments Articles 56 point (a), 474, 475(2) and 478 of CRR When determining the amount of the above-mentioned holdings to be deducted, institutions shall take into account the provisions of Article 57 of CRR. Given that the treatment of the residual amount differs depending upon the nature of the instrument (Article 475(2) of CRR), institutions shall break down the above-mentioned holdings according to direct and indirect own Additional Tier 1 holdings. The amount to be reported in column 060 of this row: Original deduction Article 56 (a) of CRR.

1.3.2.6.2** of which: Direct holdings The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 474 (b) and 475 (2) (a) of CRR.

1.3.2.6.2* of which: Indirect holdings The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Article 474 (b), 475 (2) (b) of CRR.

1.3.2.6.3 Own T2 instruments Articles 66 point (a), 476, 477(2) and 478 of CRR When determining the amount of the holdings to be deducted, institutions shall take into account the provisions of Article 67 of CRR. Given that the treatment of the residual amount differs depending upon the nature of the instrument (Article 477(2) of CRR), institutions shall break down the above-mentioned holdings according to direct and indirect own Tier 2 holdings. The amount to be reported in column 060 of this row: Original deduction Article 66 (a) of CRR.

of which: Direct holdings

The amount to be reported in column 060 of this row: Total amount of direct holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (a) of CRR

of which: Indirect holdings

The amount to be reported in column 060 of this row: Total amount of indirect holdings, including instruments that an institution could be obliged to purchase by virtue of an existing or contingent contractual obligation, Articles 476 (b) and 477 (2) (b) of CRR

1.3.2.7. Reciprocal cross holdings Given that the treatment of the residual amount differs depending whether the holding of Common Equity Tier 1, Additional Tier 1 or Tier 2 in the financial sector entity is to be considered being significant or not (Articles 472(9), 475 (3) and 477 (3) of CRR), institutions shall break down reciprocal cross holdings according to significant investments and non-significant investments.

1.3.2.7.1 Reciprocal cross holdings in CET1 Capital Articles 36(1) point (g), 469 (1), 472(9) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36(1)(g) of CRR

1.3.2.7.1.1 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR

1.3.2.7.1.2 Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment Articles 36(1) point (g), 469 (1), 472(9) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 469 (1) (b) of CRR

1.3.2.7.2 Reciprocal cross holdings in AT1 Capital Articles 56 point (b), 474, 475(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 56 (b) of CRR

1.3.2.7.2.1 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment Articles 56 point (b), 474, 475(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR

1.3.2.7.2.2 Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment Articles 56 point (b), 474, 475(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 475 (3) of CRR

1.3.2.7.3 Reciprocal cross holdings in T2 Capital Articles 66 point (b), 476, 477(3) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 66 (b) of CRR

1.3.2.7.3.1 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment Articles 66 point (b), 476, 477(3) point (a) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR

1.3.2.7.3.2 Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment Articles 66 point (b), 476, 477(3) point (b) and 478 of CRR The amount to be reported in column 060 of this row: Residual amount according to Article 477 (3) of CRR

1.3.2.8. Own funds instruments of financial sector entities where the institution does not have a significant investment

1.3.2.8.1 CET1 instruments of financial sector entities where the institution does not have a significant investment Articles 36(1) point (h), 469 (1), 472(10) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (h) of CRR

1.3.2.8.2 AT1 instruments of financial sector entities where the institution does not have a significant investment Articles 56 point (c), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 56 (c) of CRR

1.3.2.8.3 T2 instruments of financial sector entities where the institution does not have a significant investment Articles 66 point (c), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 66 (c) of CRR

1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment Article 470(2) and (3) of CRR The amount to be reported in column 060 of this row: Article 470 (1) of CRR

1.3.2.10 Own funds instruments of financial sector entities where the institution has a significant investment

1.3.2.10.1 CET1 instruments of financial sector entities where the institution has a significant investment Articles 36(1) point (i), 469 (1), 472(11) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 36 (1) (i) of CRR

1.3.2.10.2 AT1 instruments of financial sector entities where the institution has a significant investment Articles 56 point (d), 474, 475(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 56 (d) of CRR

1.3.2.10.3 T2 instruments of financial sector entities where the institution has a significant investment Articles 66 point (d), 476, 477(4) and 478 of CRR The amount to be reported in column 060 of this row: Original deduction Article 66 (d) of CRR

1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of CRR

1.3.3 Additional filters and deductions Article 481 of CRR This row reflects the overall effect of transitional provisions on additional filters and deductions.

1.3.3

25. In accordance with Article 481 of CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two.

1.6.3.26. C 05.02 — Grandfathered instruments: instruments not constituing state aid (CA5.2) Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Article 484 to 491 of CRR).

1.6.3.26.

1.6.3.1. Instructions concerning specific positions Columns 010 020 030 040 050 060 Rows 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150

1.6.3.1. Amount of instruments plus related share premium

Article 484 (3) to (5) of CRR Instruments which are eligible for each respective row, including their related share premiums.

Base for calculating the limit

Articles 486 (2) to (4) of CRR

Applicable percentage

Article 486 (5) of CRR

Limit

Article 486 (2) to (5) of CRR

(-) Amount that exceeds the limits for grandfathering

Article 486 (2) to (5) of CRR

Total grandfathered amount

The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA 5.1.

1. Instruments that qualified for point a) of Article 57 of 2006/48/EC Article 484(3) of CRR The amount to be reported shall include the related share premium accounts.

2. Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 Article 484(4) of CRR

2.1 Total instruments without a call or an incentive to redeem Article 489 of CRR The amount to be reported shall include the related share premium accounts.

2.2 Grandfathered instruments with a call and incentive to redeem Article 489 of CRR

2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.

2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.

2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity Articles 489(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts

2.3 Excess on the limit of CET1 grandfathered instruments Article 487(1) of CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments.

3. Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 Article 484(5) of CRR

3.1 Total items without an incentive to redeem Article 490 of CRR

3.2 Grandfathered items with an incentive to redeem Article 490 of CRR

3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(3), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.

3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(5), and 491 point (a) of CRR The amount to be reported shall include the related share premium accounts.

3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity Articles 490(6) and 491 point (c) of CRR The amount to be reported shall include the related share premium accounts.

3.3 Excess on the limit of AT1 grandfathered instruments Article 487(2) of CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2. C 06.00 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.

2.1.27.28. GENERAL REMARKS This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation of the reporting entity. Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.

2.1.27. a)

Entities within the scope of consolidation;

Detailed group solvency information;

Information on the contribution of individual entities to group solvency

Information on capital buffers

2.2.29.30. DETAILED GROUP SOLVENCY INFORMATION; The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

2.3.31.32.33.34.35.36.37.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other. The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds. As this third part of the template refers to contributions, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information. The principle is to delete the cross-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group's consolidated CA template by adding the amounts reported for each entity in Group Solvency template. In cases where the 1 % threshold, is not exceeded a direct link to the CA template is not possible. The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk. Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible for one consolidated group to be included within another consolidated group in which case the consolidated entity will have their details included in a higher consolidated group's GS template. An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1 % of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

2.4. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS Columns Instructions 010-060 010 020 025 LEI CODE 030 040 050 060 070-240 070 080 090 100 110 120-240 120 130 140 150 160 170 180 190 200 210 220 230 240 250-400 250-290 250 260 270 280 290 300-400 300-350 300 310 320 330 340 350 360-400 360 370 380 390 400 410-430 410 420 430 440 450 460 470 480 Rows Instructions 010 The template has a fixed row, which is the total of all the individual entities (not including subgroups). This row does not require information in the first part of the template. 999 Below the fixed row, there shall be a row for each entity.

2.4. ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR. The figures of the parent institutions shall also be included in the group solvency template. This part is not applicable to the total row.

NAME

Name of the entity within the scope of consolidation.

CODE

Code assigned to the entity within the scope of consolidation. The actual composition of the code depends on the national reporting system

INSTITUTION OR EQUIVALENT: YES/NO

YES shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions. NO shall be reported otherwise. Minority interests: 81(1) point (a) (ii) and 82(1) point (a) (ii) To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.

SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF), SOLO PARTIALLY CONSOLIDATED (SP) OR SUBCONSOLIDATED (SC)

SF SHALL BE REPORTED FOR INDIVIDUAL SUBSIDIARIES FULLY CONSOLIDATED SP SHALL BE REPORTED FOR INDIVIDUAL SUBSIDIARIES PARTIALLY CONSOLIDATED SC SHALL BE REPORTED FOR SUBGROUPS.

COUNTRY CODE

Institutions shall report the two-letter country code according to ISO 3166-2.

SHARE OF HOLDING (%)

Total percentages of holding held by the reporting institution. This percentage is referred to the actual share of capital relevant for consolidation.

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution's rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.

Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS of the template CA2.

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS of the template CA2.

OPERATIONAL RISK

The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR) of the template CA2. Fixed overheads shall be included in this column including the row 630 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS of the template CA2.

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.

OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 OWN FUNDS of the template CA1.

OF WHICH: QUALIFYING OWN FUNDS

Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR

TOTAL TIER 1 CAPITAL

Article 25 of CRR

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

OF WHICH: T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

Article 87 (1) (b) of CRR

COMMON EQUITY TIER 1 CAPITAL

Article 50 of CRR

OF WHICH: MINORITY INTERESTS

Article 81 of CRR This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in article 85 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.

TIER 2 CAPITAL

Article 71 of CRR

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in article 87 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis. To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CONTRIBUTION TO RISKS

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS of the consolidated report.

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification. Fixed overheads shall be included in this column.

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.

CONTRIBUTION TO OWN FUNDS

This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity. Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves. The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.

Article 87 of CRR

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of CRR

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated AT1 according to the CRR.

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 89 of CRR The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated T2 according to the CRR.

MEMORANDUM ITEM: GOODWILL (-) /(+) NEGATIVE GOODWILL

CONSOLIDATED OWN FUNDS

Article 18 (2) CRR The amount to be reported as CONSOLIDATED OWN FUNDS is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.

OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, subconsolidated or individual level.

COMBINED BUFFER REQUIREMENTS

Article 128 point (2) of CRD

CAPITAL CONSERVATION BUFFER

Article 128 point (1) and 129 of CRD According to Article 129 (1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5 % is stable, an amount shall be reported in this cell.

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128 point (7), Article 130 and 135-140 of CRD In this cell the concrete amount of the countercyclical buffer shall be reported.

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Article 458 (2) point d (iv) of CRR In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.

SYSTEMIC RISK BUFFER

Article 133 and 134 of CRD In this cell the amount of the systemic risk buffer shall be reported.

SYSTEMICAL IMPORTANT INSTITUTION BUFFER

Article 128 point (4) of CRD In this cell the amount of the Systemically important institution buffer shall be reported.

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 131 of CRD In this cell the amount of the Global Systemically Important Institution buffer shall be reported.

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3. CREDIT RISK TEMPLATES

3.

3.1.38. GENERAL REMARKS There are different sets of templates for the Standardised approach and the IRB approach for credit risk. Additionally, separate templates for the geographical breakdown of positions subject to credit risk shall be reported if the relevant threshold as set out in Article 5(a)(4) is exceeded.

3.1.38. 3.1.1.39.40.41.42.43.44.45.

Reporting of CRM techniques with substitution effect Article 235 of CRR describes the computation procedure of the exposure which is fully protected by unfunded protection. Article 236 of CRR describes the computation procedure of exposure which is fully protected by unfunded protection in the case of full protection/partial protection — equal seniority. Articles 196, 197 and 200 of CRR regulate the funded credit protection. Reporting of exposures to obligors (immediate counterparties) and protection providers which are assigned to the same exposure class shall be done as an inflow as well as an outflow to the same exposure class. The exposure type does not change because of unfunded credit protection. If an exposure is secured by an unfunded credit protection, the secured part is assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the protection provider. However, the type of the exposure does not change due to the change of the exposure class. The substitution effect in the COREP reporting framework shall reflect the risk weighting treatment effectively applicable to the covered part of the exposure. As such, the covered part of the exposure is risk weighted according to the SA approach and shall be reported in the CR SA template.

3.1.2.46. Reporting of Counterparty Credit Risk Exposures stemming from Counterparty Credit Risk positions shall be reported in templates CR SA or CR IRB independent from whether they are Banking Book items or Trading Book items.

3.2. C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)

3.2.

3.2.1.47. General remarks The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk according to the standardised approach. In particular, they provide detailed information on:

3.2.1.47. a)

the distribution of the exposure values according to the different, exposure types, risk weights and exposure classes;

the amount and type of credit risk mitigation techniques used for mitigating the risks.

3.2.2.48.49.50.51.52.53.54.55.56.57.

Scope of the CR SA template According to Article 112 of CRR each SA exposure shall be assigned to one of the 16 SA exposure classes in order to calculate the own funds requirements. The information in CR SA is requested for the total exposure classes and individually for each of the exposure classes as defined for the standardised approach. The total figures as well as the information of each exposure class are reported in a separate dimension. However the following positions are not within the scope of CR SA: The scope of the CR SA template covers the following own funds requirements: The scope of the template are all exposures for which the own funds requirements are calculated according to part 3 title II chapter 2 of CRR in conjunction with part 3 title II chapter 4 and 6 of CRR. Institutions that apply Article 94 (1) of CRR also need to report their trading book positions in this template when they apply part 3 title II chapter 2 of CRR to calculate the own funds requirements thereof (part 3 title II chapter 2 and 6 and title V of CRR). Therefore the template provides not only detailed information on the type of the exposure (e.g. on balance sheet/ off balance sheet items), but also information on the allocation of risk weights within the respective exposure class. In addition CR SA includes memorandum items in rows 220 to 250 in order to collect further information about exposures secured by mortgages on immovable property and exposures in default. These memorandum items shall only be reported for the following exposure classes: The reporting of the memorandum items affect neither the calculation of the risk weighted exposure amounts of the exposure classes according to Article 112 points a) to c) and f) to h) of CRR nor of the exposure classes according to Article 112 points i) and j) of CRR reported in CR SA,. The memorandum rows provide additional information about the obligor structure of the exposure classes in default or secured by immovable property. Here exposures shall be reported where the obligors would have been reported in the exposure classes Central governments or central banks, Regional governments or local authorities, Public sector entities, Institutions, Corporates and Retail of CR SA, if those exposures were not assigned to the exposure classes in default or secured by immovable property. E.g. if an exposure, the risk exposure amounts of which are calculated subject to Article 127 of CRR and the value adjustments are less than 20 %, then this information is reported in CR SA, rows 220 in the total and in the exposure class in default. If this exposure, before it defaulted, was an exposure to an institution then this information shall also be reported in row 220 of exposure class institutions.

3.2.2.48.49.50. a)

Exposures assigned to exposure class items representing securitisation positions according to Article 112 (m) of CRR which shall be reported in the CR SEC templates.

Exposures deducted from own funds.

3.2.2.48.49.50.51. a)

Credit risk in accordance with Chapter 2 (Standardised Approach) of Title II of Part Three of CRR in the banking book, among which Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the banking book;

Counterparty credit risk in accordance with Chapter 6 (Counterparty credit risk) of Title II of Part Three of CRR in the trading book;

Settlement risk arising from free deliveries in accordance with Article 379 of CRR in respect of all the business activities.

3.2.2.48.49.50.51.52.53.54. a)

Central governments or central banks (Article 112 point (a) of CRR)

Regional governments or local authorities (Article 112 point (b) of CRR)

Public sector entities (Article 112 point (c) of CRR)

Institutions (Article 112 point (f) of CRR)

Corporates (Article 112 point (g) of CRR)

Retail (Article 112 point (h) of CRR).

3.2.3.58.59.60.61.62.63.64.65.66.67.

Assignment of exposures to exposure classes under the Standardised Approach In order to ensure a consistent categorisation of exposures into the different exposure classes as defined in Article 112 of CRR the following sequential approach shall be applied: The following criteria apply for the classification of the Original exposure pre conversion factors into the different exposure classes (first step) without prejudice to the subsequent redistribution caused by the use of CRM techniques with substitution effects on the exposure or to the treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. For the purpose of classifying the original exposure pre conversion factor in the first step, the CRM techniques associated to the exposure shall not be considered (note that they shall be considered explicitly in the second phase) unless a protection effect is intrinsically part of the definition of an exposure class as it is the case in the exposure class mentioned in Article 112 point (i) of CRR (exposures secured by mortgages on immovable property). Article 112 of CRR does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112 point (n) of CRR) and exposures to institutions (Article 112 point (f) of CRR)/ exposures to corporates (Article 112 point (g) of CRR). In this case it is clear that there is an implicit prioritisation in the CRR since it shall be assessed first if a certain exposure fit for being assigned to Short-term exposures to institutions and corporate and only afterwards do the same process for exposures to institutions and exposures to corporates. Otherwise it is obvious that the exposure class mentioned in Article 112 point (n) of CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but not the only one. It is worth noting that the criteria used for establishing the exposure classes under the standardised approach are different (institutional categorisation, term of the exposure, past due status, etc.) which is the underlying reason for non disjoint groupings. For a homogeneous and comparable reporting it is necessary to specify prioritisation assessment criteria for the assignment of the Original exposure pre conversion factor by exposure classes, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class. The prioritisation criteria presented below using a decision tree scheme are based on the assessment of the conditions explicitly laid down in the CRR for an exposure to fit in a certain exposure class and, if it is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. As such, the outcome of the exposure assignment process for reporting purposes would be in line with CRR provisions. This does not preclude institutions to apply other internal assignment procedures that may also be consistent with all relevant CRR provisions and its interpretations issued by the appropriate fora. An exposure class shall be given priority to others in the assessment ranking in the decision tree (i.e. it shall be first assessed if an exposure can be assigned to it, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. This would be the case when in the absence of prioritisation criteria one exposure class would be a subset of others. As such the criteria graphically depicted in the following decision tree would work on a sequential process. With this background the assessment ranking in the decision tree mentioned below would follow the following order: In the case of exposures in the form of units or shares in collective investment undertakings and where the look through approach (Article 132 (3) to (5) of CRR) is used, the underlying individual exposures shall be considered and classified into their corresponding risk weight line according to their treatment, but all the individual exposures shall be classified within the exposure class of exposures in the form of units or shares in collective investment undertakings (CIU). In the case of nth to default credit derivatives specified in Article 134 (6) of CRR, if they are rated, they shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the Other items exposure class. In this latter case the nominal amount of the contract shall be reported as the Original exposure pre conversion factors in the line for Other risk weights (the risk weight used shall be that specified by the sum indicated under Article 134 (6) of CRR. In a second step, as a consequence of credit risk mitigation techniques with substitution effects, exposures shall be reallocated to the exposure class of the protection provider.

3.2.3.58. a)

In the first step the Original exposure pre conversion factors is classified into the corresponding (original) exposure class as referred to in Article 112 of CRR, without prejudice to the specific treatment (risk weight) that each specific exposure shall receive within the assigned exposure class.

In a second step the exposures may be redistributed to other exposure classes due to the application of credit risk mitigation (CRM) techniques with substitution effects on the exposure (e.g. guarantees, credit derivatives, financial collateral simple method) via inflows and outflows.

3.2.3.58.59.60.61.62.63.64.

1. Securitisation positions;

2. Items associated with particular high risk;

3. Equity exposures

4. Exposures in default;

5. Exposures in the form of units or shares in collective investment undertakings (CIU)/ Exposures in the form of covered bonds (disjoint exposure classes);

6. Exposures secured by mortgages on immovable property;

7. Other items;

8. Exposures to institutions and corporates with a short-term credit assessment;

9. All other exposure classes (disjoint exposure classes) which include Exposures to central governments or central banks; Exposures to regional governments or local authorities; Exposures to public sector entities; Exposures to multilateral development banks; Exposures to international organisations; Exposures to institutions; Exposures to corporate and Retail exposures.

3.2.3.58.59.60.61.62.63.64.65.66.67. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH ACCORDING TO CRR

3.2.4. Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR

3.2.4. 3.2.4.1.68.69.70.

Exposure Class Institutions Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows: Exposures which fulfil the requirements of Article 113 (7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures. According Article 113 (6) and (7) of CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC. This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12 (1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.71.72.

Exposure Class Covered Bonds The assignment of SA exposures to the exposure class covered bonds shall be done as follows: Bonds as defined in Article 52 (4) of Directive 2009/65/EC shall fulfil the requirements of Article 129 (1) to (2) of CRR to be classified in the exposure class Covered Bonds. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52 (4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class Covered Bonds because of Article 129 (6) of CRR.

3.2.4.3.73. Exposure class Collective Investment Undertakings Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR.

3.2.5. Instructions concerning specific positions Columns 010 020 030 040 050-100 050-060 050 060 070-080 070 080 090-100 110 120-140 120 130 140 150 160-190 200 210 215 220 230 240 Rows Instructions 010 020 030 040 050 060 070-130 070 080 090 100 110 120 130 140-280 140 0 % 150 160 170 10 % 180 20 % 190 35 % 200 50 % 210 220 75 % 230 100 % 240 150 % 250 260 270 280 290-320 290 300 310 320

3.2.5. ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111 (2) of CRR: For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92 (3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR. Exposure values for leases are subject to Article 134 (7) of CRR. In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral. In the case of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/ or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220 (4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS

Article 307 and 310 of CRR

(-) Value adjustments and provision associated with the original exposure

Article 24 and 110 of CRR Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject to.

Exposure net of value adjustments and provisions

Sum of columns 010 and 030.

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM. If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. Items to be reported here: Please also see instructions of point 4.1.1.

collateral, incorporated according to Financial Collateral Simple Method;

eligible unfunded credit protection.

Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR Article 239 (3) of CRR defines the adjusted value Ga of an unfunded credit protection.

Article 203 of CRR

Unfunded Credit Protection as defined in Article 4 (59) of CRR different from Credit Derivatives.

Credit derivatives

Article 204 of CRR.

Funded credit protection

These columns refer to funded credit protection according to Article 4 (58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors). Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

Financial collateral: simple method

Article 222 (1) to (2) of CRR.

Other funded credit protection

Article 232 of CRR.

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222 (3), Article 235 (1) to (2) and Article 236 of CRR. Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR) Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

Volatility adjustment to the exposure

Article 223 (2) to (3) of CRR. The amount to be reported is given by the impact of the volatility adjustment to the exposure (Eva-E) = E*He

(-) Financial collateral adjusted value (Cvam)

Article 239 (2) of CRR. For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299 (2) points (c) to (f) of CRR. The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.

Of which: Volatility and maturity adjustments

Article 223 (1) of CRR and Article 239 (2) of CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]

Fully adjusted exposure value (E*)

Article 220 (4), Article 223 (2) to (5) and Article 228 (1) of CRR.

Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors

Article 111 (1) and Article 4 (56) of CRR. See also Article 222 (3) and Article 228 (1) of CRR.

Exposure value

Part 3 title II chapter 4 section 4 of CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.

Risk weighted exposure amount pre SME-supporting factor

Article 113 (1) to (5) of CRR without taking into account the SME-supporting factor according to Article 501 of CRR.

Risk weighted exposure amount after SME-supporting factor

Article 113 (1) to (5) of CRR taking into account the SME-supporting factor according to Article 501 of CRR.

Of which: with a credit assessment by a nominated ECAI

Of which: with a credit assessment derived from central government

Total exposures

of which: SME

This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property All exposures to SME shall be reported here.

of which: SME subject to the SME-supporting factor

This row shall only be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property. Only exposures to SME which meet the requirements of Article 501 CRR shall be reported here.

of which: Secured by mortgages on immovable property — Residential property

Article 125 of CRR. Only reported in exposure class Secured by mortgages on immovable property

of which: Exposures under the permanent partial use of the standardised approach

Exposures treated under Article 150(1) of the CRR

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

Exposures treated under Article 148(1) of the CRR

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution's banking book positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Reporting institution's trading book counterparty credit risk positions according to Article 92 (3) point (f) and Article 299 (2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 89 (1) of CRR also break down their trading book positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040,060 and 080, therefore, not reported in this row. Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document The Application of Basel II to Trading Activities and the Treatment of Double Default Effects, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions; (ii) margin lending transactions as defined in Article 272 (3) of CRR.

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR. Trade exposures to a CCP according to Article 4 (91) of CRR

Derivatives and Long Settlement Transactions

Derivatives comprise those contract listed in Annex II of CRR. Long Settlement Transactions as defined in Article 272 (2) of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 080, shall not be reported in this row.

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR Trade exposures to a CCP according to Article 4 (91) of CRR

From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272 (11) of CRR cannot be assigned to either Derivatives & Long Settlement Transactions or Securities Financing Transactions) shall be included in this row.

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

2 % Article 306 (1) of CRR

4 % Article 305 (3) of CRR

70 % Article 232 (3) point (c) of CRR.

250 % Article 133 (2) of CRR

370 % Article 471 of CRR

1250 % Article 133 (2) of CRR

Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Article 113 (1) to (5) of CRR. Unrated nth to default credit derivatives under the Standardized Approach (Article 134 (6) of CRR) shall be reported in this row under the exposure class Other items. See also Article 124 (2) and Article 152 (2) point (b) of CRR.

Memorandum Items

See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

Exposures secured by mortgages on commercial immovable property

Article 112 point (i) of CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.

Exposures in default subject to a risk weight of 100 %

Article 112 point (j) of CRR. Exposures included in the exposure class exposures in default which shall be included in this exposure class if they were not in default.

Exposures secured by mortgages on residential property

Article 112 point (i) of CRR. This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.

Exposures in default subject to a risk weight of 150 %

Article 112 point (j) of CRR. Exposures included in the exposure class exposures in default which shall be included in this exposure class if they were not in default.

3.3. CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)

3.3. 3.3.1.74.75.76.77.

Scope of the CR IRB template The scope of the CR IRB template covers own funds requirements for: The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach). The CR IRB template does not cover the following data: In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: NO in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) YES in case own estimates of LGD and credit conversion factors are used (Advanced IRB) In any case, for the reporting of the retail portfolios YES has to be reported. In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.1.74. i.

Credit risk in the banking book, among which:

Counterparty credit risk in the banking book;

Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities..

3.3.1.74.75.76. i.

Equity exposures, which are reported in the CR EQU IRB template;

ii.

Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;

iii.

Other non-obligation assets, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

iv.

Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

3.3.2.78. Breakdown of the CR IRB template The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes: For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent of which positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be included in the exposure classes 4.1, 5.1 and 5.4.

3.3.2.78.

1) Total (The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)

2) Central banks and central governments (Article 147 (2) (a) CRR)

3) Institutions (Article 147 (2) point (b) CRR)

4.1) Corporate — SME (Article 147 (2) point (c) CRR

4.1)* Corporate — SME subject to SME-supporting factor (Article 147 (2) point (c) CRR in conjunction with Article 501 (2))

4.2) Corporate — Specialised lending (Article 147 (8) CRR)

4.3) Corporate — Other (All corporates according to article 147 (2) point (c), not reported under 4.1 and 4.2).

5.1) Retail — Secured by immovable property SME (Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

5.1)* Retail — Secured by immovable property SME subject to SME-supporting factor (Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

5.2) Retail — Secured by immovable property non-SME (Exposures reflecting Article 147 (2) point (d) CRR which are secured by immovable property and not reported under 5.1).

5.3) Retail — Qualifying revolving (Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

5.4) Retail — Other SME (Article 147 (2) point (d) not reported under 5.1 and 5.3).

5.4)* Retail — Other SME subject to SME supporting factor (Article 147 (2) point (d) in conjunction with Article 501 (2) CRR not reported under 5.1 and 5.3).

5.5) Retail — Other non — SME (Article 147 (2) point (d) CRR which were not reported under 5.2 and 5.3).

3.3.3. C 08.01 — Credit and counterparty credit risks and free deliveries: IRB Approach to Capital Requirements (CR IRB 1)

3.3.3.

3.3.3.1 Instructions concerning specific positions Columns Instructions 010 020 030 040-080 040-050 040 050 060 070-080 090 100, 120 110 130 140 150-210 150 160 170 180 190-210 190 200 210 220 230 240 250 255 260 270 280 290 300 Rows Instructions 010 020-060 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 030 040-060 040 050 060 070 080 090-150 120 160 170 180

3.3.3.1 INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for total exposure). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166 (1) and (2) and (4) to (7) of CRR. The effect resulting from Article 166 (3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in SUBSTITUTION OF THE EXPOSURE DUE TO CRM.

UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4 (59) of CRR. If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.

GUARANTEES:

If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided. Regarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220. When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided. When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported. Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.

CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided. When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160 Regarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220.

OTHER FUNDED CREDIT PROTECTION

When own estimates of LGD are not used: Article 232 of CRR When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR. To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.

Of which: Off Balance Sheet Items

See CR-SA instructions

EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230 (1) sentence 2 of CRR are reported. For the instruments as defined in Annex I, the credit conversion factors (Article 166 (8) to (10) of CRR) irrespective the approach chosen by the institution, are applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 Of which: arising from counterparty credit risk.

Of which: Arising from counterparty Credit Risk

See CR SA instructions.

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used: Articles 228 (2), 230 (1) and (2), 231 of the CRR Where own estimates of LGD are used:

Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.

Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of the CRR.

GUARANTEES

See instructions to column 040.

CREDIT DERIVATIVES

See instructions to column 050.

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral. When own estimates of LGD are not used: values in accordance with Article 193 (1) to (4) and Article 194 (1) of CRR. The adjusted value (Cvam) as set out in Article 223 (2) of CRR is reported. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199 (1) to (8) of CRR and Article 229 of CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR.

REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199 (2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199 (7) of CRR). See also Article 229 of CRR. When own estimates of LGD are used the amount to be reported shall be the estimated market value.

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199 (6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199 (7) of CRR). See also Article 229 (3) of CRR. Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.

RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199 (5), 229 (2) of CRR are reported. When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 Guarantees and 050 Credit derivatives.

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR. For defaulted exposures, provisions laid down in Article 181 (1) point (h) of CRR shall be considered. The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228 (2) CRR. The exposure weighted average LGD associated to each PD obligor grade or pool shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110. If own estimates of LGD are applied Article 175 and Article 181 (1) and (2) of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialized lending exposures referred to in article 153 (5). Exposure and the respective LGD's for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class retail.

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR. The SME-supporting factor according to Article 501 of CRR shall not be taken into account.

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.

EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5 (3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades.

NUMBER OF OBLIGORS

Articles 172 (1) and (2) of CRR. For all exposure classes except retail, the institution shall report the number of legal entities /obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172 (2) of CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects). The number of obligors shall be calculated based on groups of connected clients according to Article 4 (39) CRR.

TOTAL EXPOSURES

On balance sheet items subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category. Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.

Off balance sheet items subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR. Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040-060 and, therefore, not reported in this row. Exposures arising from assets posted to a CCP according to Article 4 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.

Exposures/Transactions subject to counterparty credit risk

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basel Committee document The Application of Basel II to Trading Activities and the Treatment of Double Default Effects, includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions and (ii) margin lending transactions as defined in Article 272 (3) of CRR. Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.

Derivatives and Long Settlement Transactions

Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.

From Contractual Cross Product Netting

See CR SA instructions

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and Central governments and Central Banks see Article 142 (1) point (6) and Article 170 (1) point c) of CRR. For retail exposures see Article 170 (3) point b) of CRR. For Exposures arising from purchased receivables see Article 166 (6) of CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A master scale is not used. Instead, institutions shall determine the scale to be used themselves.

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Article 153 (5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

Of which: In category 1

Article 153 (5) table 1 of CRR.

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Articles 193 (1) and (2), 194 (1) to (7) and 230 (3) of CRR.

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

Exposures arising from free deliveries for which the alternative treatment referred to in Article 379 (2) first subparagraph, last sentence of CRR is used or for which a 100 % risk weight is applied according to a Article 379 (2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153 (8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4 (53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157 (1) of CRR. According to Article 166 (6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.

3.3.4. C 08.02 — Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template) Column Instructions 010-300 Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1. Row Instructions 010-001 — 010-NNN Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template..

3.4.79.80.81.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN (CR GB) Institutions fulfilling the threshold set in Article 5 (a) (4) shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2. The term residence of the obligor refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country. Data regarding original exposure pre conversion factors shall be reported referring to the country of residence of the immediate obligor. Data regarding exposure value and Risk weighted exposure amounts shall be reported as of the country of residence of the ultimate obligor.

3.4.1. C 09.01 — Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.

3.4.1.1. Instructions concerning specific positions Columns 010 020 040 050 055 060 070 075 080 090 Rows 010 020 030 040 050 060 070 075 080 085 090 095 100 110 120 130 140 150 160

3.4.1.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 010 of CR SA template

Exposures in default

Original exposure pre conversion factors for those exposures which have been classified as defaulted exposures. This memorandum item provides additional information about the obligor structure of the exposure class in default. Exposures shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes in default. This information is a memorandum item — hence does not affect the calculation of risk weighted exposure amounts of exposure class in default according to Article 112 point (j) of CRR.

Observed new defaults for the period

The amount of original exposures which have moved into exposure class Exposures in default during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.

General credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as defaulted exposures during the 3-month period since the last data submission.

Exposure value

Same definition as for column 200 of CR SA template

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template

Central governments or central banks

Article 112 point (a) of CRR.

Regional governments or local authorities

Article 112 point (b) of CRR.

Public sector entities

Article 112 point (c) of CRR.

Multilateral developments banks

Article 112 point (d) of CRR.

International organisations

Article 112 point (e) of CRR.

Institutions

Article 112 point (f) of CRR.

Corporates

Article 112 point (g) of CRR.

of which: SME

Same definition as for row 020of CR SA template

Retail

Article 112 point (h) of CRR.

of which: SME

Same definition as for row 020of CR SA template

Secured by mortgages on immovable property

Article 112 point (i) of CRR.

of which: SME

Same definition as for row 020of CR SA template

Exposures in default

Article 112 point (j) of CRR.

Items associated with particularly high risk

Article 112 point (k) of CRR.

Covered bonds

Article 112 point (l) of CRR.

Claims on institutions and corporates with a short-term credit assessment

Article 112 point (n) of CRR.

Collective investments undertakings (CIU)

Article 112 point (o) of CRR.

Equity exposures

Article 112 point (p) of CRR.

Other exposures

Article 112 point (q) of CRR.

3.4.2. C 09.02 — Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

3.4.2.

3.4.2.1. Instructions concerning specific positions Columns 010 030 040 050 055 060 070 080 090 100 105 110 120 125 130 Rows 010 020 030 040 050 060 070 080 090 100 110 120 130 140

3.4.2.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 020 of CR IRB template

Of which defaulted

Original exposure value for those exposures which have been classified as defaulted exposures according to CRR article 178.

Observed new defaults for the period

General credit risk adjustments

Credit risk adjustments according to Article 110of CRR..

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

Write-offs

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as defaulted exposures during the 3-month period since the last data submission.

INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

Same definition as for column 010 of CR IRB template

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181 (1) point h) of CRR shall apply. Data shall not be reported for specialized lending exposures referred to in article 153 (5).

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as defaulted exposures according to Article 178 of CRR.

Exposure value

Same definition as for column 110 of CR IRB template.

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as defaulted exposures according to Article 178 of CRR.

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template

EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template

Central banks and central governments

(Article 147 (2) (a) CRR)

Institutions

(Article 147 (2) point (b) CRR)

Corporates

(All corporates according to article 147 (2) point (c).)

Of which: Specialized lending

(Article 147 (8) a CRR) Data shall not be reported for specialized lending exposures referred to in article 153 (5).

Of which: SME

(Article 147 (2) point (c) CRR)

Retail

All Retail exposures according to Article 147 (2) point (d)

Retail — Secured by real estate property

Exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.

SME

Retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR which are secured by real estate.

non-SME

Retail exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.

Retail — Qualifying revolving

(Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

Other Retail

Other retail exposures according to Article 147 (2) point (d) not reported in rows 070 — 100.

SME

Other retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR.

non-SME

Other retail exposures reflecting Article 147 (2) point (d) CRR.

Equity

Equity exposures reflecting Article 147 (2) point (e) CRR.

3.4.3. C 09.03 — Breakdown of total own funds requirements for credit risk of relevant credit exposures by country (CR GB 3)

3.4.3. 3.4.3.1.82.83.84.

General remarks According to Article 128 point (7) in connection with Articles 130 and 140 (1) CRD the countercyclical buffer rate is the weighted average of the countercyclical buffer rates that apply in the jurisdiction where the relevant credit exposures of the institution are located. The weighted average is calculated as follows: This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II of the CRR which includes credit risk and securitisation calculated on the basis of the relevant credit exposures broken down by country. The information shall be reported by each country. The threshold set in Article 5 (a) (4) is not relevant for the reporting of this breakdown.

3.4.3.1.82. a)

Numerator: Total own funds requirements for credit risk determined in accordance with Part Three, Titles II and IV of CRR that relate to the relevant credit exposures in the territory in question

Denominator: Total own funds requirements for credit risk that relate to the relevant credit exposures

3.4.3.2. Instructions concerning specific positions Rows 010

3.4.3.2. Own funds requirements for credit risk

Part Three, Title II of the CRR

3.5. C 10.01 AND C 10.02 — EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

3.5. 3.5.1.85.86.87.88.89.90.

General remarks The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. CR EQU IRB refers to both CR EQU IRB 1 and CR EQU IRB 2 templates, as applicable, in the following instructions. The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92 (3) point (a) of CRR) according to the IRB method (Part Three, Title II, Chapter 3 of CRR) for equity exposures referred to in Article 147(2) point (e) of CRR. According to Article 147 (6) of CRR, the following exposures shall be assigned to the equity exposure class: Collective investment undertakings treated according to the simple risk weight approach as referred to in Article 152 of CRR shall also be reported in the CR EQU IRB template. In accordance with Article 151(1) of CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of CRR: Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach (e.g. equity exposures attracting a riskweight of 250 % in accordance with Article 48(4) of CRR, respectively a riskweight of 370 % in accordance with Article 471(2) of CRR))). The following equity claims shall not be reported in the CR EQU IRB template:

3.5.1.85.86.87. a)

non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer; or

debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

the Simple Risk Weight approach,

the PD/LGD approach, or

the Internal Models approach.

Equity exposures in the trading book (in case where institutions are not exempted from calculating own funds requirements for trading book positions according to Article 94 of CRR).

Equity exposures subject to the partial use of the standardised approach (Article 150 of CRR), including:

Grandfathered equity exposures according to Article 495(1) of CRR,

Equity exposures to entities whose credit obligations are assigned a 0 % risk weight under the Standardised Approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1) point (g) of CRR),

Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1) point (h) of CRR).

Equity exposures to ancillary services undertakings whose risk weighted exposure amounts may be calculated according to the treatment of other non credit-obligation assets (in accordance with Article 155(1) of CRR).

Equity claims deducted from own funds in accordance with Articles 46 and 48 of the CRR.

3.5.2.91. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2) Columns 010 020 030-040 050 060 070 080 090 In accordance with Article 155 of CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template riskweighted exposure amounts for those equity exposures which attract a fixed riskweight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach). Rows CR EQU IRB 1 — row 020 CR EQU IRB 1 — rows 050-090 CR EQU IRB 1 — row 100 CR EQU IRB 1 — row 110 CR EQU IRB 2

3.5.2. INTERNAL RATING SYSTEM PD ASSIGNED TO THE OBLIGOR GRADE (%)

Institutions applying the PD/LGD approach report in column 010 the probability of default (PD) calculated in accordance with the provisions referred to in Article 165(1) of CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements as laid down in Part Three, Title II, Chapter 3, Section 6 of CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report in column 020 the original exposure value (pre conversion factors). According to the provisions laid down in Article 167 of CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions also include in column 020 off balance sheet items referred to in Annex I of CRR assigned to the equity exposure class (e.g. the unpaid portion of partly-paid shares). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) also consider the offsetting provisions referred to in Article 155(2) of CRR.

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES

Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognize unfunded credit protection obtained on equity exposures (Article 155(2),(3) and (4) of CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS

Institutions report in column 050 the part of the original exposure pre conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Part Three, Title II, Chapter 4 of CRR.

EXPOSURE VALUE

Institutions applying the Simple Risk Weight approach or the PD/LGD approach report in column 060 the exposure value taking into account substitution effects stemming from unfunded credit protection (Article 155(2) and (3), Article 167 of CRR). As a reminder, in the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of CRR).

EXPOSURE WEIGHTED AVERAGE LGD (%)

Institutions applying the PD/LGD approach report in column 070 of the CR EQU IRB 2 template the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation; the same applies for row 020 of the CR EQU IRB template. The exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into accounts the provisions laid down in Article 165(2) of CRR.

RISK WEIGHTED EXPOSURE AMOUNT

Institutions report risk-weighted exposure amounts for equity exposures in column 080, calculated in accordance with the provisions laid down in Article 155 of CRR. In case where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of CRR, a scaling factor of 1.5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of CRR).

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

Institutions report in column 090 the expected loss amount for equity exposures calculated in accordance with Article 158(4), (7), (8) and (9) of CRR.

3.5.2.91. PD/LGD APRROACH: TOTAL

Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in row 020 of the CR EQU IRB 1 template.

SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS:

Institutions applying the Simple Risk Weight approach (Article 155(2) of CRR) report the requested information according to the characteristics of the underlying exposures in rows 050 to 090.

INTERNAL MODELS APPROACH

Institutions applying the Internal Models approach (Article 155(4) of CRR) report the requested information in row 100.

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

Institutions applying the IRB approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated according to the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk standardised approach). As an example, shall be reported in row 110.

the risk weighted exposure amount of equity positions in financial sector entities treated in accordance with Article 48(4) of the CRR, as well as

equity positions risk-weighted with 370 % in accordance with Article 471 (2) CRR

BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

Institutions applying the PD/LGD approach (Article 155(3) of CRR) report the requested information in the CR EQU IRB 2 template. In case where institutions using the PD/LGD approach apply a unique rating system or are able to report according to an internal master scale, they report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/masterscale. In any other case, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

3.6. C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

3.6. 3.6.1.92.93.94.95.96.97.98.

General remarks This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk according to Articles 92(3) Point c) ii) and 378 of CRR. Institutions report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book. According to Article 378 of CRR, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates are nevertheless subject to own funds requirements for settlement/delivery risk as determined in Article 378 of CRR. In the case of unsettled transactions after the due delivery date, institutions calculate the price difference to which they are exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution. Institutions multiply this difference by the appropriate factor of Table 1 of Article 378 of CRR to determine the corresponding own funds requirements. According to Article 92(4) Point (b), the own funds requirements for settlement/delivery risk shall be multiplied by 12.5 to calculate the risk exposure amount. Note that own funds requirements for free deliveries as laid down in Article 379 of CRR are not within the scope of the CR SETT template; the latter shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2. Instructions concerning specific positions Columns 010 020 030 040 Rows 010 020 to 060 070 080 to 120

3.6.2. UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

In accordance with Article 378 of CRR, institutions report in this column 010 the unsettled transactions after their due delivery date at the respective agreed settlement prices. All unsettled transactions shall be included in this column 010, irrespective of whether or not they are at a gain or at a loss after the due settlement date.

PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

In accordance with Article 378 of CRR, institutions report in column 020 the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution. Only unsettled transactions at a loss after the due settlement date shall be reported in column 020

OWN FUNDS REQUIREMENTS

Institutions report in column 030 the own funds requirements calculated in accordance with Article 378 of CRR.

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

In accordance with Article 92(4) point (b) of CRR, institutions multiply their own funds requirements reported in column 030 by 12.5 in order to obtain the settlement risk exposure amount.

Total unsettled transactions in the Non-trading Book

Institutions report in row 010 aggregated information in relation with settlement/delivery risk for non-trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR). Institutions report in 010/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 010/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 010/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %)

Institutions report the information in relation with settlement/delivery risk for non-trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 020 to 060. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

Total unsettled transactions in the Trading Book

Institutions report in row 070 aggregated information in relation with settlement/delivery risk for trading book positions (in accordance with Articles 92(3) Point c) ii) and 378 of CRR). Institutions report in 070/010 the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions report in 070/020 the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions report in 070/030 the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 of CRR).

Institutions report the information in relation with settlement/delivery risk for trading book positions according to the categories referred to in Table 1 of Article 378 of CRR in rows 080 to 120. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7. C 12.00 — CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

3.7.

3.7.1.99.100.

General remarks The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Standardised Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. The CR SEC SA template gathers joint information on both traditional and synthetic securitisations held in the banking book, as defined in Article 242 (10) and (11) of CRR, respectively.

3.7.2.101.102.

Instructions concerning specific positions Columns 010 020-040 020 030 040 050 060 070 080-110 080 090 100-110 100 110 120 130 140 150-180 190 200 210 220-320 220-260 270 280 290 300 310 320 330 340 350 360 370-380 390 The CR SEC SA template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives as well as by securitisations and re-securitisations. Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 010 020 030 040-060 070-090 100 110 120-140 150-170 180 190-210 220-240 250-290

3.7.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

Originator institutions must report the outstanding amount at the reporting date of all current securitisation exposures originated in the securitisation transaction, irrespective of who holds the positions. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) that have been originated in the securitisation shall be reported. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the reporting of the CR SEC SA or CR SEC IRB templates. For this purpose securitisation positions held by the originator include early amortisation provisions in a securitisation of revolving exposures, as defined under Article 242(12) of CRR. For all other securitisations for which there is a recognition of significant risk transfer it shall be further clarified that under column 010 of the CR SEC IRB and CR SEC SA templates the originator shall report all the securitisation exposures originated irrespective of who is holding them.

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Following the provisions in Articles 249 and 250 of CRR the credit protection to the securitised exposures shall be as if there was no maturity mismatch.

(-) FUNDED CREDIT PROTECTION (CVA )

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA ) which is expected to be reported in this column is established in Article 223(2) of CRR.

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for inflows and outflows the amounts reported under this column shall appear as inflows in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection) The calculation procedure of the foreign exchange risk- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection.

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246 (1) and (2) of CRR, without applying credit conversion factors and any credit risk adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitised positions are not considered. In case of early amortization clauses, institutions must specify the amount of originator's' interest as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

Securitisation positions according to Article 246(1) and (2) of CRR, without applying conversion factors. This piece of information is related to column 040 of the CR SA Total template.

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Article 4 (57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). See CR SA instructions (Reporting of CRM techniques with substitution effect).

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA )

Unfunded credit protection is defined in Article 4 (59) and regulated in Article 235 of CRR. See CR SA instructions (Reporting of CRM techniques with substitution effect).

(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4 (58) and regulated in Articles 195, 197 and 200 of CRR. Credit linked notes and on-balance sheet netting according to Articles 218-236 of CRR are treated as cash collateral. See CR SA instructions (Reporting of CRM techniques with substitution effect).

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

(-) TOTAL OUTFLOWS

Articles 222 (3) and 235 (1) and (2). Outflows correspond to the covered part of the Exposure net of value adjustments and provisions, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 090 [(-) Total Outflows] of the CR SA Total template.

TOTAL INFLOWS

Securitisation positions which are debt securities and are eligible financial collateral according to Article 197 (1) of CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. This piece of information is related to column 100 (Total Inflows) of the CR SA Total template.

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to Credit risk mitigation (CRM) techniques with substitution effects on the exposure. This piece of information is related to column 110 of the CR SA Total template.

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM )

This item also includes credit linked notes (Article 218 of CRR). This piece of information is related to columns 120 and 130 of the CR SA Total template.

FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion figures laid down in Article 246(1) point c) of CRR. This piece of information is related to column 150 of the CR SA Total template.

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor. This conversion figure shall be 100 % unless otherwise specified in the CRR. See columns 160 to 190 of the CR SA Total template. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, [0 %, 20 %], [20 %, [50 %] and [50 %, 100 %].

EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR. This piece of information is related to column 200 of the CR SA Total template.

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 258 of CRR envisages that in case of a securitisation position in respect of which a 1250 % risk weight is assigned, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

Exposure value minus the exposure value deducted from own funds.

BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS

RATED

Article 242(8) of CRR defines rated positions. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the SA in Article 251 (Table 1) of CRR.

1250 % (UNRATED)

Article 242(7) of CRR defines unrated positions.

LOOK-THROUGH

Articles 253, 254 and 256(5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio).

LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

Exposure value subject to the treatment of securitisation positions in a second loss tranche or better in an ABCP programme is set in 254 of CRR. Article 242(9) of CRR defines Asset-backed commercial paper (ABCP) programme.

LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.

INTERNAL ASSESSMENT APPROACH (IAA)

Articles 109 (1) and 259 (3) of CRR. Exposure value of securitisation positions under the internal assessment approach.

IAA: AVERAGE RISK WEIGHT (%)

Exposure value weighted average risk weight shall be provided.

RISK-WEIGHTED EXPOSURE AMOUNT

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations, the amount to be reported in this column shall ignore any maturity mismatch.

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14 (2), 406 (2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.

ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 330 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates.

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col. 370) /after (col. 380) applying the limits specified in Articles 252 -securitisation of items currently in default or associated with particular high risk items- or 256 (4) -additional own funds requirements for securitisations of revolving exposures with early amortisation provisions- of CRR.

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions.

3.7.2.101.102. TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

ORIGINATOR: TOTAL EXPOSURES

This row summarizes information on on-balance items and off-balance sheet items and derivatives and early amortisation of those securitisation positions for which the institution plays the role of originator, as defined by Article 4(1)(13) of CRR.

ON-BALANCE SHEET ITEMS

Article 246 (1) point (a) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the Standardised Approach, the exposure value of an on-balance sheet securitisation position shall be its accounting value after application of specific credit risk adjustments. On-balance sheet items are broken down by securitisations (row 050) and re-securitisations (row 060).

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion figure unless otherwise specified. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items and derivatives are broken down by securitisations (row 080) and re-securitisations (row 090) as in Article 251 Table 1 of CRR.

EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.

INVESTOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of investor. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor.

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4 (14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows the information regarding its own securitised assets.

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations and re-securitisations used for on-balance sheet items for originators shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations and re-securitisations used for off-balance sheet items and derivatives for originators shall be applied here.

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the SA in Article 251 (Table 1) of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 190 to 270 and columns 330 to 340.

3.8. C 13.00 — CREDIT RISK — SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

3.8. 3.8.1.103.104.105.

General remarks The information in this template is requested for all securitisations in which the reporting institution is involved in a securitisation treated under the Internal Ratings Based Approach. The information to be reported is contingent on the role of the institution as for the securitisation. As such, specific reporting items are applicable for originators, sponsors and investors. The CR SEC IRB template has the same scope as the CR SEC SA, it gathers joint information on both traditional and synthetic securitisations held in the banking book.

3.8.2.106.107.

Instructions concerning specific positions Columns 010 020-040 020 030 040 050 060-090 060 070 080-090 080 090 100 110 120 130-160 170 180 190 200-320 330 340 350 360 370 380 390 400 410 420 430 440-450 460 The CR SEC IRB template is divided into three major blocks of rows which gather data on the originated/sponsored/retained or purchased exposures by originators, investors and sponsors. For each of them, the information is broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as by risk weight groupings of securitisations and re-securitisations. Total exposures (at reporting date) are also broken down according to the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 010 020 030 040-090 100-150 160 170 180-230 240-290 300 310-360 370-420 430-540

3.8.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED

For the row total on balance sheet items the amount reported under this column corresponds to the outstanding amount of securitised exposures at the reporting date. See column 010 of CR SEC SA.

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

Articles 249 and 250 of CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure.

(-) FUNDED CREDIT PROTECTION (CVA )

The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA ) which is expected to be reported in this column is established in Article 223(2) of CRR.

(-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

Following the general rule for inflows and outflows the amounts reported under column 030 of the CR SEC IRB template shall appear as inflows in the corresponding credit risk template (CR SA or CR IRB) and exposure class relevant for the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the foreign exchange risk- adjusted nominal amount of the credit protection (G*) is established in Article 233(3) of CRR.

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Securitisation positions held by the reporting institution, calculated according to Article 246(1) and(2) of CRR, without applying credit conversion factors and gross of value adjustments and provisions. Netting only relevant with respect to multiple derivative contracts provided to the same SSPE, covered by eligible netting agreement. Value adjustments and provisions to be reported in this column only refer to securitisation positions. Value adjustments of securitized positions are not considered. In case of early amortisation clauses, institutions must specify the amount of originator's' interest as defined in Article 256(2) of CRR. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor's interest (early amortisation) shall be the result of the aggregation of columns 010 to 040.

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

See Article 4(1)(57) and Part Three, Title II, Chapter 4 of CRR. This block of columns gathers information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows).

(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA )

Unfunded credit protection is defined in Article 4(1)(59) of CRR. Article 236 of CRR describes the computation procedure of GA in the case of full protection/partial protection — equal seniority. This piece of information is related to columns 040 and 050 of the CR IRB template.

(-) FUNDED CREDIT PROTECTION

Funded credit protection is defined in Article 4(1)(58) of CRR. Since the Financial Collateral Simple Method is not applicable, only funded credit protection according to Article 200 of CRR shall be reported in this column. This piece of information is related to column 060 of the CR IRB template.

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall also be reported.

(-) TOTAL OUTFLOWS

Article 236 of CRR. Outflows correspond to the covered part of the Exposure net of value adjustments and provisions, that is deducted from the obligor's exposure class and, when relevant, risk weight or obligor grade, and subsequently assigned to the protection provider's exposure class and, when relevant, risk weight or obligor grade. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, risk weights or obligor grades. This piece of information is related to column 070 of the CR IRB template.

TOTAL INFLOWS

This piece of information is related to column 080 of the CR IRB template.

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM)

Articles 218 to 222 of CRR. This item also includes credit linked notes (Article 218 of CRR).

FULLY ADJUSTED EXPOSURE VALUE (E*)

Securitisation positions according to Article 246 of CRR, therefore without applying the conversion factors laid down in Article 246(1) point c) of CRR.

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

Article 246(1) point c) of CRR foresees that the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion figure. This conversion figure shall be 100 % unless otherwise specified. In this respect, Article 4(1)(56) of CRR defines conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported according to the following four mutually exclusive intervals of conversion factors: 0 %, (0 %, 20 %], (20 %, 50 %] and (50 %, 100 %].

EXPOSURE VALUE

Securitisation positions according to Article 246 of CRR. This piece of information is related to column 110 of the CR IRB template.

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

Article 266(3) of CRR foresees that in case of a securitisation position in respect of which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position.

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RATINGS BASED METHOD (CREDIT QUALITY STEPS)

Article 261 of CRR. IRB-Securitisation positions with an inferred rating according to Article 259(2) of CRR shall be reported as positions with a rating. Exposure values subject to risk weights are broken down according to credit quality steps (CQS) as envisaged for the IRB Approach Article 261(1) Table 4 of CRR.

SUPERVISORY FORMULA METHOD

For the Supervisory Formula Method (SFM), Article 262 of CRR. The risk weight for a securitisation position shall be the greater of 7 % or the risk weight to be applied in accordance with the formulas provided.

SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

Credit risk mitigation on securitisation positions may be recognised in accordance with Article 264 of CRR. In this case, the institution shall indicate the effective risk weight of the position when full protection has been received, according to what is established in Article 264(2) of CRR (the effective risk weight equals the risk-weighted exposure amount of the position divided by the exposure value of the position, multiplied by 100). When the position benefits from partial protection, the institution must apply the Supervisory Formula Method using the T adjusted according to what is established in Article 264(3) of CRR. Weighted average risk weights shall be reported in this column.

LOOK-THROUGH

The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (highest risk weight of the pool). Article 263(2) and (3) of CRR envisage an exceptional treatment where Kirb cannot be calculated. The undrawn amount of the liquidity facilities shall be reported under Off balance sheet items and derivatives. As long as an originator would be under the exceptional treatment where Kirb cannot be calculated, then column 350 would be the right column to use for the reporting of the risk weighting treatment given to the exposure value of a liquidity facility subject to the treatment laid down in Article 263 of CRR. For early amortisations see Articles 256(5) and 265 of CRR.

LOOK-THROUGH: AVERAGE RISK WEIGHT

Exposure value weighted average risk weight shall be provided.

INTERNAL ASSESSMENT APPROACH

Article 259(3) and (4) of CRR envisages the Internal Assessment Approach (IAA) for positions in ABCP programmes.

IAA: AVERAGE RISK WEIGHT

Weighted average risk weights shall be reported in this column.

(-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

Institutions applying the IRB Approach shall follow Article 266(1) (only applicable for originators, when the exposure has not been deducted from own funds) and (2) of CRR. Value adjustments and provisions (Article 159 of CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments include any amount recognized in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on exposures purchased when in default according to Article 166(1) of CRR. Provisions include accumulated amounts of credit losses in off-balance sheet items.

RISK-WEIGHTED EXPOSURE AMOUNT

Part Three, Title II, Chapter 5, Section 3 of CRR prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template.

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch.

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Articles 14(2), 406(2) and 407 of CRR foresee that whenever certain requirements are not met by the institution, Member States shall ensure that the competent authorities impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Part Three, Title II, Chapter 5, Section 3 of CRR.

ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

For maturity mismatches in synthetic securitisations RW*-RW(SP), as defined in Article 250 of CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported is zero. Note that RW(SP) not only includes the risk weighted exposure amounts reported under column 400 but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. Negative values shall be reported in this column.

TOTAL RISK-WEIGHTED EXPOSURE AMOUNT: BEFORE CAP/ AFTER CAP

Total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5, Section 3 of CRR, before (col 440)/after (col 450) applying the limits specified in Article 260 of CRR. Additionally Article 265 of CRR (additional own funds requirements for securitisations of revolving exposures with early amortisation provisions) has to be considered.

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

3.8.2.106.107. TOTAL EXPOSURES

Total exposures refer to the total amount of outstanding securitisations. This row summarizes all the information reported by originators, sponsors and investors in subsequent rows.

OF WHICH: RE-SECURITISATIONS

Total amount of outstanding re-securitisations according to definitions in Article 4(1)(63) and (64) of CRR.

ORIGINATOR: TOTAL EXPOSURES

ON-BALANCE SHEET ITEMS

Article 246 (1) lit b) of CRR states that for those institutions which calculate risk-weighted exposure amounts under the IRB Approach, the exposure value of an on-balance sheet securitisation position shall be the accounting value without taking into account any credit risk adjustments made. On-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 050-070, and re-securitisations (D-E), in rows 080-090, as stated in Article 261(1) Table 4 of CRR.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

These rows gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II of CRR, shall be determined in accordance to Part Three, Title II, Chapter 6 of CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps they shall provide the exposure value (according to Article 246(1) of CRR) as specified in the CR SA Total template. Off-balance sheet items are broken down according to risk weight groupings of securitisations (A-B-C), in rows 110-130, and re-securitisations (D-E), in rows 140-150, as stated in Article 261(1) Table 4 of CRR.

EARLY AMORTISATION

This row only applies to those originators with revolving exposure securitisations containing early amortisation provisions, as stated in Article 242 (13) and (14) of CRR.

INVESTOR: TOTAL EXPOSURES

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items for originators shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

SPONSOR: TOTAL EXPOSURES

This row summarizes information on on-balance and off-balance sheet items and derivatives of those securitisation positions for which the institution plays the role of a sponsor, as defined by Article 4(1)(14) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets.

ON-BALANCE SHEET ITEMS

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for on-balance sheet items and derivatives for originators shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among securitisations (A-B-C) and re-securitisations (D-E) used for off-balance sheet items and derivatives for originators shall be applied here.

BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION

These rows gather information on outstanding positions (at reporting date) according to credit quality steps (envisaged for the IRB in Article 261 Table 4 of CRR) applied at origination date (inception). In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 170 to 320 and columns 400 to 410.

3.9. C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.9. 3.9.1.108.109.110.111.112.

General remarks This template gathers information on a transaction basis (versus the aggregate information reported in CR SEC SA, CR SEC IRB, MKR SA SEC and MKR SA CTP templates) on all securitisations the reporting institution is involved. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements are requested. This template is to be reported for: This template has to be rendered on a consolidated basis, i.e. only by consolidated groups and stand alone institutions located in the same country where they are subject to own funds requirements. In case of securitisations involving more than one entity of the same consolidated group, the entity-by-entity detail breakdown shall be provided. On account of Article 406 (1) of CRR, which establishes that institutions investing in securitisation positions shall acquire a great deal of information on them in order to comply with due diligence requirements the reporting scope of the template is applied to a limited extent to investors. In particular, they shall report columns 010-040; 070-110; 160; 190; 290-400; 420-470. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.9.1.108.109. a.

Securitisations originated/sponsored by the reporting institution in case it holds at least one position in the securitisation. This means that, regardless of whether there has been a significant risk transfer or not, institutions shall report information on all the positions they hold (either in the banking book or trading book). Positions held include those positions retained due to Article 405 of CRR.

Securitisations originated/sponsored by the reporting institution during the year of report, in case it holds no position.

Securitisations of financial liabilities (e.g. covered bonds) issued by the reporting institution.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

3.9.2. Instructions concerning specific positions Columns 010 020 030 040 050 060 070 080-100 080 090 100 110 120-130 120 130 140-220 140 150 160 170 180 190 200 210 220 230-300 230-250 230 240 250 260-280 290 300 310-400 310-330 340-360 370-400 370 380 390 400 410 420 430 440 450-510 450 460-470 480

3.9.2. INTERNAL CODE

Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation.

IDENTIFIER OF THE SECURITISATION (Code/Name)

Code used for the legal registration of the securitisation or, if not available, the name by which the securitisation is known in the market. When the International Securities Identification Number -ISIN- is available (i.e. for public transactions) the eight characters that are common to all tranches of the securitisation shall be reported in this column.

IDENTIFIER OF THE ORIGINATOR (Code/Name)

The code given by the supervisory authority to the originator or, if not available, the name of the institution itself shall be reported for this column. In the case of multi-seller securitisations the reporting entity shall provide the identifier of all the entities within its consolidated group that are involved in the transaction. Whenever the code is not available or is not known by the reporting entity, the name of the institution shall be reported.

SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC)

Report the following abbreviations: — T for Traditional; — S for Synthetic. The definitions of traditional securitisation and synthetic securitisation is provided in Article 242(10) and (11) of CRR.

ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

Report the following abbreviations: — K if entirely recognised — P if partially derecognised — R if entirely derecognised — N if not applicable. This column summarises the accounting treatment of the transaction. In case of synthetic securitisations, originators shall report that securitised exposures are removed from the balance sheet. In all cases, investors shall report N (not applicable). In case of the securitisations of liabilities originators shall not report this column. Option P (partially removed) shall be reported when the securitised assets are recognized in the balance sheet to the extent of the reporting entity' continuing involvement as regulated in IAS 39.30-35.

SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS?

Originators, only, shall report the following abbreviations: — N not subject to own funds requirements; — B banking book; — T trading book; — A partly in both books. Articles 109, 243 and 244 of CRR. This column summarises the solvency treatment of the securitisation scheme by the originator. It indicates whether own funds requirements are computed according to securitised exposures or securitisation positions (banking book/trading book). If own funds requirements are based on securitised exposures (for not being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SA template, in case the Standardised Approach is used, or in the CR IRB template, in case the Internal Ratings Based Approach is used by the institution. Conversely, if own funds requirements are based on securitisation positions held in the banking book (for being significant risk transfer) the computation of own funds requirements for credit risk shall be reported in the CR SEC SA template or in the CR SEC IRB template. In the case of securitisation positions held in the trading book the computation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities originators shall not report this column.

SECURITISATION OR RE-SECURITISATION ?

According to definitions of securitisation and re-securitisation are provided in Article 4(1)(61) and (62) to (64) of CRR, report the type of underlying using the following abbreviations: — S for securitisation; — R for re-securitisation.

RETENTION

Articles 404 to 410 of CRR.

TYPE OF RETENTION APPLIED

For each securitisation scheme originated, it shall be reported the relevant type of retention of net economic interest, as envisaged in Article405 of CRR: A — Vertical slice (securitisation positions): retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors. V — Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures. B — Revolving exposures:in the case of securitisations of revolving exposures, retention of the originator's interest of no less than 5 % of the nominal value of the securitised exposures . C — On-balance sheet: retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination . D — First loss: retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures . E — Exempted. This code shall be reported for those securitisations affected by provisions in Article 405(3) of CRR. N — Not applicable. This code shall be reported for those securitisations affected by provisions in Article 404 of CRR. U — In breach or unknown. This code shall be reported when the reporting does not know with certain which type of retention is being applied or in case of non-compliance.

% OF RETENTION AT REPORTING DATE

The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be no less than 5 % (at origination date). Notwithstanding Article 405(1) of CRR, measurement of retention at origination can typically be interpreted as being when the exposures were first securitised, and not when the exposures were first created (for instance, not when the underlying loans were first extended). Measurement of retention at origination means that 5 % is the retention percentage that is required at the point in time when such retention level was measured and the requirement fulfilled (for instance, when the exposures were first securitised); dynamic re-measurement and readjustment of the retained percentage throughout the life of the transaction is not necessarily required. This column shall not be reported in case codes E (exempted) or N (not applicable) are reported under column 080 (Type of retention applied).

COMPLIANCE WITH THE RETENTION REQUIREMENT?

Article 405(1) of CRR. Report the following abbreviations: Y — Yes; N — No. This column shall not be reported in case codes E (exempted) or N (not applicable) are reported under column 080 (Type of retention applied).

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

Report the following abbreviations: — O for Originator; — S for Sponsor; — L for Original Lender; — I for Investor. See definitions in Article 4(1)(13) (Originator) and Article 4(1)(14) (Sponsor) of CRR. Investors are assumed to be those institutions to which provisions in Articles 406 and 407of CRR apply.

NON ABCP PROGRAMS

Because of their special character because they comprise of several single securitisation positions, ABCP programs (defined in Article 242(9) of CRR) are exempted from reporting in columns 120 and 130.

ORIGINATION DATE (mm/yyyy)

The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported according to the following format: mm/yyyy. For each securitisation scheme the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

This column gathers the amount (according to original exposures pre conversion factors) of the securitised portfolio at the origination date. In case of securitisation schemes backed by open pools the amount referring to the origination date of the first issuance of securities shall be reported. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of the securitisation of liabilities only the amounts issued by the reporting entity shall be reported. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

SECURITISED EXPOSURES

Columns 140 to 220 request information on several features of the securitised portfolio by the reporting entity.

TOTAL AMOUNT

Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator) only the amount corresponding to the reporting entity's contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date) the amount will progressively be reduced. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

INSTITUTION'S SHARE (%)

It shall be reported the institution's share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 % except for multi-seller securitisation schemes. In that case the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 140 in relative terms). This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation.

TYPE

This column gathers information on the type of assets (1 to 9) or liabilities (10 and 11) of the securitised portfolio. The institution must report one of the following number codes: In case the pool of securitised exposures is a mix of the previous types, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type 10 (Other liabilities) includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates.

1 — Residential mortgages;

2 — Commercial mortgages;

3 — Credit card receivables;

4 — Leasing;

5 — Loans to corporates or SMEs (treated as corporates);

6 — Consumer loans;

7 — Trade receivables;

8 — Other assets;

9 — Covered bonds;

10 — Other liabilities.

APPROACH APPLIED (SA/IRB/MIX)

This column gathers information on the approach that at reporting date the institution would apply to the securitised exposures. Report the following abbreviations: — S for Standardised Approach; — I for Internal Ratings Based Approach; — M for a combination of both approaches (SA/IRB). If under SA, P is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC SA template. If under IRB, P is reported in column 050 then the computation of own funds requirements shall be reported in the CR SEC IRB template. If under combination of SA and IRB, P is reported in column 050 then the computation of own funds requirements shall be reported in both the CR SEC SA and CR SEC IRB templates. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Nevertheless, this column does not apply to securitisations of liabilities. Sponsors shall not report this column.

NUMBER OF EXPOSURES

Article 261(1) of CRR. This column is only compulsory for those institutions using the IRB approach to the securitisation positions (and, therefore, reporting I in column 170). The institution shall report the letter code according to the relevant interval: (a) N<6; (b) 6≤N<34 (c) 34≤N<=100; (d) 100<N<=1000; (e) N>1000. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled when the reporting entity does not hold any positions in the securitisation. This column shall not be fulfilled by investors.

COUNTRY

Report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). In case the pool of the securitisation consists of different countries, the institution shall indicate the most important country. If no country exceeds a 20 % threshold based on the amount of assets/liabilities, then OT (other) shall be reported.

ELGD (%)

The exposure-weighted average loss-given-default (ELGD) shall only be reported by those institutions applying the Supervisory Formula Method (and, therefore, reporting I in column 170). The ELGD is to be calculated as indicated in Article 262(1) of CRR. This column shall not be reported in case of securitisation of liabilities or when the own funds requirements are based on the securitised exposures (in case of securitisation of assets). This column shall not be fulfilled either when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

(-) VALUE ADJUSTMENTS AND PROVISIONS

See columns 060 in CR SEC SA and 390 in CR SEC IRB. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in case of securitisation of liabilities. This piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

This column gathers information on the own funds requirements of the securitised portfolio in case there had been no securitisation plus the expected losses related to those risks (kirb ), as a percentage (with two decimals) on the total of securitised exposures at origination date. kirb is defined in Article 242 (4) of CRR. This column shall not be reported in case of securitisation of liabilities. In case of the securitisation of assets, this piece of information shall be reported even when the reporting entity does not hold any positions in the securitisation. Sponsors shall not report this column.

SECURITISATION STRUCTURE

This block of six columns gathers information on the structure of the securitisation according to on/off balance sheet positions, tranches (senior/mezzanine/ first loss) and maturity. In the case of multi-seller securitisations, for the first loss tranche only the amount corresponding or attributed to the reporting institution shall be reported.

ON-BALANCE SHEET ITEMS

This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss).

SENIOR

All tranches that do not qualify as mezzanine or first loss shall be included in this category.

MEZZANINE

See Articles 243 (3) (traditional securitisations) and 244 (3) (synthetic securitisations) of CRR.

FIRST LOSS

First loss tranche is defined in Article 242 (15) of CRR.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

FIRST FORESEEABLE TERMINATION DATE

The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: The month and year of the first foreseeable termination date shall be reported according to the following format: mm/yyyy.

(i) the date when a clean-up call (defined in Article 242(2) of CRR) might first be exercised taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

(ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

LEGAL FINAL MATURITY DATE

The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The month and year of the legal final maturity date shall be reported according to the following format: mm/yyyy.

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

This block of columns gathers information on the securitisation positions according to on/off balance sheet positions and the tranches (senior/mezzanine/ first loss) at reporting date.

ON-BALANCE SHEET ITEMS

The same criteria of classification among tranches used for on-balance sheet items shall be applied here.

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

The same criteria of classification among tranches used for off-balance sheet items shall be applied here.

MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 340-360).

DIRECT CREDIT SUBSTITUTES (DCS)

This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). According to Annex I of CRR the following full risk off-balance sheet items are regarded as DCS:

Guarantees having the character of credit substitutes.

Irrevocable standby letters of credit having the character of credit substitutes.

IRS/CRS

IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. These derivatives are listed in Annex II of CRR.

ELIGIBLE LIQUIDITY FACILITIES

Liquidity facilities (LF), defined in Article 242(3) of CRR must satisfy a list of six conditions established in Article 255(1) of CRR to be considered as eligible (regardless of the method applied by the institution -SA or IRB-).

OTHER (INCLUDING NON-ELIGIBLE LF)

This column is devoted to remaining off-balance sheet items such as non-eligible liquidity facilities (i.e. those LF that do not meet the conditions listed in Article 255(1) of CRR).

EARLY AMORTISATION: CONVERSION FACTOR APPLIED

Articles 242(12) and 256(5) (SA) and Article 265(1) (IRB) of CRR envisage a set of conversion factors to be applied to amount of the investors' interest (in order to calculate risk-weighted exposure amounts). This column applies to securitisation schemes with early amortisation clauses (i.e. revolving securitisations). According to Article 256(6) of CRR, the conversion figure to be applied shall be determined by the level of the actual three month average excess spread. In the case of the securitisations of liabilities this column shall not be reported. This piece of information is related to row 100 in CR SEC SA and row 160 in the CR SEC IRB template.

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

This piece of information is closely related to column 200 in the CR SEC SA template and column 180 in the CR SEC IRB template. A negative figure shall be reported in this column.

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported.

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

This column gathers information on the risk weighted exposure amount after cap applicable to the securitisation positions (i.e. in case of securitisation schemes with significant risk transfer). In case of securitisation schemes without significant risk transfer (i.e. own funds requirements computed according securitised exposures) no data shall be reported in this column. In the case of the securitisations of liabilities this column shall not be reported.

SECURITISATION POSITIONS — TRADING BOOK

CTP OR NON-CTP?

Report the following abbreviations: C — Correlation Trading Portfolio (CTP); N — Non-CTP

NET POSITIONS — LONG/SHORT

See columns 050/060 of MKR SA SEC or MKR SA CTP, respectively.

TOTAL OWN FUNDS REQUIREMENTS (SA) — SPECIFIC RISK

See column 610 of MKR SA SEC, or column 450 of MKR SA CTP, respectively.

4. OPERATIONAL RISK TEMPLATES

4.

4.1. C 16.00 — OPERATIONAL RISK (OPR)

4.1. 4.1.1.113.114.115.116.117.118.

General Remarks This template provides information on the calculation of own funds requirements according to Articles 312 to 324 of CRR for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA). An institution can not apply TSA and ASA for the business lines retail banking and commercial banking at the same time at solo level Institutions using the BIA, TSA and/or ASA shall calculate their own funds requirement, based on the information at financial year end. When audited figures are not available, institutions may use business estimates. If audited figures are used, institutions shall report the audited figures which should remain unchanged. Deviations from this unchanged principle are possible, for instance if during that period the exceptional circumstances, such as recent acquisitions or disposals of entities or activities, are met. If an institution can justify its competent authority that — due to exceptional circumstances such as a merger or a disposal of entities or activities — using a three year average to calculating the relevant indicator would lead to a biased estimation for the own funds requirement for operational risk,, the competent authority may permit the institution to modify the calculation in a way that would take into account such events. Also the competent authority may on its own initiative, require an institution to modify the calculation. Where an institution has been in operation for less than three years it may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as they are available. By columns, this template presents information, for the three most recent years, on the amount of the relevant indicator of the banking activities subject to operational risk and on the amount of loans and advances (the latter only applicable in the case of ASA). Next, information on the amount of own funds requirement for operational risk is reported. If applicable, it must be detailed which part of this amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA. This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2. Instructions concerning specific positions Columns 010-030 040-060 070 071 080 090-120 090 100 110 120 Rows 010 020 030-100 110-120 130

4.1.2. RELEVANT INDICATOR

Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) report relevant indicator for the respective years in columns 010 to 030. Moreover, in the case of a combined use of different approaches as referred in Article 314 of CRR, institutions also report, for information purposes, relevant indicator for the activities subject to AMA. It is also the case for all other AMA banks. Hereafter, the term relevant indicator refers to the sum of the elements at the end of the financial year as defined in Article 316 point 1, Table1 of CRR. If the institution has less than 3 years of data on relevant indicator available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the table. If, for instance, historical data for only one year is available, it shall be reported in column 030. If it seems reasonable, the forward looking estimates shall then be included in column 020 (estimate of next year) and column 010 (estimate of year +2). Furthermore if there are no historical data on relevant indicator available the institution may use forward-looking business estimates.

LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION)

These columns shall be used to report the amounts of the loans and advances for business lines Commercial banking and Retail banking, as referred to in Article 319 (1) point (b) of CRR. These amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to ASA (Article 319 (1) point a) of CRR). For the commercial banking business line, securities held in the non-trading book shall also be included.

OWN FUND REQUIREMENT

The own fund requirement is calculated according to the approach used, following Articles 312 to 324 of CRR The resulting amount is reported in column 070.

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

Article 92 (4) of CRR. Own funds requirements in column 070 multiplied by 12.5.

OF WHICH: DUE TO AN ALLOCATION MECHANISM

Article 18 (1) of CRR (related to the inclusion, in the application referred to in Article 312 (2) of CRR) of the methodology used for allocating operational risk capital between the different entities of the group and of whether and how diversification effects are intended to be factored in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company.

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below).

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

In column 100 the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in Article 322 (2) point a) of CRR) is reported.

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

The diversification effect in column 110 is the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a perfect dependence situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than perfect dependence between the risk classes). The perfect dependence situation occurs in the default case, that is when the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is computed as the sum of the individual operational risk measures of the chosen risk classes. In this case the correlation between the risk classes is assumed of 100 % and the value in the column has to be set to zero. Conversely, when the institution computes an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the default case and that obtained after applying the correlations structure between the risk classes. The value reflects the diversification capacity of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In the column 110 the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported.

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

In column 120 the impact of insurance and other risk transfer mechanisms according to Article 323(1) to (5) of CRR is reported.

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 of CRR).

BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ ALTERNATIVE STANDARDISED (ASA) APPROACHES

The own funds requirement calculated according to the TSA and ASA (Articles 317 to 319 of CRR) shall be reported.

SUBJECT TO TSA

In the case of using the TSA, relevant indicator for each respective year shall be distributed in rows 030 to 100 amongst the business lines defined in Article 317, Table 2 of CRR. The mapping of activities into business lines shall follow the principles described in Article 318 of CRR.

SUBJECT TO ASA

Institutions using the ASA (Article 319 of CRR) shall report for the respective years relevant indicator separately for each business line in the rows 030 to 050 and 080 to 100 and in the rows 110 and 120 for business lines Commercial banking and Retail banking. Rows 110 and 120 shall present the amount of relevant indicator of activities subject to ASA distinguishing between those corresponding to the business line Commercial banking and those corresponding to the business line Retail banking (Article 319 of CRR). There can be amounts for the rows corresponding to Commercial banking and Retail banking under the TSA (rows 060 and 070) as well as under the ASA rows 110 and 120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA).

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

The relevant data for AMA institutions (Article 312 point 2 and Article 321 to 323 of CRR) shall be reported. In the case of combined use of different approaches as indicated in Article 314 of CRR, information on relevant indicator for activities subject to AMA shall be reported. It is also the case for all other AMA banks.

4.2. C 17.00 — OPERATIONAL RISK: GROSS LOSSES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS)

4.2. 4.2.1.119.120.121.122.123.124.

General Remarks This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss. The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line Corporate items as referred to in Article 322 (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines. Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold. Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses). This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements. Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template:

Number of events (row 910),

Total loss amount (row 920),

Maximum single loss (row 930) and

Sum of the five largest losses (row 940).

4.2.2. Instructions concerning specific positions Columns 010-070 080 090-100 Rows 010-840 910-940 910-940/080

4.2.2. EVENT TYPES

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR. Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in column 080.

TOTAL EVENT TYPES

In column 080, for each business line, institutions report the total number of events and the total of total loss amount as the simple aggregation of the number of loss events and the total gross loss amounts reported in columns 010 to 070. The maximum single loss in column080 is the maximum of the maximum single gross losses reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322 (3) point c) of CRR, last sentence of CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

For each business line as defined in Article 317 (4) table 2 of CRR, including the additional business line Corporate items as referred to in Article 322 (3) point b) of CRR, and for each event type, the institution shall report, according to the thresholds the following information: number of events, total loss amount, maximum single loss and sum of the five largest losses. For a loss event that affects more than one business line the total loss amount is distributed among all the affected business lines.

TOTAL BUSINESS LINES

For each event type (column 010 to 080), the following information ( Article 322 (3) points b), c) and e) of CRR on total business lines (rows 910 to 940) has to be reported:

Number of events (row 910): the number of events above the threshold by event types for the total business lines. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one.

Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.

Maximum single loss (row 930): the maximum single loss is the maximum loss over the threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines.

Sum of the five largest losses (row 940): the sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless the number of losses.

Number of events: it is equal to the horizontal aggregation of the number of events in row 910, given that in those figures the events with impacts in different business lines shall have already been considered as one event. This number shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.

Total loss amount: it is equal to both the horizontal aggregation of total loss amounts by event type in row 920 and the vertical aggregation of total loss amounts by business line in column 080.

Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for Maximum single loss in Total Business lines for that particular event type is higher than the amounts of Maximum single loss in each business line. Hence, the amount in this cell shall be equal to the highest of the values of Maximum single loss in Total Business lines, which may not necessarily be equal to the highest value of Maximum single loss across business lines in column 080.

Sum of the five largest losses: it is the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of sum of the five largest losses in Total Business lines nor the maximum value of sum of the five largest losses in column 080.

5.125.126. MARKET RISK TEMPLATES These instructions refer to the templates reporting of the calculation of own funds requirements according to the standardised approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM) interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template reporting of the calculation of own funds requirements according to the internal models approach (MKR IM) are included in this part. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 of CRR.

5.125.126.

5.1. C 18.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

5.1.

5.1.1.127.128.

General Remarks This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the standardised approach (Articles 102 and 105 (1) of CRR). The different risks and methods available under the CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP only has to be reported in the Total template of the MKR SA TDI. The own funds requirements reported in those templates shall be transferred to cell {325;060} (securitisations) and {330;060} (CTP) respectively. The template has to be filled out separately for the Total, plus a pre-defined list of following currencies: EUR, ALL, BGN, CZK, DKK, EGP, GBP, HUF, ISK, JPY, LVL, LTL, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

5.1.2. Instructions concerning specific positions Columns 010-020 030-040 050 060 070 Rows 010-350 011 012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions taking into account Articles 328 to 331, if applicable. 013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. 020-200 210-240 250 251-321 325 330 340 350-390

5.1.2. ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties (Article 345 second sentence of CRR). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge.

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

TRADED DEBT INSTRUMENTS IN TRADING BOOK

Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk according to Article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 of CRR are reported depending on risk category, maturity and approach used.

GENERAL RISK.

MATURITY BASED APPROACH

Positions in traded debt instruments subject to the maturity-based approach according to Article 339 (1) to (8) of CRR and the correspondent own funds requirements set up in Article 339 (9) of CRR. The position shall be split by zones 1, 2 and 3 and these by the maturity of the instruments.

GENERAL RISK. DURATION BASED APPROACH

Positions in traded debt instruments subject to the duration-based approach according to Article 340 (1) to (6) of CRR and the correspondent own funds requirements set up in Article 340 (7) of CRR. The position shall be split by zones 1, 2 and 3.

SPECIFIC RISK

Sum of amounts reported in rows 251, 325 and 330. Positions in traded debt instruments subject to the specific risk capital charge and their correspondent capital charge according to Article 92 (3) lit. b and 335, 336 (1) to (3), 337 and 338 of CRR. Be also aware of last sentence in Article 327 (1) of CRR.

Own funds requirement for non-securitisation debt instruments

Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally has to be computed by summing up the risk weights of the reference entities (Article 332 (1) point e) para 1 and 2 CRR — look-through). N-th-to-default credit derivatives which are rated externally (Article 332 (1) point e) para 3 CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336 (3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book according to Article 129 (3) CRR (covered bonds). The specific own funds requirements is half of the percentage of the second category of table 1 of Article 336 CRR. Those positions have to be assigned to rows 280-300 according to the residual term to final maturity. If the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 shall be applied.

Own funds requirement for securitisation instruments

Total own funds requirements reported in column 610 of template MKR SA SEC. It shall only be reported on Total level of the MKR SA TDI.

Own funds requirement for the correlation trading portfolio

Total own funds requirements reported in column 450 of template MKR SA CTP. It shall only be reported on Total level of the MKR SA TDI.

PARTICULAR APPROACH FOR POSITION RISK IN CIUs

Articles 348 to 350 of CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 of CRR. It includes, if it is the case, the effects of applicable caps in the own funds requirements. If the particular approach according to Article 348 sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure.

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329 (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.2. C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

5.2. 5.2.1.129.130.131.

General Remarks This template requests information on positions (all/net and long/short) and the related own funds requirements for the specific risk component of position risk in securitisations/ re-securitisations held in the trading book (not eligible for correlation trading portfolio) under the standardised approach. The MKR SA SEC template determines the own funds requirement only for the specific risk of securitisation positions according to Articles 335 in connection with 337 CRR. If securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template. Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

5.2.2. Instructions concerning specific positions Columns 010-020 030-040 050-060 070-520 230-240 and 460-470 250-260 and 480-490 270 and 500 280-290/510-520 530-540 550-570 580-600 610 Rows 010 040, 070 and 100 020, 050, 80 and 110 030-050 060-080 090-110 120-210

5.2.2. ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with Article 337 of CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR. The breakdown has to be done separately for long and short positions.

1250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

SUPERVISORY FORMULA METHOD

Article 337 (2) of CRR in connection with Article 262 of CRR. These columns shall be reported when the institutions uses the alternative Supervisory Formula Approach (SFA), which determines the own funds requirements as a function of the characteristics of the collateral pool and contractual properties of the tranche.

LOOK THROUGH

SA: Articles 253, 254 and 256 (5) of CRR. The look-through columns comprise all the cases of unrated exposures where the risk weight is obtained from the underlying portfolio of exposures (average risk weight of the pool, highest risk weight of the pool, or the use of a concentration ratio). IRB: Articles 263 (2) and (3) of CRR. For early amortisations see Article 265 (1) and 256 (5) of CRR.

INTERNAL ASSESSMENT APPROACH

Article 109 (1) sentence 2 and Article 259 (3) and (4) of CRR. These columns shall be reported when the institution uses the internal assessment approach for determining capital charges for liquidity facilities and credit enhancements that banks (including third-party banks) extend to ABCP conduits. The IAA, based on ECAI's methodologies, is applicable only to exposures to ABCP conduits that have an internal rating equivalent of investment-grade at inception.

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

Article 337 (3) of CRR in connection with Article 407 of CRR. Article 13 (2) of CRR

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR without taking into account the discretion of Article 335 of CRR, that allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss.

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

Article 337 of CRR taking into account the discretion of Article 335 of CRR.

TOTAL OWN FUNDS REQUIREMENTS

According to Article 337 (4) of CRR for a transitional period ending 31 December 2014, the institution shall sum separately its weighted net long positions (col. 580) and its weighted net short positions (col. 590). The larger of those sums (after cap) shall constitute the own funds requirement. From 2015 onwards according to Article 337 (4) of CRR, the institution shall sum its weighted net positions, regardless whether they are long or short (col. 600), in order to calculate the own funds requirements.

TOTAL EXPOSURES

Total amount of outstanding securitisations (held in the trading book) reported by the institution playing the role/s of originator and/or investor and/or sponsor.

SECURITISATIONS

Article 4 (38) of CRR.

RE-SECURITISATIONS

Article 4 (39) and (40) of CRR.

ORIGINATOR

Article 4 (41) of CRR

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

SPONSOR

Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

Article 337 (4), last sentence of CRR. The breakdown of the underlying assets follows the classification used in the SEC Details template (Column Type): For each securitisation, in case the pool consists of different types of assets, the institution shall consider the most important type.

1-residential mortgages;

2-commercial mortgages;

3-credit card receivables;

4-leasing;

5-loans to corporates or SMEs (treated as corporates);

6-consumer loans;

7-trade receivables;

8-other assets;

9-covered bonds;

10-other liabilities.

5.3. C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

5.3. 5.3.1.132.133.134.135.

General Remarks This template requests information on positions of the CTP (comprising securitisations, nth-to-default credit derivatives and other CTP positions included according to Article 338 (3)) and the corresponding own funds requirements under the standardised approach. The MKR SA CTP template determines the own funds requirement only for the specific risk of positions assigned to the Correlation Trading Portfolio according to Articles 335 in connection with 338 (2) and (3) of CRR. If CTP- positions of the trading book are hedged by credit derivatives, Articles 346 and 347 CRR apply. There is only one template for all CTP-positions of the trading book, irrespective of the fact whether the institution uses the Standardised Approach or the Internal Ratings Based Approach to determine the risk weight for each of the positions according to Part Three Title II Chapter 5 of CRR. The reporting of the own funds requirements of the general risk of these positions is conducted in the MKR SA TDI or the MKR IM template. This structure of the template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. As a result, securitisation positions shall always be reported in rows 030, 060 or 090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in line 110. The other CTP-positions are neither securitisation positions nor n-th to default credit derivatives (see definition in Article 338 (3) CRR), but they are explicitly linked (because of the hedging intent) to one of these two positions. That is why they are assigned either under the sub-heading securitisation or n-th to default credit derivative. Positions which receive a risk weight of 1.250 % can alternatively be deducted from CET1 (see 243(1) point (b), 244(1) point (b) and 258 of CRR). If this is the case, those positions have to be reported in row 460 of CA1.

5.3.2. Instructions concerning specific positions Columns 010-020 030-040 050-060 070-400 160 and 330 170-180 and 360-370 190-200 and 340-350 210/380 220-230 and 390-400 410-420 430-440 450 Rows 010 020-040 050-070 080-100 030, 060 and 090 110 040, 070, 100 and 120

5.3.2. ALL POSITIONS (LONG AND SHORT)

Articles 102 and 105 (1) of CRR in connection with positions assigned to the Correlation Trading Portfolio according to Article 338 (2) and (3) of CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328 (2) of CRR.

(-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT)

Article 258 of CRR.

NET POSITIONS (LONG AND SHORT)

Articles 327 to 329 and 334 of CRR. Regarding the distinction between Long and Short positions see Article 328 (2) of CRR.

BREAKDOWN OF THE NET POSITIONS ACCORDING TO RISK WEIGHTS (SA AND IRB)

Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

OTHER

Other risk weights not explicitly mentioned in the previous columns. For n-th-to-default credit derivatives only those which are not externally rated. Externally rated n-th to default credit derivatives are either to be reported in the MKR SA TDI template (row 321) or — if they are incorporated into the CTP — shall be assigned to the column of the respective risk weight.

1250 % Articles 251 (Table 1) and 261 (1) (Table 4) of CRR.

SUPERVISORY FORMULA METHOD

Article 337 (2) of CRR in connection with Article 262 of CRR.

LOOK THROUGH

INTERNAL ASSESSMENT APPROACH

Article 259 (3) and (4) of CRR.

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 without taking into account the discretion of Article 335 of CRR.

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.

TOTAL OWN FUNDS REQUIREMENTS

The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (col. 430) or (ii) the specific risk charge that would apply just to the net short positions (col. 440).

TOTAL EXPOSURES

Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor.

ORIGINATOR

Article 4 (41) of CRR

INVESTOR

Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator nor sponsor

SPONSOR

Article 4 (42) of CRR. If a sponsor is also securitising it own assets, it shall fill in the originator's rows with the information regarding its own securitised assets

SECURITISATIONS

The correlation trading portfolio comprises securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set in Article 338 (2) and (3) of CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row Other CTP positions.

N-TH-TO-DEFAULT CREDIT DERIVATIVES

N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives according to Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives..

OTHER CTP POSITIONS

The positions in: are included.

Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row 'Other CTP positions;

CTP positions hedged by credit derivatives according to Article 346 CRR;

Other positions that satisfy Article 338 (3) of CRR;

5.4. C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

5.4.

5.4.1.136.137.

General Remarks This template requests information on the positions and the corresponding own funds requirements for position risk in equities held in the trading book and treated under the standardised approach. The template has to be filled out separately for the Total, plus a static, pre-defined list of following markets: Austria, Belgium, Bulgaria, Cyprus, Czech Republic, Denmark, Estonia, Egypt, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Liechtenstein, Luxembourg, Malta, Netherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA plus one residual template for all other markets. For the purpose of this reporting requirement the term market shall be read as country.

5.4.2. Instructions concerning specific positions Columns 010-020 030-040 050 060 070 Rows 010-130 020-040 021 022 030 040 050 080 090-130

5.4.2. ALL POSITIONS (LONG AND SHORT)

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 2 of CRR, receive a capital charge. The capital charge has to be calculated for each national market separately.

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 2 of CRR.

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

EQUITIES IN TRADING BOOK

Own funds requirements for position risk according to article 92 (3) point b) (i) CRR and Part 3 Title IV Chapter 2 Section 3 of CRR.

GENERAL RISK

Positions in equities subject to general risk (Article 343 of CRR) and their correspondent own funds requirement according to Part 3 Title IV Chapter 2 Section 3 of CRR. Both breakdowns (021/022 as well as 030/040) are a breakdown related to all positions subject to general risk. Rows 021 and 022 requests information on the breakdown according to instruments. Only the breakdown in rows 030 and 040 is used as a basis for the calculation of own funds requirements.

Derivatives

Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332, if applicable.

Other assets and liabilities

Instruments other than derivatives included in the calculation of equity risk of trading book positions.

Exchange traded stock-index futures broadly diversified and subject to a particular approach

Exchange traded stock-index futures broadly diversified and subject to a particular approach according to Article 344 (1) amd (4) of CRR. These positions are only subject to general risk and, accordingly, must not be reported in row (050).

Other equities than exchange traded stock-index futures broadly diversified

Other positions in equities subject to specific risk and the correspondent own funds requirements according to Article 343 and 344 (3) of CRR.

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.

PARTICULAR APPROACH FOR POSITION RISK IN CIUs

The CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. For reporting purposes, those positions shall be reported in the MKR SA EQU template. Positions in CIUs if capital requirements are calculated according to Article 348 (1) CRR. Applicable when positions in CIUs or the underlying instruments are not treated in accordance with the methods set out in Part 3 Title IV Chapter 5 (reference to the Use of internal models to calculate own funds requirements) of CRR. If the particular approach according to Article 348 (1) sentence 1 of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question. If the particular approach according to Article 348 (1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure. If the specific methods of Article 350 CRR are applicable, the reporting of those positions shall follow the underlying investments. As a consequence, those positions would be reported in the relevant rows of either the MKR SA TDI or the MKR SA EQU template.

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 329 (3) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5. C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

5.5.

5.5.1.138.139.

General Remarks This template request information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2. Instructions concerning specific positions Columns 010 020-030 040-050 060-080 060-070 080 090 100 Rows 010 020 030 040 050-090 100-120 100 110 120 130-410

5.5.2. CURRENCY

The three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).

ALL POSITIONS (LONG AND SHORT)

Gross positions due to assets, amounts to be received and similar items referred to in Article 352 (1) of CRR.

NET POSITIONS (LONG AND SHORT)

Articles 352 (3) and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.

POSITIONS SUBJECT TO CAPITAL CHARGE

Articles 352 (2) and (4), 353 and 354 of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency are added to obtain the long net position in that currency. Short net positions for each operation in a currency are added to obtain the short net position in that currency. Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (040) or (050) depending on their short or long arrangement.

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

Matched positions for closely correlated currencies

RISK CAPITAL CHARGE (%)

As defined in Articles 351 and 354, the risk capital charges in percentage.

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.

TOTAL POSITIONS IN NON REPORTING CURRENCIES

Positions in non-reporting currencies and their correspondent own funds requirements according to article 92 (3) point c) (i) and Article 352 (2) and (4) of CRR (for conversion into the reporting currency).

CURRENCIES CLOSELY CORRELATED

Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.

ALL OTHER CURRENCIES (including CIU's treated as different currencies)

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR. Reporting of CIU's treated as separate currencies according to Article 353 CRR: There are two different treatments of CIU's treated as separate currencies for calculating the capital requirements: The reporting of those CIU's follows the calculation of the capital requirements accordingly.

1. The modified gold method, if the direction of the CIU's investment is not available (those CIU's shall be added to an institution's overall net foreign-exchange position)

2. If the direction of the CIU's investment is available, those CIU's shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)

GOLD

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352 (5) and (6) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

Breakdown of total positions (reporting currency included) by exposure types

Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

Other assets and liabilities other than off-balance sheet items and derivatives

Positions not included in row 110 or 120 shall be included here.

Off-balance sheet items

Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

Derivatives

Positions valued according to Articles 352 CRR.

MEMORANDUM ITEMS: CURRENCY POSITIONS

The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.6. C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

5.6.

5.6.1.140. General Remarks This template request information on the positions in commodities and the corresponding own funds requirements treated under the standardised approach.

5.6.2. Instructions concerning specific positions Columns 010-020 030-040 050 060 070 Rows 010 020-060 070 080 090 100-140

5.6.2. All POSITIONS (LONG AND SHORT)

Gross long/short positions considered positions in the same commodity according to Article 357 (1) and (5) of CRR (see also Article 359 (1) of CRR).

NET POSITIONS (LONG AND SHORT)

As defined in Article 357 (4) of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

Those net positions that, according to the different approaches considered in Part 3 Title IV Chapter 4 of CRR, receive a capital charge.

OWN FUNDS REQUIREMENTS

The capital charge for any relevant position according to Part 3 Title IV Chapter 4 of CRR.

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

TOTAL POSITIONS IN COMMODITIES

Positions in commodities and their correspondent own funds requirements for market risk according to article 92 (3) point c) (iii) CRR and Part 3 Title IV Chapter 4 of CRR.

POSITIONS BY CATEGORY OF COMMODITY

For reporting purposes commodities are grouped in the four main groups of commodities referred to in Table 2 of Article 361 CRR.

MATURITY LADDER APPROACH

Positions in commodities subject to the Maturity Ladder approach as referred to in Article 359 of CRR.

EXTENDED MATURITY LADDER APPROACH

Positions in commodities subject to the Extended Maturity Ladder approach as referred to in Article 361 of CRR

SIMPLIFIED APPROACH

Positions in commodities subject to the Simplified approach as referred to in Article 360 of CRR.

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 358 (4) of CRR. The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation

5.7. C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)

5.7.

5.7.1.141.142.

General Remarks This template provides a breakdown of VaR and stressed VaR (sVaR) figures according to the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements. Generally the reporting depends on the structure of the model of the institutions whether they report the figures for general and specific risk separately or together. The same holds true for the decomposition of the VAR /Stress-Var into the risk categories (interest rate risk, equity risk, commodities risk and foreign exchange risk). An institution can resign to report the decompositions mentioned above if it proves that a reporting of these figures would be unduly burdensome.

5.7.2. Instructions concerning specific positions columns 030-040 030 040 050-060 050 060 070-080 070 080 090-110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP 090 100-110 110 120 130 140 150-160 170-180 Rows 010 020 030 040 050 060 070 080 090 100 110

5.7.2. VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon.

Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg)

Articles 364 (1) point a) (ii) and 365 (1) of CRR.

Previous day VaR (VaRt-1)

Articles 364 (1) point a) (i) and 365 (1) of CRR.

Stressed VaR

It means the maximum potential loss that would result from a price change with a given probability over a specified time horizon obtained by using input calibrated to historical data from a continuous 12-months period of financial stress relevant to the institution's portfolio.

Multiplication factor (ms) x Average of previous 60 working days (SVaRavg)

Articles 364 (1) point b) (ii) and 365 (1) of CRR.

Latest available (SVaRt-1)

Articles 364 (1) point b) (i) and 365 (1) of CRR.

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

It means the maximum potential loss that would result from a price change linked to default and migration risks calculated accordingly to Article 364 (2) point b) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

12 weeks average measure

Article 364 (2) point b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

Last Measure

Article 364 (2) point b) (i) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

FLOOR

Article 364 (3) point (c) of CRR. = 8 % of the capital charge that would be calculated in accordance with Article 338 (1) of CRR for all positions in the all price risks capital charge.

12 WEEKS AVERAGE MEASURE AND LAST MEASURE

Article 364 (3) point (b).

LAST MEASURE

Article 364 (3) point (a)

OWN FUNDS REQUIREMENTS

Referred to in Article 364 of CRR of all risk factors taking into account correlation effects, if applicable, plus incremental default and migration risk and all price of risks for CTP but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according Article 364 (2) of CRR.

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements * 12.5.

Number of overshootings (during previous 250 working days)

Referred to in Article 366 of CRR.

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

As referred to in Article 366 of CRR.

ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/ SHORT POSITIONS AFTER CAP

The amounts reported and serving as the basis to calculate the floor capital charge for all price risks according to Article 364 (3) point (c) of CRR take into account the discretion of Article 335 of CRR which says that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss.

TOTAL POSITIONS

Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363 (1) of CRR linked to the risk factors specified in Article 367 (2) of CRR. Concerning the columns 030 to 060 (VAR and Stress-VAR) the figures in the total row is not equal to the decomposition of the figures for the VAR/Stress-VAR of the relevant risk components. Hence the decomposition are memorandum items.

TRADED DEBT INSTRUMENTS

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the interest rates risk factors as specified in Article 367 (2) of CRR.

TDI — GENERAL RISK

General risk defined in Article 362 of CRR.

TDI — SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

EQUITIES

Corresponds to the part of position risk referred to in 363 (1) of CRR linked to the equity risk factors as specified in Article 367 (2) of CRR.

EQUITIES — GENERAL RISK

General risk defined in Article 362 of CRR.

EQUITIES — SPECIFIC RISK

Specific risk defined in Article 362 of CRR.

FOREIGN EXCHANGE RISK

Articles 363 (1) and 367 (2) of CRR.

COMMODITY RISK

Articles 363 (1) and 367 (2) of CRR.

TOTAL AMOUNT FOR GENERAL RISK

Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VAR for general risk of all risk factors (taking into account correlation effects if applicable).

TOTAL AMOUNT FOR SPECIFIC RISK

Specific risk component of traded debt instruments and equities. VAR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects if applicable).

5.8. C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.

5.8.1. Instructions concerning specific positions Columns 010 020 030 040 050 060 070 080 090 100 110 120 130 140 Rows 010 020 030 040

5.8.1. Exposure value

Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge

Of which: OTC derivatives

Article 271 of CRR in accordance with article 382 (1) of CRR The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

Of which: SFT

Article 271 of CRR in accordance with article 382 (2) of CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set

MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

Article 383 of CRR in accordance with article 363 (1)(d) of CRR VaR calculation based on internal models for market risk

PREVIOUS DAY (VaRt-1)

See instructions referring to column 040

MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

See instructions referring to column 040

LATEST AVAILABLE (SVaRt-1)

See instructions referring to column 040

OWN FUNDS REQUIREMENTS

Article 92 (3) d) of CRR Own funds requirements for CVA Risk calculated via the chosen method

TOTAL RISK EXPOSURE AMOUNT

Article 92 (4) b) of CRR Own funds requirements multiplied by 12,5.

Memorandum items

Number of counterparties

Article 382 of CRR Number of counterparties included in calculation of own funds for CVA risk Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party.

Of which: proxy was used to determine credit spread

number of counterparties where the credit spread was determined using a proxy instead of directly observed market data

INCURRED CVA

Accounting provisions due to decreased credit worthiness of derivatives counterparties

SINGLE NAME CDS

Article 386 (1) lit. a of CRR Total notional amounts of single name CDS used as hedge for CVA risk

INDEX CDS

Article 386 (1) lit. b) of CRR Total notional amounts of index CDS used as hedge for CVA risk

CVA risk total

Sum of rows 020-040 as applicable

According to Advanced method

Advanced CVA risk method as prescribed by Article 383 of CRR

According to Standardised method

Standardised CVA risk method as prescribed by Article 384 of CRR

Based on OEM

Amounts subject to the application of Art. 385 of CRR

ANNEX III REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

FINREP TEMPLATES FOR IFRS TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATES PART 1 [QUARTERLY FREQUENCY] Balance Sheet Statement [Statement of Financial Position] 1.1 F 01.01 Balance Sheet Statement: assets 1.2 F 01.02 Balance Sheet Statement: liabilities 1.3 F 01.03 Balance Sheet Statement: equity 2 F 02.00 Statement of profit or loss 3 F 03.00 Statement of comprehensive income Breakdown of financial assets by instrument and by counterparty sector 4,1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading 4,2 F 04.02 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4,3 F 04.03 Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets 4,4 F 04.04 Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments 4,5 F 04.05 Subordinated financial assets 5 F 05.00 Breakdown of loans and advances by product 6 F 06.00 Breakdown of loans and advances to non-financial corporations by NACE codes 7 F 07.00 Financial assets subject to impairment that are past due or impaired Breakdown of financial liabilities 8,1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector 8,2 F 08.02 Subordinated financial liabilities Loan commitments, financial guarantees and other commitments 9,1 F 09.01 Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given 9,2 F 09.02 Loan commitments, financial guarantees and other commitments received 10 F 10.00 Derivatives — Trading Derivatives — Hedge accounting 11,1 F 11.01 Derivatives — Hedge accounting: Breakdown by type of risk and type of hedge 12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments Collateral and guarantees received 13,1 F 13.01 Breakdown of loans and advances by collateral and guarantees 13,2 F 13.02 Collateral obtained by taking possession during the period [held at the reporting date] 13,3 F 13.03 Collateral obtained by taking possession [tangible assets] accumulated 14 F 14.00 Fair value hierarchy: financial instruments at fair value 15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets Breakdown of selected statement of profit or loss items 16,1 F 16.01 Interest income and expenses by instrument and counterparty sector 16,2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument 16,3 F 16.03 Gains or losses on financial assets and liabilities held for trading by instrument 16,4 F 16.04 Gains or losses on financial assets and liabilities held for trading by risk 16,5 F 16.05 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument 16,6 F 16.06 Gains or losses from hedge accounting 16,7 F 16.07 Impairment on financial and non-financial assets Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 17,1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets 17,2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given 17,3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities 18 F 18.00 [Performing and non-performing exposures: to be inserted when final] 19 F 19.00 [Forborne exposures: to be inserted when final] PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] Geographical breakdown 20,1 F 20.01 Geographical breakdown of assets by location of the activities 20,2 F 20.02 Geographical breakdown of liabilities by location of the activities 20,3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20,4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20,5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20,6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20,7 F 20.07 Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 22,1 F 22.01 Fee and commission income and expenses by activity 22,2 F 22.02 Assets involved in the services provided PART 3 [SEMI-ANNUAL] Off-balance sheet activities: interests in unconsolidated structured entities 30,1 F 30.01 Interests in unconsolidated structured entities 30,2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities Related parties 31,1 F 31.01 Related parties: amounts payable to and amounts receivable from 31,2 F 31.02 Related parties: expenses and income generated by transactions with PART 4 [ANNUAL] Group structure 40,1 F 40.01 Group structure: entity-by-entity 40,2 F 40.02 Group structure: instrument-by-instrument Fair value 41,1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41,2 F 41.02 Use of the Fair Value Option 41,3 F 41.03 Hybrid financial instruments not designated at fair value through profit or loss 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 44,1 F 44.01 Components of net defined benefit plan assets and liabilities 44,2 F 44.02 Movements in defined benefit plan obligations 44,3 F 44.03 Memo items [related to staff expenses] Breakdown of selected items of statement of profit or loss 45,1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio 45,2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale 45,3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity

1. Balance Sheet Statement [Statement of Financial Position]

1.

1.1 Assets References Breakdown in table Carrying amount 010 010 Cash and cash balances at central banks IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 030 Cash balances at central banks Annex V.Part 2.2 4 040 Other demand deposits Annex V.Part 2.3 4 050 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives IAS 39.9 10 070 Equity instruments IAS 32.11 4 080 Debt securities Annex V.Part 1.24, 26 4 090 Loans and advances Annex V.Part 1.24, 27 4 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 4 110 Equity instruments IAS 32.11 4 120 Debt securities Annex V.Part 1.24, 26 4 130 Loans and advances Annex V.Part 1.24, 27 4 140 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 4 150 Equity instruments IAS 32.11 4 160 Debt securities Annex V.Part 1.24, 26 4 170 Loans and advances Annex V.Part 1.24, 27 4 180 Loans and receivables IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 4 190 Debt securities Annex V.Part 1.24, 26 4 200 Loans and advances Annex V.Part 1.24, 27 4 210 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 4 220 Debt securities Annex V.Part 1.24, 26 4 230 Loans and advances Annex V.Part 1.24, 27 4 240 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9 11 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 2.4 4, 40 270 Tangible assets 280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a) 21, 42 290 Investment property IAS 40.5; IAS 1.54(b) 21, 42 300 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 310 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 320 Other intangible assets IAS 38.8,118 21, 42 330 Tax assets IAS 1.54(n-o) 340 Current tax assets IAS 1.54(n); IAS 12.5 350 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(106) 360 Other assets Annex V.Part 2.5 370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 380 TOTAL ASSETS IAS 1.9(a), IG 6

1.2 Liabilities References Breakdown in table Carrying amount 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 8 020 Derivatives IAS 39.9, AG 15(a) 10 030 Short positions IAS 39.AG 15(b) 8 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 8 050 Debt securities issued Annex V.Part 1.31 8 060 Other financial liabilities Annex V.Part 1.32-34 8 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IAS 39.9 8 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 090 Debt securities issued Annex V.Part 1.31 8 100 Other financial liabilities Annex V.Part 1.32-34 8 110 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 8 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 130 Debt securities issued Annex V.Part 1.31 8 140 Other financial liabilities Annex V.Part 1.32-34 8 150 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 8 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b) 170 Provisions IAS 37.10; IAS 1.54(l) 11 180 Pensions and other post employment defined benefit obligations IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 190 Other long term employee benefits IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 43 200 Restructuring IAS 37.71, 84(a) 43 210 Pending legal issues and tax litigation IAS 37.Appendix C. Examples 6 and 10 43 220 Commitments and guarantees given IAS 37.Appendix C.9 43 230 Other provisions 43 240 Tax liabilities IAS 1.54(n-o) 250 Current tax liabilities IAS 1.54(n); IAS 12.5 260 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 280 Other liabilities Annex V.Part 2.10 290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 300 TOTAL LIABILITIES IAS 1.9(b);IG 6

1.3 Equity References Breakdown in table Carrying amount 010 010 Capital IAS 1.54(r), BAD art 22 46 020 Paid up capital IAS 1.78(e) 030 Unpaid capital which has been called up IAS 1.78(e); Annex V.Part 2.14 040 Share premium IAS 1.78(e); CRR art 4(1)(124) 46 050 Equity instruments issued other than capital Annex V.Part 2.15-16 46 060 Equity component of compound financial instruments IAS 32.28-29; Annex V.Part 2.15 070 Other equity instruments issued Annex V.Part 2.16 080 Other equity IFRS 2.10; Annex V.Part 2.17 090 Accumulated other comprehensive income CRR art 4(1)(100) 46 095 Items that will not be reclassified to profit or loss IAS 1.82A(a) 100 Tangible assets IAS 16.39-41 110 Intangible assets IAS 38.85-87 120 Actuarial gains or (–) losses on defined benefit pension plans IAS 1.7 122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 128 Items that may be reclassified to profit or loss IAS 1.82A(a) 130 Hedge of net investments in foreign operations [effective portion] IAS 39.102(a) 140 Foreign currency translation IAS 21.52(b); IAS 21.32, 38-49 150 Hedging derivatives. Cash flow hedges [effective portion] IFRS 7.23(c); IAS 39.95-101 160 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.55(b) 170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 190 Retained earnings CRR art 4(1)(123) 200 Revaluation reserves IFRS 1.30, D5-D8; Annex V.Part 2.18 210 Other reserves IAS 1.54; IAS 1.78(e) 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates IAS 28.11; Annex V.Part 2.19 230 Other Annex V.Part 2.19 240 (–) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 46 250 Profit or loss attributable to owners of the parent IAS 27.28; IAS 1.83(a)(ii) 2 260 (–) Interim dividends IAS 32.35 270 Minority interests [Non-controlling interests] IAS 27.4; IAS 1.54(q); IAS 27.27 280 Accumulated Other Comprehensive Income IAS 27.27-28; CRR art 4(1)(100) 46 290 Other items IAS 27.27-28 46 300 TOTAL EQUITY IAS 1.9(c), IG 6 46 310 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6

2. Statement of profit or loss References Breakdown in table Current period 010 010 Interest income IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 16 020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 040 Available-for-sale financial assets IFRS 7.20(b); IAS 39.55(b); IAS 39.9 050 Loans and receivables IFRS 7.20(b); IAS 39.9, 39.46(a) 060 Held-to-maturity investments IFRS 7.20(b); IAS 39.9, 39.46(b) 070 Derivatives - Hedge accounting, interest rate risk IAS 39.9; Annex V.Part 2.23 080 Other assets Annex V.Part 2.25 090 (Interest expenses) IAS 1.97; Annex V.Part 2.21 16 100 (Financial liabilities held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 110 (Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IAS 39.47 130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.23 140 (Other liabilities) Annex V.Part 2.26 150 (Expenses on share capital repayable on demand) IFRIC 2.11 160 Dividend income IAS 18.35(b)(v); Annex V.Part 2.28 170 Financial assets held for trading IFRS 7.20(a)(i), B5(e) 180 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e); IAS 39.9 190 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 200 Fee and commission income IFRS 7.20(c) 22 210 (Fee and commission expenses) IFRS 7.20(c) 22 220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net IFRS 7.20(a) (ii-v); Annex V.Part 2.97 16 230 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 240 Loans and receivables IFRS 7.20(a)(iv); IAS 39.9, 39.56 250 Held-to-maturity investments IFRS 7.20(a)(iii); IAS 39.9, 39.56 260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IAS 39.56 270 Other 280 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IAS 39.55(a) 16 290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IAS 39.55(a) 16, 45 300 Gains or (-) losses from hedge accounting, net IFRS 7.24; Annex V.Part 2.30 16 310 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a) 330 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 45 340 Other operating income Annex V.Part 2.141-143 45 350 (Other operating expenses) Annex V.Part 2.141-143 45 355 TOTAL OPERATING INCOME, NET 360 (Administrative expenses) 370 (Staff expenses) IAS 19.7; IAS 1.102, IG 6 44 380 (Other administrative expenses) 390 (Depreciation) IAS 1.102, 104 400 (Property, Plant and Equipment) IAS 1.104; IAS 16.73(e)(vii) 410 (Investment Properties) IAS 1.104; IAS 40.79(d)(iv) 420 (Other intangible assets) IAS 1.104; IAS 38.118(e)(vi) 430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 43 440 (Commitments and guarantees given) 450 (Other provisions) 460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(e) 16 470 (Financial assets measured at cost) IFRS 7.20(e); IAS 39.66 480 (Available- for-sale financial assets) IFRS 7.20(e); IAS 39.67 490 (Loans and receivables IFRS 7.20(e); IAS 39.63 500 (Held to maturity investments) IFRS 7.20(e); IAS 39.63 510 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43 16 520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 530 (Property, plant and equipment) IAS 16.73(e)(v-vi) 540 (Investment properties) IAS 40.79(d)(v) 550 (Goodwill) IFRS 3.Appendix B67(d)(v); IAS 36.124 560 (Other intangible assets) IAS 38.118 (e)(iv)(v) 570 (Other) IAS 36.126 (a)(b) 580 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates IAS 1.82(c) 600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 620 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 640 Profit or (-) loss after tax from discontinued operations IAS 1.82(e) ; IFRS 5.33(a), 5.33 A 650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i) 660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv) 670 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.82(f) 680 Attributable to minority interest [non-controlling interests] IAS 1.83(a)(i) 690 Attributable to owners of the parent IAS 1.83(a)(ii)

3. Statement of comprehensive income References Current period 010 010 Profit or (-) loss for the year IAS 1.7, 81(b), 83(a), IG6 020 Other comprehensive income IAS 1.7, 81(b), IG6 030 Items that will not be reclassified to profit or loss IAS 1.82A(a) 040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 050 Intangible assets IAS 1.7; IAS 38.85-86 060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.93A 070 Non-current assets and disposal groups held for sale IFRS 5.38 080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.82(h), IG6; IAS 28.11 090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.31 100 Items that may be reclassified to profit or loss IAS 1.82A(b) 110 Hedge of net investments in foreign operations [effective portion] IAS 39.102(a) 120 Valuation gains or (-) losses taken to equity IAS 39.102(a) 130 Transferred to profit or loss IAS 1.7, 92-95; IAS 39.102(a) 140 Other reclassifications 150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 180 Other reclassifications 190 Cash flow hedges [effective portion] IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96 200 Valuation gains or (-) losses taken to equity IAS 1.IG6; IAS 39.95(a)-96 210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IAS 39.97-101 220 Transferred to initial carrying amount of hedged items IAS 1.IG6; IAS 39.97-101 230 Other reclassifications 240 Available-for-sale financial assets IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 250 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 260 Transferred to profit or loss IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b) 270 Other reclassifications IFRS 5.IG Example 12 280 Non-current assets and disposal groups held for sale IFRS 5.38 290 Valuation gains or (-) losses taken to equity IFRS 5.38 300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 310 Other reclassifications IFRS 5.IG Example 12 320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.82(h), IG6; IAS 28.11 330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.31 340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6

4. Breakdown of financial assets by instrument and by counterparty sector

4.

4.1 Financial assets held for trading References Carrying amount Accumulated changes in fair value due to credit risk IFRS 7.9 (c); Annex V.Part 2.46 010 020 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f)

4.2 Financial assets designated at fair value through profit or loss References Carrying amount Accumulated changes in fair value due to credit risk IFRS 7.9 (c); Annex V.Part 2.46 010 020 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IAS 39.9

4.3 Available-for-sale financial assets References Carrying amount of unimpaired assets Carrying amount of impaired assets Carrying amount Accumulated impairment IAS 39.58-62 Annex V.Part 2.34 Annex V.Part 2.46 010 020 030 040 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 AVAILABLE-FOR-SALE FINANCIAL ASSETS IFRS 7.8(d); IAS 39.9

4.4 Loans and receivables and held-to-maturity investments References Unimpaired assets [gross carrying amount] Impaired assets [gross carrying amount] Specific allowances for individually assessed financial assets Specific allowances for collectively assessed financial assets Collective allowances for incurrred but not reported losses Carrying amount IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59 IAS 39.AG 84-92; Annex V.Part 2.36 IAS 39.AG 84-92; Annex V.Part 2.37 IAS 39.AG 84-92; Annex V.Part 2.38 Annex V.Part 2.39 010 020 030 040 050 060 010 Debt securities Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) 140 LOANS AND RECEIVABLES IAS 39,9 AG 16, AG26; Annex V.Part 1.16 150 Debt securities Annex V.Part 1.24, 26 160 Central banks Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) 210 Loans and advances Annex V.Part 1.24, 27 220 Central banks Annex V.Part 1.35(a) 230 General governments Annex V.Part 1.35(b) 240 Credit institutions Annex V.Part 1.35(c) 250 Other financial corporations Annex V.Part 1.35(d) 260 Non-financial corporations Annex V.Part 1.35(e) 270 Households Annex V.Part 1.35(f) 280 HELD-TO-MATURITY IFRS 7.8(c); IAS 39.9, AG16, AG26

4.5 Subordinated financial assets References Carrying amount 010 010 Loans and advances Annex V.Part 1.24, 27 020 Debt securities Annex V.Part 1.24, 26 030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.40, 54

5. Breakdown of Loan and advances by product References Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households Annex V.Part 1.35(a) Annex V.Part 1.35(b) Annex V.Part 1.35(c) Annex V.Part 1.35(d) Annex V.Part 1.35(e) Annex V.Part 1.35(f) 010 020 030 040 050 060 By product 010 On demand [call] and short notice [current account] Annex V.Part 2.41(a) 020 Credit card debt Annex V.Part 2.41(b) 030 Trade receivables Annex V.Part 2.41(c) 040 Finance leases Annex V.Part 2.41(d) 050 Reverse repurchase loans Annex V.Part 2.41(e) 060 Other term loans Annex V.Part 2.41(f) 070 Advances that are not loans Annex V.Part 2.41(g) 080 LOANS AND ADVANCES Annex V.Part 1.24, 27 By collateral 090 of which: mortgage loans [Loans collateralized by immovable property] Annex V.Part 2.41(h) 100 of which: other collateralized loans Annex V.Part 2.41(i) By purpose 110 of which: credit for consumption Annex V.Part 2.41(j) 120 of which: lending for house purchase Annex V.Part 2.41(k) By subordination 130 of which: project finance loans Annex V.Part 2.41(l)

6. Breakdown of loans and advances to non-financial corporations by NACE codes References Non-financial corporations Gross carrying amount Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.45 Annex V.Part 2.46 010 020 010 A Agriculture, forestry and fishing NACE Regulation 020 B Mining and quarrying NACE Regulation 030 C Manufacturing NACE Regulation 040 D Electricity, gas, steam and air conditioning supply NACE Regulation 050 E Water supply NACE Regulation 060 F Construction NACE Regulation 070 G Wholesale and retail trade NACE Regulation 080 H Transport and storage NACE Regulation 090 I Accommodation and food service activities NACE Regulation 100 J Information and communication NACE Regulation 110 L Real estate activities NACE Regulation 120 M Professional, scientific and technical activities NACE Regulation 130 N Administrative and support service activities NACE Regulation 140 O Public administration and defence, compulsory social security NACE Regulation 150 P Education NACE Regulation 160 Q Human health services and social work activities NACE Regulation 170 R Arts, entertainment and recreation NACE Regulation 180 S Other services NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27, 2.42-43

7. Financial assets subject to impairment that are past due or impaired References Past due but not impaired Carrying amount ofthe impaired assets Specific allowances forindividually assessedfinancial assets Specific allowances forcollectively assessedfinancial assets Collective allowances forincurrred but not reported losses Accumulated write-offs ≤ 30 days > 30 days ≤ 60 days > 60 days ≤ 90 days > 90 days ≤ 180days > 180 days ≤ 1year > 1year IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48 IAS 39.58-70 IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36 IAS 39 AG 84-92; Annex V.Part 2.37 IAS 39 AG 84-92; Annex V.Part 2.38 IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50 010 020 030 040 050 060 070 080 090 100 110 010 Equity instruments IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 TOTAL Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.41(a) 210 Credit card debt Annex V.Part 2.41(b) 220 Trade receivables Annex V.Part 2.41(c) 230 Finance leases Annex V.Part 2.41(d) 240 Reverse repurchase loans Annex V.Part 2.41(e) 250 Other term loans Annex V.Part 2.41(f) 260 Advances that are not loans Annex V.Part 2.41(g) 270 of which: mortgage loans [Loans collateralized by inmovable property] Annex V.Part 2.41(h) 280 of which: other collateralized loans Annex V.Part 2.41(i) 290 of which: credit for consumption Annex V.Part 2.41(j) 300 of which: lending for house purchase Annex V.Part 2.41(k) 310 of which: project finance loans Annex V.Part 2.41(l)

8. Breakdown of financial liabilities

8.

8.1 Breakdown of financial liabilities by product and by counterparty sector References Carrying amount Amount of cumulative change in fair values attributable to changes in credit risk Amount contractually required to pay at maturity Held for trading Designated at fair value through profit or loss Amortised cost Hedge accounting IFRS 7.8(e)(ii); IAS 39.9, AG 14-15 IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 IFRS 7.22(b); IAS 39.9 IFRS 7.10(a);CRR art 30(b), art 424(1)(d)(i) IFRS 7.10(b) 010 020 030 037 040 050 010 Derivatives IAS 39.9, AG 15(a) 020 Short positions IAS 39 AG 15(b) 030 Equity instruments IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 050 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 060 Central banks Annex V.Part 1.35(a) 070 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 080 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 090 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 100 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 110 General governments Annex V.Part 1.35(b) 120 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 130 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 140 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 150 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 160 Credit institutions Annex V.Part 1.35(c) 170 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 180 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 190 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 200 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 210 Other financial corporations Annex V.Part 1.35(d) 220 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 230 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 240 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 250 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 260 Non-financial corporations Annex V.Part 1.35(e) 270 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 280 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 290 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 300 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 310 Households Annex V.Part 1.35(f) 320 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 330 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 340 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 350 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 360 Debt securities issued Annex V.Part 1.31; Annex V.Part 2.52 370 Certificates of deposits Annex V.Part 2.52(a) 380 Asset-backed securities CRR art 4(1)(61) 390 Covered bonds CRR art 129(1) 400 Hybrid contracts IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d) 410 Other debt securities issued Annex V.Part 2.52(e) 420 Convertible compound financial instruments IAS 32.AG 31 430 Non-convertible 440 Other financial liabilities Annex V.Part 1.32-34 450 FINANCIAL LIABILITIES

8.2. Subordinated financial liabilities Carriyng amount References Designated at fair value through profit or loss At amortized cost IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 010 020 010 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 020 Debt securities issued Annex V.Part 1.31 030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.53-54

9. Loan commitments, financial guarantees and other commitments

9.

9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References Nominal amount IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62 010 010 Loan commitments given IAS 39.2 (h), 4 (a) ( c), BC 15; CRR Annex I; Annex V.Part 2.56-57 020 of which: defaulted Annex V.Part 2.61 030 Central banks Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) 080 Households Annex V.Part 1.35(f) 090 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 100 of which: defaulted Annex V.Part 2.61 110 Central banks Annex V.Part 1.35(a) 120 General governments Annex V.Part 1.35(b) 130 Credit institutions Annex V.Part 1.35(c) 140 Other financial corporations Annex V.Part 1.35(d) 150 Non-financial corporations Annex V.Part 1.35(e) 160 Households Annex V.Part 1.35(f) 170 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 180 of which: defaulted Annex V.Part 2.61 190 Central banks Annex V.Part 1.35(a) 200 General governments Annex V.Part 1.35(b) 210 Credit institutions Annex V.Part 1.35(c) 220 Other financial corporations Annex V.Part 1.35(d) 230 Non-financial corporations Annex V.Part 1.35(e) 240 Households Annex V.Part 1.35(f)

9.2 Loan commitments, financial guarantees and other commitments received References Maximum amount of the guarantee that can be considered Nominal amount IFRS 7.36 (b); Annex V.Part 2.63 Annex V.Part 2.63 010 020 010 Loan commitments received IAS 39.2(h), 4(a)( c), BC 15; Annex V.Part 2.56-57 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Households Annex V.Part 1.35(f) 080 Financial guarantees received IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; Annex V.Part 2.56, 58 090 Central banks Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) 150 Other Commitments received Annex V.Part 2.56, 59 160 Central banks Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) 210 Households Annex V.Part 1.35(f)

10. Derivatives - Trading By type of risk / By product or by type of market References Carrying amount Notional amount Financial assets held for trading Financial liabilities held for trading Total Trading of which: sold Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70-71 Annex V.Part 2.72 010 020 030 040 010 Interest rate Annex V.Part 2.67(a) 020 of which: economic hedges Annex V.Part 2.74 030 OTC options 040 OTC other 050 Organized market options 060 Organized market other 070 Equity Annex V.Part 2.67(b) 080 of which: economic hedges Annex V.Part 2.74 090 OTC options 100 OTC other 110 Organized market options 120 Organized market other 130 Foreign exchange and gold Annex V.Part 2.67(c) 140 of which: economic hedges Annex V.Part 2.74 150 OTC options 160 OTC other 170 Organized market options 180 Organized market other 190 Credit Annex V.Part 2.67(d) 200 of which: economic hedges Annex V.Part 2.74 210 Credit default swap 220 Credit spread option 230 Total return swap 240 Other 250 Commodity Annex V.Part 2.67(e) 260 of which: economic hedges Annex V.Part 2.74 270 Other Annex V.Part 2.67(f) 280 of which: economic hedges Annex V.Part 2.74 290 DERIVATIVES IAS 39.9 300 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 310 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 320 of which: OTC - rest Annex V.Part 2.75(c)

11. Derivatives - Hedge accounting

11.

11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of market References Carrying amount Notional amount Assets Liabilities Total Hedging of which: sold Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70, 71 Annex V.Part 2.72 010 020 030 040 010 Interest rate Annex V.Part 2.67(a) 020 OTC options 030 OTC other 040 Organized market options 050 Organized market other 060 Equity Annex V.Part 2.67(b) 070 OTC options 080 OTC other 090 Organized market options 100 Organized market other 110 Foreign exchange and gold Annex V.Part 2.67(c) 120 OTC options 130 OTC other 140 Organized market options 150 Organized market other 160 Credit Annex V.Part 2.67(d) 170 Credit default swap 180 Credit spread option 190 Total return swap 200 Other 210 Commodity Annex V.Part 2.67(e) 220 Other Annex V.Part 2.67(f) 230 FAIR VALUE HEDGES IFRS 7.22(b); IAS 39.86(a) 240 Interest rate Annex V.Part 2.67(a) 250 OTC options 260 OTC other 270 Organized market options 280 Organized market other 290 Equity Annex V.Part 2.67(b) 300 OTC options 310 OTC other 320 Organized market options 330 Organized market other 340 Foreign exchange and gold Annex V.Part 2.67(c) 350 OTC options 360 OTC other 370 Organized market options 380 Organized market other 390 Credit Annex V.Part 2.67(d) 400 Credit default swap 410 Credit spread option 420 Total return swap 430 Other 440 Commodity Annex V.Part 2.67(e) 450 Other Annex V.Part 2.67(f) 460 CASH FLOW HEDGES IFRS 7.22(b); IAS 39.86(b) 470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.22(b); IAS 39.86(c) 480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.89A, IE 1-31 490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39 IG F6 1-3 500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.22(b); IAS 39.9 510 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 520 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 530 of which: OTC - rest Annex V.Part 2.75(c)

12. Movements in allowances for credit losses and impairment of equity instruments References Opening balance Increases due toamounts setaside for estimated loanlosses during the period Decreases due toamountsreversed for estimated loanlosses during the period Decreases due toamountstaken against allowances Transfers between allowances Other adjustments Closing balance Recoveries recorded directlyto the statement of profit or loss Value adjustments recordeddirectly to the statementof profit or loss Annex V.Part 2.77 Annex V.Part 2.77 Annex V.Part 2.78 Annex V.Part 2.78 010 020 030 040 050 060 070 080 090 010 Equity instruments 020 Specific allowances for individually assessed financial assets IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36 030 Debt securities Annex V.Part 1.26 040 Central banks Annex V.Part 1.35(a) 050 General governments Annex V.Part 1.35(b) 060 Credit institutions Annex V.Part 1.35(c) 070 Other financial corporations Annex V.Part 1.35(d) 080 Non-financial corporations Annex V.Part 1.35(e) 090 Loans and advances Annex V.Part 1.27 100 Central banks Annex V.Part 1.35(a) 110 General governments Annex V.Part 1.35(b) 120 Credit institutions Annex V.Part 1.35(c) 130 Other financial corporations Annex V.Part 1.35(d) 140 Non-financial corporations Annex V.Part 1.35(e) 150 Households Annex V.Part 1.35(f) 160 Specific allowances for collectively assessed financial assets IAS 39.59, 64; Annex V.Part 2.37 170 Debt securities Annex V.Part 1.26 180 Central banks Annex V.Part 1.35(a) 190 General governments Annex V.Part 1.35(b) 200 Credit institutions Annex V.Part 1.35(c) 210 Other financial corporations Annex V.Part 1.35(d) 220 Non-financial corporations Annex V.Part 1.35(e) 230 Loans and advances Annex V.Part 1.27 240 Central banks Annex V.Part 1.35(a) 250 General governments Annex V.Part 1.35(b) 260 Credit institutions Annex V.Part 1.35(c) 270 Other financial corporations Annex V.Part 1.35(d) 280 Non-financial corporations Annex V.Part 1.35(e) 290 Households Annex V.Part 1.35(f) 300 Collective allowances for incurred but not reported losses on financial assets IAS 39.59, 64; Annex V.Part 2.38 310 Debt securities Annex V.Part 1.26 320 Loans and advances Annex V.Part 1.27 530 Total

13. Collateral and guarantees received

13.

13.1 Breakdown of loans and advances by collateral and guarantees Maximum amount of the collateral or guarantee that can be considered Guarantees and collateral References Mortgage loans [Loans collateralized by immovable property] Other collateralized loans Financial guarantees received Residential Commercial Cash [Debt instruments issued] Rest IFRS 7.36(b) Annex V.Part 2.81(a) Annex V.Part 2.81(a) Annex V.Part 2.81(b) Annex V.Part 2.81(b) Annex V.Part 2.81(c) 010 020 030 040 050 010 Loans and advances Annex V.Part 2.81 020 of which: Other financial corporations Annex V.Part 1.35(d) 030 of which: Non-financial corporations Annex V.Part 1.35(e) 040 of which: Households Annex V.Part 1.35(f)

13.2 Collateral obtained by taking possession during the period [held at the reporting date] References Carrying amount 010 010 Non-current assets held-for-sale IFRS 7.38(a) 020 Property, plant and equipment IFRS 7.38(a) 030 Investment property IFRS 7.38(a) 040 Equity and debt instruments IFRS 7.38(a) 050 Other IFRS 7.38(a) 060 Total

13.3 Collateral obtained by taking possession [tangible assets] accumulated References Carrying amount 010 010 Foreclosure [tangible assets] IFRS 7.38(a); Annex V.Part 2.84

14. Fair value hierachy: financial instruments at fair value References Fair value hierarchyIFRS 13.93 (b) Change in fair value for the periodITS V.Part 2.86 Accumulated change in fair value before taxesITS V.Part 2.87 Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3 IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86 010 020 030 040 050 060 070 080 ASSETS 010 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 020 Derivatives IAS 39.9 030 Equity instruments IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 050 Loans and advances Annex V.Part 1.24, 27 060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 100 Available-for-sale financial assets IFRS 7.8 (h)(d); IAS 39.9 110 Equity instruments IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 140 Derivatives – Hedge accounting IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 LIABILITIES 150 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 160 Derivatives IAS 39.9, AG 15(a) 170 Short positions IAS 39 AG 15(b) 180 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 190 Debt securities issued Annex V.Part 1.31 200 Other financial liabilities Annex V.Part 1.32-34 210 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e) (i); IAS 39.9 220 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 230 Debt securities issued Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 250 Derivatives – Hedge accounting IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19

15. Derecognition and financial liabilities associated with transferred financial assets References Transferred financial assets entirely recognized Transferred financial assets recognized to the extent of the instution's continuing involvement Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights Amounts derecognised for capital purposes Transferred assets Associated liabilitiesITS V.Part 2.89 Principal amount outstanding of the original assets Carrying amount of assets still recognised [continuing involvement] Carrying amount of associated liabilites Carrying amount Of which: securitizations Of which: repurchase agreements Carrying amount Of which: securitizations Of which: repurchase agreements IFRS 7.42D.(e) IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 2.89 CRR art 109; Annex V.Part 2.90 010 020 030 040 050 060 070 080 090 100 110 010 Financial assets held for trading IFRS 7.8 (a)(ii); IAS 39.9, AG 14 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 050 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 060 Equity instruments IAS 32.11 070 Debt securities Annex V.Part 1.24, 26 080 Loans and advances Annex V.Part 1.24, 27 090 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 100 Equity instruments IAS 32.11 110 Debt securities Annex V.Part 1.24, 26 120 Loans and advances Annex V.Part 1.24, 27 130 Loans and receivables IFRS 7.8 (c); IAS 39.9, AG16, AG26 140 Debt securities Annex V.Part 1.24, 26 150 Loans and advances Annex V.Part 1.24, 27 160 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 170 Debt securities Annex V.Part 1.24, 26 180 Loans and advances Annex V.Part 1.24, 27 190 Total

16. Breakdown of selected statement of profit or loss items

16.

16.1 Interest income and expenses by instrument and counterparty sector Current period References Income Expenses Annex V.Part 2.95 Annex V.Part 2.95 010 020 010 Derivatives -Trading IAS 39.9; Annex V.Part 2.96 020 Debt securities Annex V.Part 1.26 030 Central banks Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) 080 Loans and advances Annex V.Part 1.27 090 Central banks Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) 150 Other assets Annex V.Part 1.51 160 Deposits ECB/2008/32 Annex 2.Part 2.9 170 Central banks Annex V.Part 1.35(a) 180 General governments Annex V.Part 1.35(b) 190 Credit institutions Annex V.Part 1.35(c) 200 Other financial corporations Annex V.Part 1.35(d) 210 Non-financial corporations Annex V.Part 1.35(e) 220 Households Annex V.Part 1.35(f) 230 Debt securities issued Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.95 260 Other Liabilities Annex V.Part 2.10 270 INTEREST IAS 18.35(b); IAS 1.97

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument References Current period 010 010 Equity instruments IAS 32.11 020 Debt securities Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(v-vii); IAS 39.55(a)

16.3 Gains or losses on financial assets and liabilities held for trading by instrument References Current period 010 010 Derivatives IAS 39.9 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.26 040 Loans and advances Annex V.Part 1.27 050 Short positions IAS 39 AG 15(b) 060 Deposits ECB/2008/32 Annex 2.Part 2.9 070 Debt securities issued Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i)

16.4. Gains or losses on financial assets and liabilities held for trading by risk References Current period 010 010 Interest rate instruments and related derivatives Annex V.Part 2.99(a) 020 Equity instruments and related derivatives Annex V.Part 2.99(b) 030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.99(c) 040 Credit risk instruments and related derivatives Annex V.Part 2.99(d) 050 Derivatives related with commodities Annex V.Part 2.99(e) 060 Other Annex V.Part 2.99(f) 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i)

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument References Current period Accumulated changes in fair value due to credit risk Annex V.Part 2.100 010 020 010 Equity instruments IAS 32.11 020 Debt securities Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(i)

16.6 Gains or losses from hedge accounting References Current period 010 010 Fair value changes of the hedging instrument [including discontinuation] IFRS 7.24(a)(i) 020 Fair value changes of the hedged item attributable to the hedged risk IFRS 7.24(a)(ii) 030 Ineffectiveness in profit or loss from cash flow hedges IFRS 7.24(b) 040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations IFRS 7.24(c) 050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET IFRS 7.24

16.7 Impairment on financial and non-financial assets Current period References Additions Annex V.Part 2.102 Reversals Annex V.Part 2.102 Total Accumulated impairment 010 020 030 040 010 Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss IFRS 7.20(e) 020 Financial assets measured at cost IFRS 7.20(e); IAS 39.66 030 Available-for-sale financial assets IFRS 7.20(e); IAS 39.67-70 040 Loans and receivables IFRS 7.20(e); IAS 39.63-65 050 Held-to-maturity investments IFRS 7.20(e); IAS 39.63-65 060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates IAS 28.40-43 070 Subsidiaries IFRS 10 Appendix A 080 Joint ventures IAS 28.3 090 Associates IAS 28.3 100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b) 110 Property, plant and equipment IAS 16.73(e)(v-vi) 120 Investment properties IAS 40.79(d)(v) 130 Goodwill IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) 140 Other intangible assets IAS 38.118(e)(iv)(v) 150 TOTAL 160 Interest income on impaired financial assets accrued IFRS 7.20(d); IAS 39.AG 93

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.

17.1 Assets References Accounting scope of consolidation [Carrying amount] 010 010 Cash and cash balances at central banks IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 030 Cash balances at central banks Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives IAS 39.9 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 140 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 150 Equity instruments IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 180 Loans and receivables IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 210 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 2.4 270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.105 280 Tangible assets 290 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 300 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 310 Other intangible assets IAS 38.8,118 320 Tax assets IAS 1.54(n-o) 330 Current tax assets IAS 1.54(n); IAS 12.5 340 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 350 Other assets Annex V.Part 2.5 360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 370 TOTAL ASSETS IAS 1.9(a), IG 6

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References Accounting scope of consolidation [Nominal amount] 010 010 Loan commitments given IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 040 OFF-BALANCE SHEET EXPOSURES

17.3 Liabilities and equity References Accounting scope of consolidation [Carrying amount] 010 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b) 170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.106 180 Provisions IAS 37.10; IAS 1.54(l) 190 Tax liabilities IAS 1.54(n-o) 200 Current tax liabilities IAS 1.54(n); IAS 12.5 210 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 230 Other liabilities Annex V.Part 2.10 240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 250 LIABILITIES IAS 1.9(b);IG 6 260 Capital IAS 1.54(r), BAD art 22 270 Share premium IAS 1.78(e); CRR art 4(1)(124) 280 Equity instruments issued other than capital Annex V.Part 2.15-16 290 Other equity IFRS 2.10; Annex V.Part 2.17 300 Accumulated other comprehensive income CRR art 4(1)(100) 310 Retained earnings CRR art 4(1)(123) 320 Revaluation reserves IFRS 1.30, D5-D8 330 Other reserves IAS 1.54; IAS 1.78 (e) 340 (-) Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 350 Profit or loss attributable to owners of the parent IAS 27.28; IAS 1.83(a)(ii) 360 (-) Interim dividends IAS 32.35 370 Minority interests [Non-controlling interests] IAS 27.4; IAS 1.54(q); IAS 27.27 380 TOTAL EQUITY IAS 1.9(c), IG 6 390 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6

18. Performing and non-performing exposures

19. Forborne exposures

20. Geographical breakdown

20.

20.1 Geographical breakdown of assets by location of the activities References Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Cash and cash balances at central banks IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 030 Cash balances at central banks Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives IAS 39.9 070 Equity instruments IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 140 Available-for-sale financial assets IFRS 7.8(d); IAS 39.9 150 Equity instruments IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 180 Loans and receivables IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 210 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 2.4 270 Tangible assets 280 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 290 Tax assets IAS 1.54(n-o) 300 Other assets Annex V.Part 2.5 310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38 320 ASSETS IAS 1.9(a), IG 6

20.2 Geographical breakdown of liabilities by location of the activities References Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b) 170 Provisions IAS 37.10; IAS 1.54(l) 180 Tax liabilities IAS 1.54(n-o) 190 Share capital repayable on demand IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09 200 Other liabilities Annex V.Part 2.10 210 Liabilities included in disposal groups classified as held for sale IAS 1.54(p); IFRS 5.38 220 LIABILITIES IAS 1.9(b);IG 6

20.3 Geographical breakdown of statement of profit or loss items by location of the activities References Current period Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Interest income IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 020 (Interest expense) IAS 1.97; Annex V.Part 2.21 030 (Expenses on share capital repayable on demand) IFRIC 2.11 040 Dividend income IAS 18.35(b)(v); Annex V.Part 2.28 050 Fee and commission income IFRS 7.20(c) 060 (Fee and commission expenses) IFRS 7.20(c) 070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net IFRS 7.20(a)(ii-v) 080 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IAS 39.55(a) 090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a) (i); IAS 39.55(a) 100 Gains or (-) losses from hedge accounting, net IFRS 7.24 110 Exchange differences [gain or (-) loss], net IAS 21.28, 52(a) 120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net 130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 140 Other operating income Annex V.Part 2.141-143 150 (Other operating expenses) Annex V.Part 2.141-143 155 TOTAL OPERATING INCOME, NET 160 (Administrative expenses) 170 (Depreciation) IAS 1.102, 104 180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(e) 200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43 210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 220 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates IAS 1.82(c) 240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 260 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 280 Profit or (-) loss after tax from discontinued operations IAS 1.82(e) ; IFRS 5.33(a), 5.33 A 290 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.82(f)

20.4 Geographical breakdown of assets by residence of the counterparty z-axis Country of residence of the counterparty References Gross carrying amount of which: defaulted Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.109 Annex V.Part 2.109 Annex V.Part 2.46 010 020 030 010 Derivatives IAS 39.9 020 Of which: credit institutions Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) 040 Equity instruments IAS 32.11 050 Of which: credit institutions Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) 070 Of which: non-financial corporations Annex V.Part 1.35(e) 080 Debt securities Annex V.Part 1.24, 26 090 Central banks Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) 140 Loans and advances Annex V.Part 1.24, 27 150 Central banks Annex V.Part 1.35(a) 160 General governments Annex V.Part 1.35(b) 170 Credit institutions Annex V.Part 1.35(c) 180 Other financial corporations Annex V.Part 1.35(d) 190 Non-financial corporations Annex V.Part 1.35(e) 200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 210 Of which: Commercial immovable property 220 Households Annex V.Part 1.35(f) 230 Of which: Loans collateralized by residential immovable property 240 Of which: Credit for consumption

20.5 Geographical breakdown of off-balance sheet exposures by residence of the counterparty z-axis Country of residence of the counterparty References Nominal amount of which: defaulted Provisions for commitments and guarantees given Annex V.Part 2.62 Annex V.Part 2.61 010 020 030 010 Loan commitments given IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59

20.6 Geographical breakdown of liabilities by residence of the counterparty z-axis Country of residence of the counterparty References Carrying amount Annex V.Part 1.28, 2.107 010 010 Derivatives IAS 39.9, AG 15(a) 020 Of which: credit institutions Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) 040 Short positions IAS 39 AG 15(b) 050 Of which: credit institutions Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f)

20.7 Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty z-axis Country of residence of the counterparty Non-financial corporations References Gross carrying amount Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.109 Annex V.Part 2.46 010 020 010 A Agriculture, forestry and fishing NACE Regulation 020 B Mining and quarrying NACE Regulation 030 C Manufacturing NACE Regulation 040 D Electricity, gas, steam and air conditioning supply NACE Regulation 050 E Water supply NACE Regulation 060 F Construction NACE Regulation 070 G Wholesale and retail trade NACE Regulation 080 H Transport ans storage NACE Regulation 090 I Accommodation and food service activities NACE Regulation 100 J Information and communication NACE Regulation 110 L Real estate activities NACE Regulation 120 M Professional, scientific and technical activities NACE Regulation 130 N Administrative and support service activities NACE Regulation 140 O Public administration and defence, compulsory social security NACE Regulation 150 P Education NACE Regulation 160 Q Human health services and social work activities NACE Regulation 170 R Arts, entertainment and recreation NACE Regulation 180 S Other services NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27

21. Tangible and intangible assets: assets subject to operating lease References Carrying amount Annex V.Part 2.110-111 010 010 Property plant and equipment IAS 16.6; IAS 1.54(a) 020 Revaluation model IAS 17.49; IAS 16.31, 73(a)(d) 030 Cost model IAS 17.49; IAS 16.30, 73(a)(d) 040 Investment property IAS 40.IN5; IAS 1.54(b) 050 Fair value model IAS 17.49; IAS 40.33-55, 76 060 Cost model IAS 17.49; IAS 40.56,79(c) 070 Other intangible assets IAS 38.8, 118 080 Revaluation model IAS 17.49; IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 17.49; IAS 38.74

22. Asset management, custody and other service functions

22.

22.1 Fee and commission income and expenses by activity References IFRS 7.20(c) Current period 010 010 Fee and commission income Annex V.Part 2.113-115 020 Securities 030 Issuances Annex V.Part 2.116(a) 040 Transfer orders Annex V.Part 2.116(b) 050 Other Annex V.Part 2.116(c) 060 Clearing and settlement Annex V.Part 2.116(d) 070 Asset management Annex V.Part 2.116(e); Annex V.Part 2.117(a) 080 Custody [by type of customer] Annex V.Part 2.116(e); Annex V.Part 2.117(b) 090 Collective investment 100 Other 110 Central administrative services for collective investment Annex V.Part 2.116(e); Annex V.Part 2.117(c) 120 Fiduciary transactions Annex V.Part 2.116(e); Annex V.Part 2.117(d) 130 Payment services Annex V.Part 2.116(e); Annex V.Part 2.117(e) 140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) 150 Collective investment 160 Insurance products 170 Other 180 Structured Finance Annex V.Part 2.116(f) 190 Servicing of securitization activities Annex V.Part 2.116(g) 200 Loan commitments given IAS 39.47(d)(ii); Annex V.Part 2.116(h) 210 Financial guarantees given IAS 39.47(c)(ii); Annex V.Part 2.116(h) 220 Other Annex V.Part 2.116(j) 230 (Fee and commission expenses) Annex V.Part 2.113-115 240 (Clearing and settlement) Annex V.Part 2.116(d) 250 (Custody) Annex V.Part 2.117(b) 260 (Servicing of securitization activities) Annex V.Part 2.116(g) 270 (Loan commitments received) Annex V.Part 2.116(i) 280 (Financial guarantees received) Annex V.Part 2.116(i) 290 (Other) Annex V.Part 2.116(j)

22.2 Assets involved in the services provided References Amount of the assets involved in the services provided Annex V.Part 2.117(g) 010 010 Asset management [by type of customer] Annex V.Part 2.117(a) 020 Collective investment 030 Pension funds 040 Customer portfolios managed on a discretionary basis 050 Other investment vehicles 060 Custody assets [by type of customer] Annex V.Part 2.117(b) 070 Collective investment 080 Other 090 Of which: entrusted to other entities 100 Central administrative services for collective investment Annex V.Part 2.117(c) 110 Fiduciary transactions Annex V.Part 2.117(d) 120 Payment services Annex V.Part 2.117(e) 130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) 140 Collective investment 150 Insurance products 160 Other

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.

30.1 Interests in unconsolidated structured entities References Carrying amount of financialassets recognisedin the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financialliabilities recognisedin the balance sheet Nominal amount of off-balance sheetitems given by thereporting–institution Of which: Nominal amount ofloan commitments given Losses incurred by the reportinginstitution in the current period IFRS 12.29(a) IFRS 12.29(a); Annex V.Part 2.118 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b) 010 020 030 040 050 060 070 010 Total

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activities References Securitisation Special Purpose Entities Asset management Other activities CRR art 4(1)(66) Annex V.Part 2.117(a) Carrying amount IFRS 12.28, B6.(a) 010 020 030 010 Selected financial assets recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 020 of which: defaulted 030 Derivatives IAS 39.9 040 Equity instruments IAS 32.11 050 Debt securities Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 080 Equity instruments issued IAS 32.4 090 Derivatives IAS 39.9, AG 15 (a) 100 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 110 Debt securities issued Annex V.Part 1.31 Nominal amount 120 Off-balance sheet items given by thereporting institution IFRS 12.B26.(e) 130 of which: defaulted Annex V.Part 2.61

31. Related parties

31.

31.1 Related parties: amounts payable to and amounts receivable from References Outstanding balances Parent and entities withjoint control orsignificant influence Subsidiaries and otherentities of the same group Associates and joint ventures Key management ofthe institution or its parent Other related parties IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.120 IAS 24.19(d),(e); Annex V.Part 2.120 IAS 24.19(f) IAS 24.19(g) Annex V.Part 2.120 010 020 030 040 050 010 Selected financial assets IAS 24.18(b) 020 Equity instruments IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 050 of which: Impaired financial assets 060 Selected financial liabilities IAS 24.18(b) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Debt securities issued Annex V.Part 1.31 090 Nominal amount of loan commitments, financial guarantees and other commitments given IAS 24.18(b); Annex V.Part 2.62 100 of which: defaulted IAS 24.18(b); Annex V.Part 2.61 110 Loan commitments, financial guarantees and other commitments received IAS 24.18(b); Annex V.Part 2.63, 121 120 Notional amount of derivatives Annex V.Part 2.70-71 130 Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments[To be replaced byAccumulated impairment, accumulated changes in fair value due to credit risk and provisions on non-performing exposures when reporting of non-performing exposures would be final] IAS 24.18(c)

31.2 Related parties: expenses and income generated by transactions with References Current period Parent and entities withjoint control orsignificant influence Subsidiaries and otherentities of the same group Associates and joint ventures Key management ofthe institution or its parent Other related parties IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g) Annex V.Part 2.120 010 020 030 040 050 010 Interest income IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21 020 Interest expenses IAS 24.18(a); IAS 1.97; Annex V.Part 2.21 030 Dividend income IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28 040 Fee and commission income IAS 24.18(a); IFRS 7.20(c) 050 Fee and commission expenses IAS 24.18(a); IFRS 7.20(c) 060 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss IAS 24.18(a) 070 Gains or (-) losses on derecognition of non-financial assets IAS 24.18(a); Annex V.Part 2.122 080 Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments IAS 24.18(d)

40. Group structure

40.

40.1 Group structure: entity-by-entity LEI code Entity code Entity name Entry date Share capital Equity of investee Total assets of investee Profit or (-) loss of investee Residence of investee Sector of investee NACE Code Accumulated equity interest [%] Voting rights [%] Group structure [relationship] Accounting treatment [Accounting Group] Accounting treatment [CRR Group] Carrying amount Acquisition cost Goodwill link to Investee Fair value of investments for which there are published price quotations Annex V.Part 2.123, 124(a) Annex V.Part 2.123, 124(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c) Annex V.Part 2.123, 124(d) Annex V.Part 2.123, 124(e) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g) Annex V.Part 2.123, 124(h) Annex V.Part 2.123, 124(i) IFRS 12.21(iv); Annex V.Part 2.123, 124(j) IFRS 12.21(iv); Annex V.Part 2.123, 124(k) IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l) IFRS 12.21(b); Annex V.Part 2.123, 124(m) CRR art 18; Annex V.Part 2.123, 124(n) Annex V.Part 2.123, 124(0) Annex V.Part 2.123, 124(p) Annex V.Part 2.123, 124(q) IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r) 010 020 030 040 050 060 070 080 090 095 100 110 120 130 140 150 160 170 180 190

40.2 Group structure: instrument-by-instrument Security code Entity code Holding company LEI code Holding company code Holding company name Accumulated equity interest (%) Carrying amount Acquisition cost Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c) Annex V.Part 2.125(b) Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c) 010 020 030 040 050 060 070 080

41. Fair value

41.

41.1 Fair value hierarchy: financial instruments at amortised cost ASSETS References Fair value Fair value hierarchyIFRS 13.93(b), BC216 IFRS 7.25-26 Level 1IFRS 13.76 Level 2IFRS 13.81 Level 3IFRS 13.86 010 020 030 040 010 Loans and receivables IFRS 7.8 (c); IAS 39.9, AG16, AG26 020 Debt securities Annex V.Part 1.24, 26 030 Loans and advances Annex V.Part 1.24, 27 040 Held-to-maturity investments IFRS 7.8(b); IAS 39.9, AG16, AG26 050 Debt securities Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 LIABILITIES 070 Financial liabilities measured at amortised cost IFRS 7.8(f); IAS 39.47 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34

41.2 Use of the Fair Value Option Financial instruments designated at fair value through profit or loss References Carrying amount Accounting mismatch Evaluation on a fair value basis Hybrid contracts IFRS 7.B5(a) IAS 39.9b(i) IAS 39.9b(ii) IAS 39.11A-12 ASSETS 010 020 030 010 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IAS 39.9 020 Equity Instruments IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 LIABILITIES 050 Financial liabilities designated at fair value through profit or loss IFRS 7.8(e)(i); IAS 39.9 060 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 070 Debt securities issued Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34

41.3 Hybrid financial instruments not designated at fair value through profit or loss Rest of separable hybrid contracts [not designated at fair value through profit or loss] References Carrying amount FINANCIAL ASSETS 010 010 Financial assets held for trading IAS 39.9; Annex V.Part 2.129 020 Available-for-sale [Host contracts] IAS 39.11; Annex V.Part 2.130 030 Loans and receivables [Host contracts] IAS 39.11; Annex V.Part 2.130 040 Held-to-maturity investments [Host contracts] IAS 39.11; Annex V.Part 2.130 FINANCIAL LIABILITES 050 Financial liabilities held for trading IAS 39.9; Annex V.Part 2.129 060 Financial liabilities measured at amortized cost [Host contracts] IAS 39.11; Annex V.Part 2.130

42. Tangible and intangible assets: carrying amount by measurement method References Carrying amount 010 010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 020 Revaluation model IAS 16.31, 73(a),(d) 030 Cost model IAS 16.30, 73(a),(d) 040 Investment property IAS 40.5, 30; IAS 1.54(b) 050 Fair value model IAS 40,33-55, 76 060 Cost model IAS 40.56, 79(c) 070 Other intangible assets IAS 38.8, 118, 122 ; Annex V.Part 2.132 080 Revaluation model IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 38.74

43. Provisions References Carrying amount Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Other provisions Total IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 IAS 37.70-83 IAS 37.App C.6-10 IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4 IAS 37.14 010 020 030 040 050 060 070 010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a) 020 Additions, including increases in existing provisions IAS 37.84 (b) 030 (-) Amounts used IAS 37.84 (c) 040 (-) Unused amounts reversed during the period IAS 37.84 (d) 050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e) 060 Other movements 070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a)

44. Defined benefit plans and employee benefits

44.

44.1 Components of net defined benefit plan assets and liabilities References Amount 010 010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 020 Of which: Financial instruments issued by the institution IAS 19.143 030 Equity instruments IAS 19.142(b) 040 Debt instruments IAS 19.142(c) 050 Real estate IAS 19.142(d) 060 Other defined benefit plan assets 070 Present value of defined benefit obligations IAS 19.140(a)(ii) 080 Effect of the asset ceiling IAS 19.140(a)(iii) 090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.136 100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b)

44.2 Movements in defined benefit obligations References Defined benefit obligations 010 010 Opening balance [present value] IAS 19.140(a)(ii) 020 Current service cost IAS 19.141(a) 030 Interest cost IAS 19.141(b) 040 Contributions paid IAS 19.141(f) 050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 080 Benefits paid IAS 19.141(g) 090 Past service cost,including gains and losses arising from settlements IAS 19.141(d) 100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 110 Other increases or (-) decreases 120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.138

44.3 Memo items [related to staff expenses] References Current period 010 010 Pension and similar expenses Annex V.Part 2.139(a) 020 Share based payments IFRS 2.44; Annex V.Part 2.139(b)

45. Breakdown of selected items of statement of profit or loss

45.

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio References Current period Changes in fair value due to credit risk 010 020 010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IAS 39.55(a) 020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IAS 39.55(a) 030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.20(a)(i)

45.2 Gains or losses on derecognition of non-financial assets other than held for sale References Current period 010 020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 040 Other assets IAS 1.34 (a) 050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34

45.3 Other operating income and expenses References Income Expenses 010 020 010 Changes in fair value in tangible assets measured using the fair value model IAS 40.76(d); Annex V.Part 2.141 020 Investment property IAS 40.75(f); Annex V.Part 2.141 030 Operating leases other than investment property IAS 17.50, 51, 56(b); Annex V.Part 2.142 040 Other Annex V.Part 2.143 050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.141-142

46. Statement of changes in equity Sources of equity changes References Capital Share premium Equity instrumentsissued other than Capital Other equity Accumulated othercomprehensive income Retained earnings Revaluation reserves Other reserves (-) Treasury shares Profit or (-) loss atributableto owners of the parent (-) Interim dividends Minority interests Total Accumulated OtherComprehensive Income Other items IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.15-16 IAS 1.106; Annex V.Part 2.17 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 IAS 1.106(a), 83 (a)(ii) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.9(c), IG6 010 020 030 040 050 060 070 080 090 100 110 120 130 140 010 Opening balance [before restatement] 020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42 030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22 040 Opening balance [current period] 050 Issuance of ordinary shares IAS 1.106.(d).(iii) 060 Issuance of preference shares IAS 1.106.(d).(iii) 070 Issuance of other equity instruments IAS 1.106.(d).(iii) 080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii) 090 Conversion of debt to equity IAS 1.106.(d).(iii) 100 Capital reduction IAS 1.106.(d).(iii) 110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33 130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33 140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii) 150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii) 160 Transfers among components of equity IAS 1.106.(d).(iii) 170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii) 180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10 190 Other increase or (-) decrease in equity IAS 1.106.(d) 200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 210 Closing balance [current period]

ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

FINREP TEMPLATES FOR GAAP TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE PART 1 [QUARTERLY FREQUENCY] Balance Sheet Statement [Statement of Financial Position] 1.1 F 01.01 Balance Sheet Statement: assets 1.2 F 01.02 Balance Sheet Statement: liabilities 1.3 F 01.03 Balance Sheet Statement: equity 2 F 02.00 Statement of profit or loss 3 F 03.00 Statement of comprehensive income Breakdown of financial assets by instrument and by counterparty sector 4,1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading 4,2 F 04.02 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4,3 F 04.03 Breakdown of financial assets by instrument and by counterparty sector: available-for-sale financial assets 4,4 F 04.04 Breakdown of financial assets by instrument and by counterparty sector: loans and receivables and held-to-maturity investments 4,5 F 04.05 Subordinated financial assets 4,6 F 04.06 Breakdown of financial assets by instrument and by counterparty sector: trading financial assets 4,7 F 04.07 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss 4,8 F 04.08 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity 4,9 F 04.09 Breakdown of financial assets by instrument and by counterparty sector: non-trading debt instruments measured at a cost-based method 4.10 F 04.10 Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets 5 F 05.00 Breakdown of loans and advances by product 6 F 06.00 Breakdown of loans and advances to non-financial corporations by NACE codes 7 F 07.00 Financial assets subject to impairment that are past due or impaired Breakdown of financial liabilities 8,1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector 8,2 F 08.02 Subordinated financial liabilities Loan commitments, financial guarantees and other commitments 9,1 F 09.01 Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given 9,2 F 09.02 Loan commitments, financial guarantees and other commitments received 10 F 10.00 Derivatives - Trading Derivatives - Hedge accounting 11,1 F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge 11,2 F 11.02 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk 12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments Collateral and guarantees received 13,1 F 13.01 Breakdown of loans and advances by collateral and guarantees 13,2 F 13.02 Collateral obtained by taking possession during the period [held at the reporting date] 13,3 F 13.03 Collateral obtained by taking possession [tangible assets] accumulated 14 F 14.00 Fair value hierarchy: financial instruments at fair value 15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets Breakdown of selected statement of profit or loss items 16,1 F 16.01 Interest income and expenses by instrument and counterparty sector 16,2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument 16,3 F 16.03 Gains or losses on financial assets and liabilities held for trading by instrument 16,4 F 16.04 Gains or losses on financial assets and liabilities held for trading by risk 16,5 F 16.05 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument 16,6 F 16.06 Gains or losses from hedge accounting 16,7 F 16.07 Impairment on financial and non-financial assets Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 17,1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets 17,2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given 17,3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities 18 F 18.00 [Performing and non-performing exposures: to be inserted when final] 19 F 19.00 [Forborne exposures: to be inserted when final] PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] Geographical breakdown 20,1 F 20.01 Geographical breakdown of assets by location of the activities 20,2 F 20.02 Geographical breakdown of liabilities by location of the activities 20,3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20,4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20,5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20,6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20,7 F 20.07 Geographical breakdown by residence of the counterparty of loans and advances to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 22,1 F 22.01 Fee and commission income and expenses by activity 22,2 F 22.02 Assets involved in the services provided PART 3 [SEMI-ANNUAL] Off-balance sheet activities: interests in unconsolidated structured entities 30,1 F 30.01 Interests in unconsolidated structured entities 30,2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities Related parties 31,1 F 31.01 Related parties: amounts payable to and amounts receivable from 31,2 F 31.02 Related parties: expenses and income generated by transactions with PART 4 [ANNUAL] Group structure 40,1 F 40.1 Group structure: entity-by-entity 40,2 F 40.02 Group structure: instrument-by-instrument Fair value 41,1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41,2 F 41.02 Use of the Fair Value Option 41,3 F 41.03 Hybrid financial instruments not designated at fair value through profit or loss 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 44,1 F 44.01 Components of net defined benefit plan assets and liabilities 44,2 F 44.02 Movements in defined benefit plan obligations 44,3 F 44.03 Memo items [related to staff expenses] Breakdown of selected items of statement of profit or loss 45,1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio 45,2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale 45,3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity COLOUR CODE IN TEMPLATES: Parts for National GAAP reporters Cell not to be submitted for reporting institutions subject to the relevant accounting framework

1. Balance Sheet Statement [Statement of Financial Position]

1.

1.1 Assets References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 010 010 Cash and cash balances at central banks BAD art 4.Assets(1) IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 4 040 Other demand deposits Annex V.Part 2.3 4 050 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives CRR Annex II IAS 39.9 10 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 4 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 091 Trading financial assets Annex V.Part 1.15 092 Derivatives CRR Annex II; Annex V.Part 1.15 093 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 094 Debt securities Annex V.Part 1.24, 26 4 095 Loans and advances Annex V.Part 1.24, 27 4 100 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 4 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 4 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 140 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 4 150 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 4 160 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 170 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 171 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 4 172 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 173 Debt securities Annex V.Part 1.24, 26 4 174 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 4 175 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 4 176 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 177 Debt securities Annex V.Part 1.24, 26 4 178 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 4 180 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 4 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 200 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 210 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 4 220 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 4 230 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 4 231 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 4 232 Debt securities Annex V.Part 1.24, 26 4 233 Loans and advances Annex V.Part 1.24, 27 4 234 Other non-trading non-derivative financial assets BAD art 35-37; Annex V.Part 1.17 4 235 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 4 236 Debt securities Annex V.Part 1.24, 26 4 237 Loans and advances Annex V.Part 1.24, 27 4 240 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22(b); IAS 39.9 11 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A (a) IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 IAS 1.54(e); Annex V.Part 2.4 4, 40 270 Tangible assets BAD art 4.Assets(10) 280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a) 21, 42 290 Investment property IAS 40.5; IAS 1.54(b) 21, 42 300 Intangible assets BAD art 4.Assets(9); CRR art 4(115) IAS 1.54(c); CRR art 4(115) 310 Goodwill BAD art 4.Assets(9); CRR art 4(113) IFRS 3.B67(d); CRR art 4(113) 320 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118 21, 42 330 Tax assets IAS 1.54(n-o) 340 Current tax assets IAS 1.54(n); IAS 12.5 350 Deferred tax assets 4th Directive art 43(1)(11); CRR art 4(106) IAS 1.54(o); IAS 12.5; CRR art 4(106) 360 Other assets Annex V.Part 2.5 Annex V.Part 2.5 370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 380 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6

1.2 Liabilities References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 010 010 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 8 020 Derivatives CRR Annex II IAS 39.9, AG 15(a) 10 030 Short positions IAS 39.AG 15(b) 8 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 8 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 8 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 8 061 Trading financial liabilities 4th Directive art 42a(3) 8 062 Derivatives CRR Annex II; Annex V.Part 1.15 8 063 Short positions 8 064 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 065 Debt securities issued Annex V.Part 1.31 8 066 Other financial liabilities Annex V.Part 1.32-34 8 070 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e)(i); IAS 39.9 8 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 8 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 8 110 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 8 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 8 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 8 141 Non-trading non-derivative financial liabilities measured at a cost-based method 4th Directive art 42a(3) 8 142 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 8 143 Debt securities issued Annex V.Part 1.31 8 144 Other financial liabilities Annex V.Part 1.32-34 8 150 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 11 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A(b) IAS 39.89A(b) 170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 175 Funds for general banking risks [if presented within liabilities] BAD art 38.1; CRR art 4(112); Annex V.Part 2.12 180 Pensions and other post employment defined benefit obligations Annex V.Part 2.7 IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 190 Other long term employee benefits Annex V.Part 2.8 IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 43 200 Restructuring IAS 37.71, 84(a) 43 210 Pending legal issues and tax litigation IAS 37.Appendix C. Examples 6 and 10 43 220 Commitments and guarantees given BAD art 24-25, 33(1) IAS 37.Appendix C.9 43 230 Other provisions 43 240 Tax liabilities IAS 1.54(n-o) 250 Current tax liabilities IAS 1.54(n); IAS 12.5 260 Deferred tax liabilities 4th Directive art 43(1)(11); CRR art 4(108) IAS 1.54(o); IAS 12.5; CRR art 4(108) 270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 280 Other liabilities Annex V.Part 2.10 Annex V.Part 2.10 290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 300 TOTAL LIABILITIES IAS 1.9(b);IG 6

1.3 Equity References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 010 010 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 46 020 Paid up capital BAD art 4.Liabilities(9) IAS 1.78(e) 030 Unpaid capital which has been called up BAD art 4.Liabilities(9) IAS 1.78(e); Annex V.Part 2.14 040 Share premium BAD art 4.Liabilities(10); CRR art 4(124) IAS 1.78(e); CRR art 4(124) 46 050 Equity instruments issued other than capital Annex V.Part 2.15-16 Annex V.Part 2.15-16 46 060 Equity component of compound financial instruments 4th Directive art 42a(5a); Annex V.Part 2.15 IAS 32.28-29; Annex V.Part 2.15 070 Other equity instruments issued Annex V.Part 2.16 Annex V.Part 2.16 080 Other equity Annex V.Part 2.17 IFRS 2.10; Annex V.Part 2.17 090 Accumulated other comprehensive income CRR art 4(100) CRR art 4(100) 46 095 Items that will not be reclassified to profit or loss IAS 1.82A(a) 100 Tangible assets IAS 16.39-41 110 Intangible assets IAS 38.85-87 120 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7 122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 128 Items that may be reclassified to profit or loss IAS 1.82A(a) 130 Hedge of net investments in foreign operations [effective portion] 4th Directive art 42a(1), (5a) IAS 39.102(a) 140 Foreign currency translation BAD art 39(6) IAS 21.52(b); IAS 21.32, 38-49 150 Hedging derivatives. Cash flow hedges [effective portion] 4th Directive art 42a(1), (5a) IFRS 7.23(c); IAS 39.95-101 160 Available-for-sale financial assets 4th Directive art 42a(1), (5a) IFRS 7.20(a)(ii); IAS 39.55(b) 170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.82(h); IAS 28.11 190 Retained earnings BAD art 4.Liabilities(13); CRR art 4(123) CRR art 4(123) 200 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8; Annex V.Part 2.18 201 Tangible assets 4th Directive art 33(1)(c) 202 Equity instruments 4th Directive art 33(1)(c) 203 Debt securities 4th Directive art 33(1)(c) 204 Other 4th Directive art 33(1)(c) 205 Fair value reserves 4th Directive art 42a(1) 206 Hedge of net investments in foreign operations 4th Directive art 42a(1); art 42c(1)(b) 207 Hedging derivatives.Cash flow hedges 4th Directive art 42a(1); art 42c(1)(a); CRR article 30(a) 208 Hedging derivatives. Other hedges 4th Directive art 42a(1); art 42c(1)(a) 209 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 210 Other reserves BAD art 4 Liabilities(11)-(13) IAS 1.54; IAS 1.78(e) 215 Funds for general banking risks [if presented within equity] BAD art 38.1; CRR art 4(112); Annex V.Part 1.38 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates 4th Directive art 59.4;Annex V.Part 2.19 IAS 28.11; Annex V.Part 2.19 230 Other Annex V.Part 2.19 Annex V.Part 2.19 235 First consolidation differences 7th Directive 19(1)(c) 240 (-) Treasury shares 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 46 250 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 27.28; IAS 1.83(a)(ii) 2 260 (-) Interim dividends CRR Article 26(2b) IAS 32.35 270 Minority interests [Non-controlling interests] 7th Directive art 21 IAS 27.4; IAS 1.54(q); IAS 27.27 280 Accumulated Other Comprehensive Income CRR art 4(100) IAS 27.27-28; CRR art 4(100) 46 290 Other items IAS 27.27-28 46 300 TOTAL EQUITY IAS 1.9(c), IG 6 46 310 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6

2. Statement of profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Current period 010 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.21 IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 16 020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 040 Available-for-sale financial assets IFRS 7.20(b); IAS 39.55(b); IAS 39.9 050 Loans and receivables IFRS 7.20(b); IAS 39.9, 39.46(a) 060 Held-to-maturity investments IFRS 7.20(b); IAS 39.9, 39.46(b) 070 Derivatives - Hedge accounting, interest rate risk IAS 39.9; Annex V.Part 2.23 080 Other assets Annex V.Part 2.25 090 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.21 IAS 1.97; Annex V.Part 2.21 16 100 (Financial liabilities held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.24 110 (Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IAS 39.47 130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9;Annex V.Part 2.23 140 (Other liabilities) Annex V.Part 2.26 150 (Expenses on share capital repayable on demand) IFRIC 2.11 160 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.28 IAS 18.35(b)(v); Annex V.Part 2.28 170 Financial assets held for trading IFRS 7.20(a)(i), B5(e) 180 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e); IAS 39.9 190 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 200 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 22 210 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 22 220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a) (ii-v); Annex V.Part 2.97 16 230 Available-for-sale financial assets IFRS 7.20(a)(ii); IAS 39.9, 39.55(b) 240 Loans and receivables IFRS 7.20(a)(iv); IAS 39.9, 39.56 250 Held-to-maturity investments IFRS 7.20(a)(iii); IAS 39.9, 39.56 260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IAS 39.56 270 Other 280 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IAS 39.55(a) 16 285 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IAS 39.55(a) 16, 45 295 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 300 Gains or (-) losses from hedge accounting, net 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24; Annex V.Part 2.30 16 310 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a) 320 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14) 330 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 45 340 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.141-143 Annex V.Part 2.141-143 45 350 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.141-143 Annex V.Part 2.141-143 45 355 TOTAL OPERATING INCOME, NET 360 (Administrative expenses) BAD art 27.Vertical layout(8) 370 (Staff expenses) BAD art 27.Vertical layout(8)(a) IAS 19.7; IAS 1.102, IG 6 44 380 (Other administrative expenses) BAD art 27.Vertical layout(8)(b); 390 (Depreciation) IAS 1.102, 104 400 (Property, Plant and Equipment) BAD art 27.Vertical layout(9) IAS 1.104; IAS 16.73(e)(vii) 410 (Investment Properties) BAD art 27.Vertical layout(9) IAS 1.104; IAS 40.79(d)(iv) 415 (Goodwill) BAD art 27.Vertical layout(9) 420 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 1.104; IAS 38.118(e)(vi) 430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 43 440 (Commitments and guarantees given) BAD art 27.Vertical layout(11)-(12) 450 (Other provisions) 455 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37 IFRS 7.20(e) 16 470 (Financial assets measured at cost) IFRS 7.20(e); IAS 39.66 480 (Available- for-sale financial assets) IFRS 7.20(e); IAS 39.67 490 (Loans and receivables IFRS 7.20(e); IAS 39.63 500 (Held to maturity investments) IFRS 7.20(e); IAS 39.63 510 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 16 520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 530 (Property, plant and equipment) BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi) 540 (Investment properties) BAD art 27.Vertical layout(9) IAS 40.79(d)(v) 550 (Goodwill) BAD art 27.Vertical layout(9) IFRS 3.Appendix B67(d)(v); IAS 36.124 560 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 38.118 (e)(iv)(v) 570 (Other) IAS 36.126 (a)(b) 580 Negative goodwill recognised in profit or loss 7th Directive art 31 IFRS 3.Appendix B64(n)(i) 590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 1.82(c) 600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 620 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 632 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 633 Extraordinary profit or loss before tax BAD art 27.Vertical layout(19) 634 (Tax expense or (-) income related to extraordinary profit or loss) BAD art 27.Vertical layout(20) 640 Profit or (-) loss after tax from discontinued operations IAS 1.82(e) ; IFRS 5.33(a), 5.33 A 650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i) 660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv) 670 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.82(f) 680 Attributable to minority interest [non-controlling interests] IAS 1.83(a)(i) 690 Attributable to owners of the parent IAS 1.83(a)(ii)

3. Statement of comprehensive income References National GAAP compatible IFRS Current period 010 010 Profit or (-) loss for the year IAS 1.7, 81(b), 83(a), IG6 020 Other comprehensive income IAS 1.7, 81(b), IG6 030 Items that will not be reclassified to profit or loss IAS 1.82A(a) 040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 050 Intangible assets IAS 1.7; IAS 38.85-86 060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.93A 070 Non-current assets and disposal groups held for sale IFRS 5.38 080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.82(h), IG6; IAS 28.11 090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.31 100 Items that may be reclassified to profit or loss IAS 1.82A(b) 110 Hedge of net investments in foreign operations [effective portion] IAS 39.102(a) 120 Valuation gains or (-) losses taken to equity IAS 39.102(a) 130 Transferred to profit or loss IAS 1.7, 92-95; IAS 39.102(a) 140 Other reclassifications 150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 180 Other reclassifications 190 Cash flow hedges [effective portion] IAS 1.7, IG6; IFRS 7.23(c); IAS 39.95(a)-96 200 Valuation gains or (-) losses taken to equity IAS 1.IG6; IAS 39.95(a)-96 210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IAS 39.97-101 220 Transferred to initial carrying amount of hedged items IAS 1.IG6; IAS 39.97-101 230 Other reclassifications 240 Available-for-sale financial assets IAS 1.7, IG 6; IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 250 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IAS 39.55(b) 260 Transferred to profit or loss IFRS 7.20(a)(ii); IAS 1.7, IAS 1.92-95, IAS 1.IG6; IAS 39.55(b) 270 Other reclassifications IFRS 5.IG Example 12 280 Non-current assets and disposal groups held for sale IFRS 5.38 290 Valuation gains or (-) losses taken to equity IFRS 5.38 300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 310 Other reclassifications IFRS 5.IG Example 12 320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.82(h), IG6; IAS 28.11 330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.31 340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6

4. Breakdown of financial assets by instrument and by counterparty sector

4.

4.1 Financial assets held for trading References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated changes in fair value due to credit risk IFRS 7.9 (c); Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f)

4.2 Financial assets designated at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated changes in fair value due to credit risk IFRS 7.9 (c); Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9

4.3 Available-for-sale financial assets References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount of unimpaired assets Carrying amount of impaired assets Carrying amount Accumulated impairment IAS 39.58-62 Annex V.Part 2.34 Annex V.Part 2.46 010 020 030 040 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 190 AVAILABLE-FOR-SALE FINANCIAL ASSETS 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9

4.4 Loans and receivables and held-to-maturity investments References National GAAP based on BAD References National GAAP compatible IFRS Unimpaired assets [gross carrying amount] Impaired assets [gross carrying amount] Specific allowances for individually assessed financial assets Specific allowances for collectively assessed financial assets Collective allowances for incurrred but not reported losses Carrying amount IFRS 7.37(b); IFRS 7.IG 29 (a); IAS 39.58-59 IAS 39.AG 84-92; Annex V.Part 2.36 IAS 39.AG 84-92; Annex V.Part 2.37 IAS 39.AG 84-92; Annex V.Part 2.38 Annex V.Part 2.39 Annex V.Part 2.36 Annex V.Part 2.37 Annex V.Part 2.38 Annex V.Part 2.39 010 020 030 040 050 060 010 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 140 LOANS AND RECEIVABLES 4th Directive art 42a(4)(b),(5a); IAS 39.9 IAS 39,9 AG 16, AG26; Annex V.Part 1.16 150 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 160 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 210 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 220 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 230 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 240 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 250 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 260 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 270 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 280 HELD-TO-MATURITY 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26

4.5 Subordinated financial assets References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount 010 010 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 020 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.40, 54 Annex V.Part 2.40, 54

4.6 Trading Financial assets References National GAAP based on BAD Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f)

4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss References National GAAP based on BAD Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS 4th Directive art 42a(1), (4)

4.8 Non-trading non-derivative financial assets measured at fair value to equity References National GAAP based on BAD Carrying amount Accumulated changes in fair value due to credit risk Annex V.Part 2.46 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY 4th Directive art 42a(1); art 42c (2)

4.9 Non-trading debt instruments measured at a cost-based method References National GAAP based on BAD Unimpaired assets Impaired assets [gross carrying amount] Specific allowances for credit risk General allowances for credit risk Carrying amount CRR art 4(95) CRR art 4(95) CRR art 4(95) Annex V.Part 2.39 010 020 030 040 050 010 Debt securities Annex V.Part 1.24, 26 020 Central banks Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) 070 Loans and advances Annex V.Part 1.24, 27 080 Central banks Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) 140 NON-TRADING DEBT INSTRUMENTS MEASURED AT A COST-BASED METHOD BAD art 37.1; art 42a(4)(b)

4.10 Other non-trading non-derivative financial assets References National GAAP based on BAD Carrying amount 010 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 020 of which: unquoted 030 of which: credit institutions Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) 190 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 4th Directive art 42a(1); art 42c(2)

5. Breakdown of Loan and advances by product Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households References National GAAP compatible IFRS Annex V.Part 1.35(a) Annex V.Part 1.35(b) Annex V.Part 1.35(c) Annex V.Part 1.35(d) Annex V.Part 1.35(e) Annex V.Part 1.35(f) References National GAAP based on BAD Annex V.Part 1.35(a) Annex V.Part 1.35(b) Annex V.Part 1.35(c) Annex V.Part 1.35(d) Annex V.Part 1.35(e) Annex V.Part 1.35(f) 010 020 030 040 050 060 By product 010 On demand [call] and short notice [current account] Annex V.Part 2.41(a) 020 Credit card debt Annex V.Part 2.41(b) 030 Trade receivables Annex V.Part 2.41(c) 040 Finance leases Annex V.Part 2.41(d) 050 Reverse repurchase loans Annex V.Part 2.41(e) 060 Other term loans Annex V.Part 2.41(f) 070 Advances that are not loans Annex V.Part 2.41(g) 080 LOANS AND ADVANCES Annex V.Part 1.24, 27 By collateral 090 of which: mortgage loans [Loans collateralized by immovable property] Annex V.Part 2.41(h) 100 of which: other collateralized loans Annex V.Part 2.41(i) By purpose 110 of which: credit for consumption Annex V.Part 2.41(j) 120 of which: lending for house purchase Annex V.Part 2.41(k) By subordination 130 of which: project finance loans Annex V.Part 2.41(l)

6.ABCDEFGHIJLMNOPQRS

Breakdown of loans and advances to non-financial corporations Non-financial corporations Gross carrying amount Accumulated impairment or Accumulated changes in fair value due to credit risk References National GAAP compatible IFRS Annex V.Part 2.45 Annex V.Part 2.46 References National GAAP based on BAD Annex V.Part 2.45 Annex V.Part 2.46 010 020 010 Agriculture, forestry and fishing NACE Regulation 020 Mining and quarrying NACE Regulation 030 Manufacturing NACE Regulation 040 Electricity, gas, steam and air conditioning supply NACE Regulation 050 Water supply NACE Regulation 060 Construction NACE Regulation 070 Wholesale and retail trade NACE Regulation 080 Transport and storage NACE Regulation 090 Accommodation and food service activities NACE Regulation 100 Information and communication NACE Regulation 110 Real estate activities NACE Regulation 120 Professional, scientific and technical activities NACE Regulation 130 Administrative and support service activities NACE Regulation 140 Public administration and defence, compulsory social security NACE Regulation 150 Education NACE Regulation 160 Human health services and social work activities NACE Regulation 170 Arts, entertainment and recreation NACE Regulation 180 Other services NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27, 2.42-43

7. Financial assets subject to impairment that are past due or impaired References National GAAP based on BAD References National GAAP compatible IFRS Past due but not impaired Carrying amount of the impaired assets Specific allowances for individually assessed financial assets Specific allowances for collectively assessed financial assets Collective allowances for incurrred but not reported losses Specific alowances for credit risk General allowances for credit risk General allowance for banking risks Accumulated write-offs ≤ 30 days > 30 days ≤ 60 days > 60 days ≤ 90 days > 90 days ≤ 180days > 180 days ≤ 1year > 1year IFRS 7.37(a); IG 26-28; Annex V.Part 2.47-48 IAS 39.58-70 IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36 IAS 39 AG 84-92; Annex V.Part 2.37 IAS 39 AG 84-92; Annex V.Part 2.38 IAS 39 AG 84-92; IFRS 7.16,37(b); B5(d); Annex V.Part 2.49-50 CRR art 4(95); Annex V.Part 2.47-48 CRR art 4(95) CRR art 4(95); Annex V.Part 2.36 CRR art 4(95); Annex V.Part 2.37 CRR art 4(95); Annex V.Part 2.38 CRR art 4(95) CRR art 4(95) BAD art 37.2; CRR art 4(95) CRR art 4(95); Annex V.Part 2.49-50 010 020 030 040 050 060 070 080 090 100 102 103 104 110 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 of which: at cost IAS 39.46(c) 030 of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 040 of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 050 of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 060 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 070 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 080 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 090 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 100 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 110 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 130 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 140 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 150 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 160 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 170 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 180 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 190 TOTAL Loans and advances by product, by collateral and by subordination 200 On demand [call] and short notice [current account] Annex V.Part 2.41(a) Annex V.Part 2.41(a) 210 Credit card debt Annex V.Part 2.41(b) Annex V.Part 2.41(b) 220 Trade receivables Annex V.Part 2.41(c) Annex V.Part 2.41(c) 230 Finance leases Annex V.Part 2.41(d) Annex V.Part 2.41(d) 240 Reverse repurchase loans Annex V.Part 2.41(e) Annex V.Part 2.41(e) 250 Other term loans Annex V.Part 2.41(f) Annex V.Part 2.41(f) 260 Advances that are not loans Annex V.Part 2.41(g) Annex V.Part 2.41(g) 270 of which: mortgage loans [Loans collateralized by inmovable property] Annex V.Part 2.41(h) Annex V.Part 2.41(h) 280 of which: other collateralized loans Annex V.Part 2.41(i) Annex V.Part 2.41(i) 290 of which: credit for consumption Annex V.Part 2.41(j) Annex V.Part 2.41(j) 300 of which: lending for house purchase Annex V.Part 2.41(k) Annex V.Part 2.41(k) 310 of which: project finance loans Annex V.Part 2.41(l) Annex V.Part 2.41(l)

8. Breakdown of financial liabilities

8.

8.1 Breakdown of financial liabilities by product and by counterparty sector References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated changes in fair value due to credit risk Amount contractually required to pay at maturity Held for trading Designated at fair value through profit or loss Amortised cost Trading At a cost-based method Hedge accounting IFRS 7.8(e)(ii); IAS 39.9, AG 14-15 IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 IFRS 7.22(b); IAS 39.9 IFRS 7.10(a);CRR art 30(b), art 424(1)(d)(i) IFRS 7.10(b) 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 4th Directive art 42a(1), (5a); IAS 39.9 4th Directive art 42a(3), (5a); IAS 39.47 4th Directive art 42a(3); Annex V.Part 1.15 4th Directive art 42a(3) 4th Directive art 42a(1), (5a), art 42c(1)(a) CRR art 30(b), art 424(1)(d)(i) ECB/2008/32 art 7(2) 010 020 030 034 035 037 040 050 010 Derivatives CRR Annex II IAS 39.9, AG 15(a) 020 Short positions IAS 39 AG 15(b) 030 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 050 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 060 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 070 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 080 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 090 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 1.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 100 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 110 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 120 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 130 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 140 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 150 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 160 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 170 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 180 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 190 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 200 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 210 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 220 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 230 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 240 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 250 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 260 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 270 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 280 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 290 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 300 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 310 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 320 Current accounts / overnight deposits ECB/2008/32 Annex 2.Part 2.9.1 ECB/2008/32 Annex 2.Part 2.9.1 330 Deposits with agreed maturity ECB/2008/32 Annex 2.Part 2.9.2 ECB/2008/32 Annex 2.Part 2.9.2 340 Deposits redeemable at notice ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 ECB/2008/32 Annex 2.Part 2.9.3; Annex V.Part 2.51 350 Repurchase agreements ECB/2008/32 Annex 2.Part 2.9.4 ECB/2008/32 Annex 2.Part 2.9.4 360 Debt securities issued Annex V.Part 1.31; Annex V.Part 2.52 Annex V.Part 1.31; Annex V.Part 2.52 370 Certificates of deposits Annex V.Part 2.52(a) Annex V.Part 2.52(a) 380 Asset-backed securities CRR art 4(61) CRR art 4(61) 390 Covered bonds CRR art 129(1) CRR art 129(1) 400 Hybrid contracts Annex V.Part 2.52(d) IAS 39.10-11, AG27, AG29; IFRIC 9; Annex V.Part 2.52(d) 410 Other debt securities issued Annex V.Part 2.52(e) Annex V.Part 2.52(e) 420 Convertible compound financial instruments IAS 32.AG 31 430 Non-convertible 440 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 450 FINANCIAL LIABILITIES

8.2 Subordinated financial liabilities References National GAAP References National GAAP compatible IFRS Carriyng amount Designated at fair value through profit or loss At amortized cost At a cost-based method IFRS 7.8(e)(i); IAS 39.9 IFRS 7.8(f); IAS 39.47 4th Directive art 42a(1), (5a); IAS 39.9 4th Directive art 42a(3), (5a); IAS 39.47 4th Directive art 42a(3) 010 020 030 010 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 020 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.53-54 Annex V.Part 2.53-54

9. Loan commitments, financial guarantees and other commitments

9.

9.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP References National GAAP compatible IFRS Nominal amount IFRS 7.36(a), B10(c)(d); CRR Annex I; Annex V.Part 2.62 CRR Annex I; Annex V.Part 2.62 010 010 Loan commitments given CRR Annex I; Annex V.Part 2.56-57 IAS 39.2 (h), 4 (a) ( c), BC 15; CRR Annex I; Annex V.Part 2.56-57 020 of which: defaulted Annex V.Part 2.61 Annex V.Part 2.61 030 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 080 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 090 Financial guarantees given CRR Annex I; Annex V.Part 2.56,58 IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 100 of which: defaulted Annex V.Part 2.61 Annex V.Part 2.61 110 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 120 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 130 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 140 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 150 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 160 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 170 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 180 of which: defaulted Annex V.Part 2.61 Annex V.Part 2.61 190 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 200 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 210 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 220 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 230 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 240 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f)

9.2 Loan commitments, financial guarantees and other commitments received References National GAAP References National GAAP compatible IFRS Maximum amount of the guarantee that can be considered Nominal amount IFRS 7.36 (b); Annex V.Part 2.63 Annex V.Part 2.63 Annex V.Part 2.63 Annex V.Part 2.63 010 020 010 Loan commitments received Annex V.Part 2.56-57 IAS 39.2(h), 4(a)( c), BC 15; Annex V.Part 2.56-57 020 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 030 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 040 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 050 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 060 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 070 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 080 Financial guarantees received Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 Annex A; CRR Annex I; Annex V.Part 2.56, 58 090 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 150 Other Commitments received Annex V.Part 2.56, 59 Annex V.Part 2.56, 59 160 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 170 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 180 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 190 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 200 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 210 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f)

10. Derivatives - Trading By type of risk / By product or by type of market References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Mark-to-market [Mark-to-Model] value Notional amount Financial assets held for trading Financial liabilities held for trading Positive value. Trading Negative value. Trading Total Trading of which: sold Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70-71 Annex V.Part 2.72 CRR art 105 CRR art 105 Annex V.Part 2.70-71 Annex V.Part 2.72 010 020 022 025 030 040 010 Interest rate Annex V.Part 2.67(a) Annex V.Part 2.67(a) 020 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 030 OTC options 040 OTC other 050 Organized market options 060 Organized market other 070 Equity Annex V.Part 2.67(b) Annex V.Part 2.67(b) 080 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 090 OTC options 100 OTC other 110 Organized market options 120 Organized market other 130 Foreign exchange and gold Annex V.Part 2.67(c) Annex V.Part 2.67(c) 140 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 150 OTC options 160 OTC other 170 Organized market options 180 Organized market other 190 Credit Annex V.Part 2.67(d) Annex V.Part 2.67(d) 200 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 210 Credit default swap 220 Credit spread option 230 Total return swap 240 Other 250 Commodity Annex V.Part 2.67(e) Annex V.Part 2.67(e) 260 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 270 Other Annex V.Part 2.67(f) Annex V.Part 2.67(f) 280 of which: economic hedges Annex V.Part 2.74 Annex V.Part 2.74 290 DERIVATIVES CRR Annex II; Annex V.Part 1.15 IAS 39.9 300 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) Annex V.Part 1.35(c), 2.75(a) 310 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) Annex V.Part 1.35(d), 2.75(b) 320 of which: OTC - rest Annex V.Part 2.75(c) Annex V.Part 2.75(c)

11. Derivatives - Hedge accounting

11.

11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of market References National GAAP compatible IFRS Carrying amount Notional amount Assets Liabilities Total Hedging of which: sold Annex V.Part 2.69 Annex V.Part 2.69 Annex V.Part 2.70, 71 Annex V.Part 2.72 010 020 030 040 010 Interest rate Annex V.Part 2.67(a) 020 OTC options 030 OTC other 040 Organized market options 050 Organized market other 060 Equity Annex V.Part 2.67(b) 070 OTC options 080 OTC other 090 Organized market options 100 Organized market other 110 Foreign exchange and gold Annex V.Part 2.67(c) 120 OTC options 130 OTC other 140 Organized market options 150 Organized market other 160 Credit Annex V.Part 2.67(d) 170 Credit default swap 180 Credit spread option 190 Total return swap 200 Other 210 Commodity Annex V.Part 2.67(e) 220 Other Annex V.Part 2.67(f) 230 FAIR VALUE HEDGES IFRS 7.22(b); IAS 39.86(a) 240 Interest rate Annex V.Part 2.67(a) 250 OTC options 260 OTC other 270 Organized market options 280 Organized market other 290 Equity Annex V.Part 2.67(b) 300 OTC options 310 OTC other 320 Organized market options 330 Organized market other 340 Foreign exchange and gold Annex V.Part 2.67(c) 350 OTC options 360 OTC other 370 Organized market options 380 Organized market other 390 Credit Annex V.Part 2.67(d) 400 Credit default swap 410 Credit spread option 420 Total return swap 430 Other 440 Commodity Annex V.Part 2.67(e) 450 Other Annex V.Part 2.67(f) 460 CASH FLOW HEDGES IFRS 7.22(b); IAS 39.86(b) 470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.22(b); IAS 39.86(c) 480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.89A, IE 1-31 490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39 IG F6 1-3 500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.22(b); IAS 39.9 510 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 520 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 530 of which: OTC - rest Annex V.Part 2.75(c)

11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk By product or by type of market References National GAAP based on BAD Notional amount Total Hedging of which: sold Annex V.Part 2.70, 71 Annex V.Part 2.72 010 020 010 Interest rate Annex V.Part 2.67(a) 020 OTC options 030 OTC other 040 Organized market options 050 Organized market other 060 Equity Annex V.Part 2.67(b) 070 OTC options 080 OTC other 090 Organized market options 100 Organized market other 110 Foreign exchange and gold Annex V.Part 2.67(c) 120 OTC options 130 OTC other 140 Organized market options 150 Organized market other 160 Credit Annex V.Part 2.67(d) 170 Credit default swap 180 Credit spread option 190 Total return swap 200 Other 210 Commodity Annex V.Part 2.67(e) 220 Other Annex V.Part 2.67(f) 230 DERIVATIVES-HEDGE ACCOUNTING 240 of which: OTC - credit institutions Annex V.Part 1.35(c), 2.75(a) 250 of which: OTC - other financial corporations Annex V.Part 1.35(d), 2.75(b) 260 of which: OTC - rest Annex V.Part 2.75(c)

12. Movements in allowances for credit losses and impairment of equity instruments References National GAAP CRR article 428(i) References National GAAP compatible IFRS IFRS 7.16, B5 (d); CRR article 428(i) Opening balance Increases due toamounts set aside for estimated loan losses during the period Decreases due toamounts reversed for estimated loan losses during the period Decreases due toamounts taken against allowances Transfers between allowances Other adjustments Closing balance Recoveries recorded directly to the statement of profit or loss Value adjustments recorded directly to the statement of profit or loss Annex V.Part 2.77 Annex V.Part 2.77 Annex V.Part 2.78 Annex V.Part 2.78 Annex V.Part 2.77 Annex V.Part 2.77 Annex V.Part 2.78 Annex V.Part 2.78 010 020 030 040 050 060 070 080 090 010 Equity instruments 020 Specific allowances for individually assessed financial assets CRR art 4(95); Annex V.Part 2.36 IAS 39.63-70, AG 84-92; IFRS 7.37 (b); Annex V.Part 2.36 030 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 040 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 050 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 060 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 070 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 080 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 090 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 100 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 110 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 120 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 130 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 140 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 150 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 160 Specific allowances for collectively assessed financial assets CRR art 4(95); Annex V.Part 2.37 IAS 39.59, 64; Annex V.Part 2.37 170 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 180 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 190 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 200 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 210 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 220 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 230 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 240 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 250 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 260 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 270 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 280 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 290 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 300 Collective allowances for incurred but not reported losses on financial assets CRR art 4(95); Annex V.Part 2.38 IAS 39.59, 64; Annex V.Part 2.38 310 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 320 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 330 Specific allowances for credit risk CRR art 428 (g)(ii) 340 Debt securities Annex V.Part 1.26 350 Central banks Annex V.Part 1.35(a) 360 General governments Annex V.Part 1.35(b) 370 Credit institutions Annex V.Part 1.35(c) 380 Other financial corporations Annex V.Part 1.35(d) 390 Non-financial corporations Annex V.Part 1.35(e) 400 Loans and advances Annex V.Part 1.17 410 Central banks Annex V.Part 1.35(a) 420 General governments Annex V.Part 1.35(b) 430 Credit institutions Annex V.Part 1.35(c) 440 Other financial corporations Annex V.Part 1.35(d) 450 Non-financial corporations Annex V.Part 1.35(e) 460 Households Annex V.Part 1.35(f) 470 General alowances for credit risk CRR art 4(95) 480 Debt securities Annex V.Part 1.26 490 Loans and advances Annex V.Part 1.27 500 General allowance for banking risks BAD art 37.2; CRR art 4(95) 510 Debt securities Annex V.Part 1.26 520 Loans and advances Annex V.Part 1.27 530 Total

13. Collateral and guarantees received

13.

13.1 Breakdown of loans and advances by collateral and guarantees Guarantees and collateral References National GAAP based on BAD Maximum amount of the collateral or guarantee that can be considered References National GAAP compatible IFRS Mortgage loans [Loans collateralized by immovable property] Other collateralized loans Financial guarantees received Residential Commercial Cash [Debt instruments issued] Rest IFRS 7.36(b) Annex V.Part 2.81(a) Annex V.Part 2.81(a) Annex V.Part 2.81(b) Annex V.Part 2.81(b) Annex V.Part 2.81(c) 010 020 030 040 050 010 Loans and advances Annex V.Part 2.80 Annex V.Part 2.81 020 of which: Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 030 of which: Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 040 of which: Households Annex V.Part 1.35(f) Annex V.Part 1.35(f)

13.2 Collateral obtained by taking possession during the period [held at the reporting date] References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount 010 010 Non-current assets held-for-sale IFRS 7.38(a) 020 Property, plant and equipment IFRS 7.38(a) 030 Investment property IFRS 7.38(a) 040 Equity and debt instruments IFRS 7.38(a) 050 Other IFRS 7.38(a) 060 Total

13.3 Collateral obtained by taking possession [tangible assets] accumulated References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount 010 010 Foreclosure [tangible assets] Annex V.Part 2.84 IFRS 7.38(a); Annex V.Part 2.84

14. Fair value hierachy: financial instruments at fair value References National GAAP based on BAD References National GAAP compatible IFRS Fair value hierarchyIFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.86 Accumulated change in fair value before taxes Annex V.Part 2.87 Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3 IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86 010 020 030 040 050 060 070 080 ASSETS 010 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 020 Derivatives CRR Annex II IAS 39.9 030 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 040 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 050 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 060 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 100 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (h)(d); IAS 39.9 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 140 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19 LIABILITIES 150 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 160 Derivatives CRR Annex II IAS 39.9, AG 15(a) 170 Short positions IAS 39 AG 15(b) 180 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 190 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 200 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 210 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e) (i); IAS 39.9 220 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 230 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 250 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.19 IFRS 7.22 (b); IAS 39.9; Annex V.Part 1.19

15. Derecognition and financial liabilities associated with transferred financial assets References National GAAP based on BAD References National GAAP compatible IFRS Transferred financial assets entirely recognized Transferred financial assets recognized to the extent of the instution's continuing involvement Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights Amounts derecognised for capital purposes Transferred assets Associated liabilities Annex V.Part 2.89 Principal amount outstanding of the original assets Carrying amount of assets still recognised [continuing involvement] Carrying amount of associated liabilites Carrying amount Of which: securitizations Of which: repurchase agreements Carrying amount Of which: securitizations Of which: repurchase agreements IFRS 7.42D.(e) IFRS 7.42D(e); CRR art 4(61) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.91, 92 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 2.89 CRR art 109; Annex V.Part 2.90 CRR art 4(61) Annex V.Part 2.91, 92 CRR art 4(61) Annex V.Part 2.91, 92 CRR art 109; Annex V.Part 2.90 010 020 030 040 050 060 070 080 090 100 110 010 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (a)(ii); IAS 39.9, AG 14 020 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 041 Trading financial assets Annex V.Part 1.15 042 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 043 Debt securities Annex V.Part 1.24, 26 044 Loans and advances Annex V.Part 1.24, 27 050 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 060 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 070 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 080 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 090 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 100 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 110 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 120 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 121 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 122 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 123 Debt securities Annex V.Part 1.24, 26 124 Loan and advances 4th Directive art 42a(1), (4)(b); part 1.14, part 3.35 125 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 126 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 127 Debt securities Annex V.Part 1.24, 26 128 Loan and advances 4th Directive art 42a(1), (4)(b);part 1.14, part 3.35 130 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (c); IAS 39.9, AG16, AG26 140 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 150 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 160 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 170 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 180 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 181 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16 182 Debt securities Annex V.Part 1.24, 26 183 Loans and advances Annex V.Part 1.24, 27 184 Other non-trading non-derivative financial assets BAD art 35-37 185 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 186 Debt securities Annex V.Part 1.24, 26 187 Loans and advances Annex V.Part 1.24, 27 190 Total

16. Breakdown of selected statement of profit or loss items

16.

16.1 Interest income and expenses by instrument and counterparty sector References National GAAP based on BAD References National GAAP compatible IFRS Current period Income Expenses Annex V.Part 2.95 Annex V.Part 2.95 010 020 010 Derivatives -Trading CRR Annex II; Annex V.Part 2.96 IAS 39.9; Annex V.Part 2.96 020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 030 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 040 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 050 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 080 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 090 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 140 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 150 Other assets Annex V.Part 1.51 Annex V.Part 1.51 160 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 170 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 180 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 190 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 200 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 210 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 220 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 230 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 240 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.95 Annex V.Part 2.95 260 Other Liabilities Annex V.Part 2.10 Annex V.Part 2.10 270 INTEREST BAD art 27.Vertical layout(1), (2) IAS 18.35(b); IAS 1.97

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(v-vii); IAS 39.55(a)

16.3 Gains or losses on financial assets and liabilities held for trading by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Derivatives CRR Annex II IAS 39.9 020 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 040 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 050 Short positions IAS 39 AG 15(b) 060 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 070 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 100 Derivatives CRR Annex II 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 120 Debt securities Annex V.Part 1.26 130 Loans and advances Annex V.Part 1.27 140 Short positions 150 Deposits ECB/2008/32 Annex 2.Part 2.9 160 Debt securities issued Annex V.Part 1.31 170 Other financial liabilities Annex V.Part 1.32-34 180 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)

16.4 Gains or losses on financial assets and liabilities held for trading by risk References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Interest rate instruments and related derivatives Annex V.Part 2.99(a) Annex V.Part 2.99(a) 020 Equity instruments and related derivatives Annex V.Part 2.99(b) Annex V.Part 2.99(b) 030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.99(c) Annex V.Part 2.99(c) 040 Credit risk instruments and related derivatives Annex V.Part 2.99(d) Annex V.Part 2.99(d) 050 Derivatives related with commodities Annex V.Part 2.99(e) Annex V.Part 2.99(e) 060 Other Annex V.Part 2.99(f) Annex V.Part 2.99(f) 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 080 Interest rate instruments and related derivatives Annex V.Part 2.99(a) 090 Equity instruments and related derivatives Annex V.Part 2.99(b) 100 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.99(c) 110 Credit risk instruments and related derivatives Annex V.Part 2.99(d) 120 Derivatives related with commodities Annex V.Part 2.99(e) 130 Other Annex V.Part 2.99(f) 140 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk Annex V.Part 2.100 010 020 010 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 020 Debt securities Annex V.Part 1.26 Annex V.Part 1.26 030 Loans and advances Annex V.Part 1.27 Annex V.Part 1.27 040 Deposits ECB/2008/32 Annex 2.Part 2.9 ECB/2008/32 Annex 2.Part 2.9 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 080 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 090 Debt securities Annex V.Part 1.26 100 Loans and advances Annex V.Part 1.27 110 Deposits ECB/2008/32 Annex 2.Part 2.9 120 Debt securities issued Annex V.Part 1.31 130 Other financial liabilities Annex V.Part 1.32-34 140 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)

16.6 Gains or losses from hedge accounting References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Fair value changes of the hedging instrument [including discontinuation] 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(a)(i) 020 Fair value changes of the hedged item attributable to the hedged risk 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(a)(ii) 030 Ineffectiveness in profit or loss from cash flow hedges 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(b) 040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations 4th Directive art 42a(1), (5a); art 42c(1)(a) IFRS 7.24(c) 050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24

16.7 Impairment on financial and non-financial assets References National GAAP based on BAD References National GAAP compatible IFRS Current period Additions Annex V.Part 2.102 Reversals Annex V.Part 2.102 Total Accumulated impairment 010 020 030 040 010 Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss BAD art 35-37 IFRS 7.20(e) 020 Financial assets measured at cost IFRS 7.20(e); IAS 39.66 030 Available-for-sale financial assets IFRS 7.20(e); IAS 39.67-70 040 Loans and receivables IFRS 7.20(e); IAS 39.63-65 050 Held-to-maturity investments IFRS 7.20(e); IAS 39.63-65 060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 070 Subsidiaries IFRS 10 Appendix A 080 Joint ventures IAS 28.3 090 Associates 4th Directive art 17 IAS 28.3 100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b) 110 Property, plant and equipment BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi) 120 Investment properties BAD art 27.Vertical layout(9) IAS 40.79(d)(v) 130 Goodwill BAD art 27.Vertical layout(9) IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) 140 Other intangible assets BAD art 27.Vertical layout(9) IAS 38.118(e)(iv)(v) 150 TOTAL 160 Interest income on impaired financial assets accrued IFRS 7.20(d); IAS 39.AG 93

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.

17.1 Assets References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] 010 010 Cash and cash balances at central banks BAD art 4.Assets(1) IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives CRR Annex II IAS 39.9 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 091 Trading financial assets Annex V.Part 1.15 092 Derivatives CRR Annex II; Annex V.Part 1.15 093 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 094 Debt securities Annex V.Part 1.24, 26 095 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 140 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 150 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 171 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 172 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 173 Debt securities Annex V.Part 1.24, 26 174 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 175 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 176 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 177 Debt securities Annex V.Part 1.24, 26 178 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 180 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 210 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 231 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 232 Debt securities Annex V.Part 1.24, 26 233 Loans and advances Annex V.Part 1.24, 27 234 Other non-trading non-derivative financial assets BAD art 35-37; Annex V.Part 1.17 235 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 236 Debt securities Annex V.Part 1.24, 26 237 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A (a) IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 IAS 1.54(e); Annex V.Part 2.4 270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.105 280 Tangible assets BAD art 4.Assets(10) 290 Intangible assets BAD art 4.Assets(9); CRR art 4(115) IAS 1.54(c); CRR art 4(115) 300 Goodwill BAD art 4.Assets(9); CRR art 4(113) IFRS 3.B67(d); CRR art 4(113) 310 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118 320 Tax assets IAS 1.54(n-o) 330 Current tax assets IAS 1.54(n); IAS 12.5 340 Deferred tax assets 4th Directive art 43(1)(11); CRR art 4(106) IAS 1.54(o); IAS 12.5; CRR art 4(106) 350 Other assets Annex V.Part 2.5 Annex V.Part 2.5 360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 370 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Nominal amount] 010 010 Loan commitments given CRR Annex I; Annex V.Part 2.56, 57 IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given CRR Annex I; Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59 040 OFF-BALANCE SHEET EXPOSURES

17.3 Liabilities and equity References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] 010 010 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives CRR Annex II IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 061 Trading financial liabilities 4th Directive art 42a(3) 062 Derivatives CRR Annex II; Annex V.Part 1.15 063 Short positions 064 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 065 Debt securities issued Annex V.Part 1.31 066 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 141 Non-trading non-derivative financial liabilities measured at a cost-based method 4th Directive art 42a(3) 142 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 143 Debt securities issued Annex V.Part 1.31 144 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A(b) IAS 39.89A(b) 170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.106 180 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 190 Tax liabilities IAS 1.54(n-o) 200 Current tax liabilities IAS 1.54(n); IAS 12.5 210 Deferred tax liabilities 4th Directive art 43(1)(11); CRR art 4(108) IAS 1.54(o); IAS 12.5; CRR art 4(108) 220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.9 230 Other liabilities Annex V.Part 2.10 Annex V.Part 2.10 240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.11 250 LIABILITIES IAS 1.9(b);IG 6 260 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 270 Share premium BAD art 4.Liabilities(10); CRR art 4(124) IAS 1.78(e); CRR art 4(124) 280 Equity instruments issued other than capital Annex V.Part 2.15-16 Annex V.Part 2.15-16 290 Other equity Annex V.Part 2.17 IFRS 2.10; Annex V.Part 2.17 300 Accumulated other comprehensive income CRR art 4(100) CRR art 4(100) 310 Retained earnings CRR art 4(123) CRR art 4(123) 320 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8 325 Fair value reserves 4th Directive art 42a(1) 330 Other reserves BAD art 4.Liabilities (11)-(13) IAS 1.54; IAS 1.78 (e) 335 First consolidation differences 7th Directive 19(1)(c) 340 (-) Treasury shares 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.20 350 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 27.28; IAS 1.83(a)(ii) 360 (-) Interim dividends CRR Article 26 (2) IAS 32.35 370 Minority interests [Non-controlling interests] 7th Directive art 21 IAS 27.4; IAS 1.54(q); IAS 27.27 380 TOTAL EQUITY IAS 1.9(c), IG 6 390 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6

18. Performing and non-performing exposures

19. Forborne exposures

20. Geographical breakdown

20.

20.1 Geographical breakdown of assets by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Cash and cash balances at central banks BAD art 4.Assets(1) IAS 1.54 (i) 020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 040 Other demand deposits Annex V.Part 2.3 050 Financial assets held for trading 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(ii); IAS 39.9, AG 14 060 Derivatives CRR Annex II IAS 39.9 070 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 091 Trading financial assets Annex V.Part 1.15 092 Derivatives CRR Annex II; Annex V.Part 1.15 093 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 094 Debt securities Annex V.Part 1.24, 26 095 Loans and advances Annex V.Part 1.24, 27 100 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 110 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 120 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 130 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 140 Available-for-sale financial assets 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(d); IAS 39.9 150 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 160 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 170 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 171 Non-trading non-derivative financial assets measured at fair value through profit or loss 4th Directive art 42a(1), (4) 172 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 173 Debt securities Annex V.Part 1.24, 26 174 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 175 Non-trading non-derivative financial assets measured at fair value to equity 4th Directive art 42a(1); art 42c (2) 176 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 177 Debt securities Annex V.Part 1.24, 26 178 Loan and advances 4th Directive art 42a(1), (4)(b); Annex V.Part 1.24, 27 180 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8(c); IAS 39.9, AG16, AG26; Annex V.Part 1.16 190 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 200 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 210 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 220 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 230 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 231 Non-trading debt instruments measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part1.16 232 Debt securities Annex V.Part 1.24, 26 233 Loans and advances Annex V.Part 1.24, 27 234 Other non-trading non-derivative financial assets BAD art 35-37; Annex V.Part 1.17 235 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 236 Debt securities Annex V.Part 1.24, 26 237 Loans and advances Annex V.Part 1.24, 27 240 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a); art 42c(1)(a); IAS 39.9; Annex V.Part 1.19 IFRS 7.22(b); IAS 39.9 250 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A (a) IAS 39.89A(a) 260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); 4th Directive art 17; Annex V.Part 2.4 IAS 1.54(e); Annex V.Part 2.4 270 Tangible assets BAD art 4.Assets(10) 280 Intangible assets BAD art 4.Assets(9); CRR art 4(115) IAS 1.54(c); CRR art 4(115) 290 Tax assets IAS 1.54(n-o) 300 Other assets Annex V.Part 2.5 Annex V.Part 2.5 310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38 320 ASSETS BAD art 4 Assets IAS 1.9(a), IG 6

20.2 Geographical breakdown of liabilities by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Financial liabilities held for trading 4th Directive art 42a(1), (5a); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IAS 39.9, AG 14-15 020 Derivatives CRR Annex II IAS 39.9, AG 15(a) 030 Short positions IAS 39.AG 15(b) 040 Deposits ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9, Annex V.Part 1.30 050 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 060 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 061 Trading financial liabilities 4th Directive art 42a(3) 062 Derivatives CRR Annex II; Annex V.Part 1.15 063 Short positions 064 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 065 Debt securities issued Annex V.Part 1.31 066 Other financial liabilities Annex V.Part 1.32-34 070 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8 (e)(i); IAS 39.9 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 110 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 120 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34 141 Non-trading non-derivative financial liabilities measured at a cost-based method 4th Directive art 42a(3) 142 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 143 Debt securities issued Annex V.Part 1.31 144 Other financial liabilities Annex V.Part 1.32-34 150 Derivatives – Hedge accounting 4th Directive art 42a(1), (5a), art 42c(1)(a); Annex V.Part 1.23 IFRS 7.22(b); IAS 39.9; Annex V.Part 1.23 160 Fair value changes of the hedged items in portfolio hedge of interest rate risk 4th Directive art 42a(5), (5a); IAS 39.89A(b) IAS 39.89A(b) 170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 180 Tax liabilities IAS 1.54(n-o) 190 Share capital repayable on demand IAS 32.IE 33; IFRIC 2; Annex V.Part 2.09 200 Other liabilities Annex V.Part 2.10 Annex V.Part 2.10 210 Liabilities included in disposal groups classified as held for sale IAS 1.54(p); IFRS 5.38 220 LIABILITIES IAS 1.9(b);IG 6

20.3 Geographical breakdown of statement of profit or loss items by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Current period Domestic activitivies Non-domestic activities Annex V.Part 2.107 Annex V.Part 2.107 010 020 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.21 IAS 1.97; IAS 18.35(b)(iii); Annex V.Part 2.21 020 (Interest expense) BAD art 27.Vertical layout(2); Annex V.Part 2.21 IAS 1.97; Annex V.Part 2.21 030 (Expenses on share capital repayable on demand) IFRIC 2.11 040 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.28 IAS 18.35(b)(v); Annex V.Part 2.28 050 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 060 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(ii-v) 080 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IAS 39.55(a) 085 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net BAD art 27.Vertical layout(6) IFRS 7.20(a) (i); IAS 39.55(a) 095 Gains or (-) losses on non trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 100 Gains or (-) losses from hedge accounting, net 4th Directive art 42a(1), (5a), art 42c(1)(a) IFRS 7.24 110 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52(a) 120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14) 130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 140 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.141-143 Annex V.Part 2.141-143 150 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.141-143 Annex V.Part 2.141-143 155 TOTAL OPERATING INCOME, NET 160 (Administrative expenses) BAD art 27.Vertical layout(8) 170 (Depreciation) IAS 1.102, 104 175 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37 IFRS 7.20(e) 200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 220 Negative goodwill recognised in profit or loss 7th Directive art 31 IFRS 3.Appendix B64(n)(i) 230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 1.82(c) 240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.27 250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 260 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 275 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 280 Profit or (-) loss after tax from discontinued operations IAS 1.82(e) ; IFRS 5.33(a), 5.33 A 290 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.82(f)

20.4 z-axis Geographical breakdown of assets by residence of the counterparty Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount of which: defaulted Accumulated impairment or Accumulated changes in fair value due to credit risk Annex V.Part 2.109 Annex V.Part 2.109 Annex V.Part 2.46 010 020 030 010 Derivatives CRR Annex II; Annex V.Part 1.15 IAS 39.9 020 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 040 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 050 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Of which: non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 090 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 100 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 110 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 120 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 130 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 140 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 150 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 160 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 170 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 180 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 190 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 210 Of which: Commercial immovable property 220 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f) 230 Of which: Loans collateralized by residential immovable property 240 Of which: Credit for consumption

20.5 z-axis Geographical breakdown of off-balance sheet exposures by residence of the counterparty Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Nominal amount of which: defaulted Provisions for commitments and guarantees given Annex V.Part 2.62 Annex V.Part 2.61 010 020 030 010 Loan commitments given CRR Annex I; Annex V.Part 2.56, 57 IAS 39.2(h), 4(a)(c), BC 15; CRR Annex I; Annex V.Part 2.56, 57 020 Financial guarantees given CRR Annex I; Annex V.Part 2.56, 58 IAS 39.9 AG 4, BC 21; IFRS 4 A; CRR Annex I; Annex V.Part 2.56, 58 030 Other Commitments given CRR Annex I; Annex V.Part 2.56, 59 CRR Annex I; Annex V.Part 2.56, 59

20.6 z-axis Geographical breakdown of liabilities by residence of the counterparty Country of residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.28, 2.107 010 010 Derivatives CRR Annex II IAS 39.9, AG 15(a) 020 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 030 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 040 Short positions IAS 39 AG 15(b) 050 Of which: credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 060 Of which: other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Central banks Annex V.Part 1.35(a) Annex V.Part 1.35(a) 090 General governments Annex V.Part 1.35(b) Annex V.Part 1.35(b) 100 Credit institutions Annex V.Part 1.35(c) Annex V.Part 1.35(c) 110 Other financial corporations Annex V.Part 1.35(d) Annex V.Part 1.35(d) 120 Non-financial corporations Annex V.Part 1.35(e) Annex V.Part 1.35(e) 130 Households Annex V.Part 1.35(f) Annex V.Part 1.35(f)

20.7 z-axis Breakdown of loans and advances to non-financial corporations by NACE codes and by residence of the counterparty Country of residence of the counterparty Non-financial corporations Gross carrying amount Accumulated impairment or Accumulated changes in fair value due to credit risk References National GAAP compatible IFRS Annex V.Part 2.109 Annex V.Part 2.46 References National GAAP based on BAD Annex V.Part 2.109 Annex V.Part 2.46 010 020 010 A Agriculture, forestry and fishing NACE Regulation 020 B Mining and quarrying NACE Regulation 030 C Manufacturing NACE Regulation 040 D Electricity, gas, steam and air conditioning supply NACE Regulation 050 E Water supply NACE Regulation 060 F Construction NACE Regulation 070 G Wholesale and retail trade NACE Regulation 080 H Transport ans storage NACE Regulation 090 I Accommodation and food service activities NACE Regulation 100 J Information and communication NACE Regulation 110 L Real estate activities NACE Regulation 120 M Professional, scientific and technical activities NACE Regulation 130 N Administrative and support service activities NACE Regulation 140 O Public administration and defence, compulsory social security NACE Regulation 150 P Education NACE Regulation 160 Q Human health services and social work activities NACE Regulation 170 R Arts, entertainment and recreation NACE Regulation 180 S Other services NACE Regulation 190 LOANS AND ADVANCES Annex V.Part 1.24, 27

21. Tangible and intangible assets: assets subject to operating lease References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 2.110-111 010 010 Property plant and equipment IAS 16.6; IAS 1.54(a) 020 Revaluation model IAS 17.49; IAS 16.31, 73(a)(d) 030 Cost model IAS 17.49; IAS 16.30, 73(a)(d) 040 Investment property IAS 40.IN5; IAS 1.54(b) 050 Fair value model IAS 17.49; IAS 40.33-55, 76 060 Cost model IAS 17.49; IAS 40.56,79(c) 070 Other intangible assets BAD art 4.Assets(9) IAS 38.8, 118 080 Revaluation model IAS 17.49; IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 17.49; IAS 38.74

22. Asset management, custody and other service functions

22.

22.1 Fee and commission income and expenses by activity References National GAAP based on BAD BAD art 27.Vertical layout(4), (5) References National GAAP compatible IFRS IFRS 7.20(c ) Current period 010 010 Fee and commission income ITS 2.Part 2.10-12 020 Securities 030 Issuances Annex V.Part 2.116(a) Annex V.Part 2.116(a) 040 Transfer orders Annex V.Part 2.116(b) Annex V.Part 2.116(b) 050 Other Annex V.Part 2.116(c) Annex V.Part 2.116(c) 060 Clearing and settlement Annex V.Part 2.116(d) Annex V.Part 2.116(d) 070 Asset management Annex V.Part 2.116(e); Annex V.Part 2.117(a) Annex V.Part 2.116(e); Annex V.Part 2.117(a) 080 Custody [by type of customer] Annex V.Part 2.116(e); Annex V.Part 2.117(b) Annex V.Part 2.116(e); Annex V.Part 2.117(b) 090 Collective investment 100 Other 110 Central administrative services for collective investment Annex V.Part 2.116(e); Annex V.Part 2.117(c) Annex V.Part 2.116(e); Annex V.Part 2.117(c) 120 Fiduciary transactions Annex V.Part 2.116(e); Annex V.Part 2.117(d) Annex V.Part 2.116(e); Annex V.Part 2.117(d) 130 Payment services Annex V.Part 2.116(e); Annex V.Part 2.117(e) Annex V.Part 2.116(e); Annex V.Part 2.117(e) 140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) Annex V.Part 2.117(f) 150 Collective investment 160 Insurance products 170 Other 180 Structured Finance Annex V.Part 2.116(f) Annex V.Part 2.116(f) 190 Servicing of securitization activities Annex V.Part 2.116(g) Annex V.Part 2.116(g) 200 Loan commitments given Annex V.Part 2.116(h) IAS 39.47(d)(ii); Annex V.Part 2.116(h) 210 Financial guarantees given Annex V.Part 2.116(h) IAS 39.47(c)(ii); Annex V.Part 2.116(h) 220 Other Annex V.Part 2.116(j) Annex V.Part 2.116(j) 230 (Fee and commission expenses) ITS 2.Part 2.10-12 240 (Clearing and settlement) Annex V.Part 2.116(d) Annex V.Part 2.116(d) 250 (Custody) Annex V.Part 2.117(b) Annex V.Part 2.117(b) 260 (Servicing of securitization activities) Annex V.Part 2.116(g) Annex V.Part 2.116(g) 270 (Loan commitments received) Annex V.Part 2.116(i) Annex V.Part 2.116(i) 280 (Financial guarantees received) Annex V.Part 2.116(i) Annex V.Part 2.116(i) 290 (Other) Annex V.Part 2.116(j) Annex V.Part 2.116(j)

22.2 Assets involved in the services provided References National GAAP based on BAD References National GAAP compatible IFRS Amount of the assets involved in the services provided Annex V.Part 2.117(g) 010 010 Asset management [by type of customer] Annex V.Part 2.117(a) Annex V.Part 2.117(a) 020 Collective investment 030 Pension funds 040 Customer portfolios managed on a discretionary basis 050 Other investment vehicles 060 Custody assets [by type of customer] Annex V.Part 2.117(b) Annex V.Part 2.117(b) 070 Collective investment 080 Other 090 Of which: entrusted to other entities 100 Central administrative services for collective investment Annex V.Part 2.117(c) Annex V.Part 2.117(c) 110 Fiduciary transactions Annex V.Part 2.117(d) Annex V.Part 2.117(d) 120 Payment services Annex V.Part 2.117(e) Annex V.Part 2.117(e) 130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.117(f) Annex V.Part 2.117(f) 140 Collective investment 150 Insurance products 160 Other

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.

30.1 Interests in unconsolidated structured entities References National GAAP compatible IFRS Carrying amount of financial assets recognised in the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financial liabilities recognised in the balance sheet Nominal amount of off-balance sheet items given by the reporting-institution Of which: Nominal amount of loan commitments given Losses incurred by the reporting institution in the current period IFRS 12.29(a) IFRS 12.29(a); Annex V.Part 2.118 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b) 010 020 030 040 050 060 070 010 Total

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activities References National GAAP based on BAD References National GAAP compatible IFRS Securitisation Special Purpose Entities Asset management Other activities CRR art 4 (66) Annex V.Part 2.117(a) Carrying amount IFRS 12.28, B6.(a) 010 020 030 010 Selected financial assets recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 020 of which: defaulted 030 Derivatives CRR Annex II; Annex V.Part 1.6 IAS 39.9 040 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 050 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 080 Equity instruments issued IAS 32.4 090 Derivatives CRR Annex II IAS 39.9, AG 15 (a) 100 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 110 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 Nominal amount 120 Off-balance sheet items given by thereporting institution IFRS 12.B26.(e) 130 of which: defaulted Annex V.Part 2.61 Annex V.Part 2.61

31. Related parties

31.

31.1 Related parties: amounts payable to and amounts receivable from Outstanding balances Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties References National GAAP compatible IFRS IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.120 IAS 24.19(d),(e); Annex V.Part 2.120 IAS 24.19(f) IAS 24.19(g) References National GAAP based on BAD 4th Directive art 43(7a) 4th Directive art 43(7a) 4th Directive art 43(7a) 4th Directive art 43(7a) 4th Directive art 43(7a) Annex V.Part 2.120 Annex V.Part 2.120 010 020 030 040 050 010 Selected financial assets IAS 24.18(b) 020 Equity instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 050 of which: Impaired financial assets 060 Selected financial liabilities IAS 24.18(b) 070 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 080 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 090 Nominal amount of loan commitments, financial guarantees and other commitments given Annex V.Part 2.62 IAS 24.18(b); Annex V.Part 2.62 100 of which: defaulted Annex V.Part 2.61 IAS 24.18(b); Annex V.Part 2.61 110 Loan commitments, financial guarantees and other commitments received Annex V.Part 2.63, 121 IAS 24.18(b); Annex V.Part 2.63, 121 120 Notional amount of derivatives Annex V.Part 2.70-71 Annex V.Part 2.70-71 130 Allowances and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments IAS 24.18(c)

31.2 Related parties: expenses and income generated by transactions with Current period Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties References National GAAP compatible IFRS IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g) References National GAAP based on BAD Annex V.Part 2.120 Annex V.Part 2.120 010 020 030 040 050 010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.21 IAS 24.18(a); IAS 18.35(b)(iii); Annex V.Part 2.21 020 Interest expenses BAD art 27.Vertical layout(2); Annex V.Part 2.21 IAS 24.18(a); IAS 1.97; Annex V.Part 2.21 030 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.28 IAS 24.18(a); IAS 18.35(b)(v); Annex V.Part 2.28 040 Fee and commission income BAD art 27.Vertical layout(4) IAS 24.18(a); IFRS 7.20(c) 050 Fee and commission expenses BAD art 27.Vertical layout(5) IAS 24.18(a); IFRS 7.20(c) 060 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss BAD art 27.Vertical layout(6) IAS 24.18(a) 070 Gains or (-) losses on derecognition of non-financial assets Annex V.Part 2.122 IAS 24.18(a); Annex V.Part 2.122 080 Increase or (-) decrease during the period in impairment and provisions for impaired debt instruments, defaulted guarantees and defaulted commitments IAS 24.18(d)

40. Group structure

40.

40.1 Group structure: entity-by-entity LEI code Entity code Entity name Entry date Share capital Equity of investee Total assets of investee Profit or (-) loss of investee Residence of investee Sector of investee NACE Code Accumulated equity interest [%] Voting rights [%] Group structure [relationship] Accounting treatment [Accounting Group] Accounting treatment [CRR Group] Carrying amount Acquisition cost Goodwill link to Investee Fair value of investments for which there are published price quotations Annex V.Part 2.123, 124(a) Annex V.Part 2.123, 124(b) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.123, 124(c) Annex V.Part 2.123, 124(d) Annex V.Part 2.123, 124(e) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.B12(b); Annex V.Part 2.123, 124(f) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.123, 124(g) Annex V.Part 2.123, 124(h) Annex V.Part 2.123, 124(i) IFRS 12.21(iv); Annex V.Part 2.123, 124(j) IFRS 12.21(iv); Annex V.Part 2.123, 124(k) IFRS 12.10(a)(i); Annex V.Part 2.123, 124(l) IFRS 12.21(b); Annex V.Part 2.123, 124(m) CRR art 423(b); Annex V.Part 2.123, 124(n) Annex V.Part 2.123, 124(0) Annex V.Part 2.123, 124(p) Annex V.Part 2.123, 124(q) IFRS 12.21(b)(iii); Annex V.Part 2.123, 124(r) Annex V.Part 2.123, 124(a) Annex V.Part 2.123, 124(b) Annex V.Part 2.123, 124(c) Annex V.Part 2.123, 124(d) Annex V.Part 2.123, 124(e) Annex V.Part 2.123, 124(f) Annex V.Part 2.123, 124(f) Annex V.Part 2.123, 124(f) Annex V.Part 2.123, 124(q) Annex V.Part 2.123, 124(h) Annex V.Part 2.123, 124(i) Annex V.Part 2.123, 124(j) Annex V.Part 2.123, 124(k) Annex V.Part 2.123, 124(l) Annex V.Part 2.123, 124(m) CRR art 423(b); Annex V.Part 2.123, 124(n) Annex V.Part 2.123, 124(0) Annex V.Part 2.123, 124(p) Annex V.Part 2.123, 124(q) Annex V.Part 2.123, 124(r) 010 020 030 040 050 060 070 080 090 095 100 110 120 130 140 150 160 170 180 190

40.2. Group structure: instrument-by-instrument Security code Entity code Holding company LEI code Holding company code Holding company name Accumulated equity interest (%) Carrying amount Acquisition cost Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c) Annex V.Part 2.125(b) Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c) Annex V.Part 2.125(a) Annex V.Part 2.124(b), 125(c) Annex V.Part 2.125(b) Annex V.Part 2.124(j), 125(c) Annex V.Part 2.124(o), 125(c) Annex V.Part 2.124(p), 125(c) 010 020 030 040 050 060 070 080

41. Fair value

41.

41.1 Fair value hierarchy: financial instruments at amortised cost ASSETS References National GAAP based on BAD References National GAAP compatible IFRS Fair value Fair value hierarchyIFRS 13.93(b), BC216 IFRS 7.25-26 Level 1IFRS 13.76 Level 2IFRS 13.81 Level 3IFRS 13.86 010 020 030 040 010 Loans and receivables 4th Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (c); IAS 39.9, AG16, AG26 020 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 030 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 040 Held-to-maturity investments 4th Directive art 42a(4)(a),(5a); IAS 39.9 IFRS 7.8(b); IAS 39.9, AG16, AG26 050 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 060 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 LIABILITIES 070 Financial liabilities measured at amortised cost 4th Directive art 42a(3), (5a); IAS 39.47 IFRS 7.8(f); IAS 39.47 080 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34

41.2 Use of the Fair Value Option Carrying amount Financial instruments designated at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Accounting mismatch Evaluation on a fair value basis Hybrid contracts IFRS 7.B5(a) IAS 39.9b(i) IAS 39.9b(ii) IAS 39.11A-12; Annex V.Part 2.127 ASSETS 010 020 030 010 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(a)(i); IAS 39.9 020 Equity Instruments ECB/2008/32 Annex 2.Part 2.4-5 IAS 32.11 030 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.24, 26 040 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.24, 27 LIABILITIES 050 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1), (5a); IAS 39.9 IFRS 7.8(e)(i); IAS 39.9 060 Deposits ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2008/32 Annex 2.Part 2.9; Annex V.Part 1.30 070 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.31 080 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.32-34

41.3 Hybrid financial instruments not designated at fair value through profit or loss Rest of separable hybrid contracts [not designated at fair value through profit or loss] References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount FINANCIAL ASSETS 010 010 Financial assets held for trading 4th Directive art 42a(4)(b),(5a); IAS 39.9; Annex V.Part 2.129 IAS 39.9; Annex V.Part 2.129 020 Available-for-sale [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 030 Loans and receivables [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 040 Held-to-maturity investments [Host contracts] 4th Directive art 42a(4)(b),(5a); IAS 39.11; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130 FINANCIAL LIABILITES 050 Financial liabilities held for trading 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.129 IAS 39.9; Annex V.Part 2.129 060 Financial liabilities measured at amortized cost [Host contracts] 4th Directive art 42a(4)(b), (5a); IAS 39.9; Annex V.Part 2.130 IAS 39.11; Annex V.Part 2.130

42. Tangible and intangible assets: carrying amount by measurement method References National GAAP compatible IFRS Carrying amount 010 010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 020 Revaluation model IAS 16.31, 73(a),(d) 030 Cost model IAS 16.30, 73(a),(d) 040 Investment property IAS 40.5, 30; IAS 1.54(b) 050 Fair value model IAS 40,33-55, 76 060 Cost model IAS 40.56, 79(c) 070 Other intangible assets IAS 38.8, 118, 122 ; Annex V.Part 2.132 080 Revaluation model IAS 38.75-87, 124(a)(ii) 090 Cost model IAS 38.74

43. Provisions Carrying amount Pensions and other employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Other provisions Total References National GAAP compatible IFRS IAS 19.63; IAS 1.78(d); Annex V.Part 2.7 IAS 19.153; IAS 1.78(d); Annex V.Part 2.8 IAS 37.70-83 IAS 37.App C.6-10 IAS 37.App C.9; IAS 39.2(h), 47(c)(d), BC 15, AG 4 IAS 37.14 References National GAAP based on BAD Annex V.Part 2.7 Annex V.Part 2.8 BAD art 24-25, 33(1) 010 020 030 040 050 060 070 010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a) 020 Additions, including increases in existing provisions IAS 37.84 (b) 030 (-) Amounts used IAS 37.84 (c) 040 (-) Unused amounts reversed during the period IAS 37.84 (d) 050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e) 060 Other movements 070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a)

44 Defined benefit plans and employee benefits

44

44.1 Components of net defined benefit plan assets and liabilities References National GAAP compatible IFRS Amount 010 010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 020 Of which: Financial instruments issued by the institution IAS 19.143 030 Equity instruments IAS 19.142(b) 040 Debt instruments IAS 19.142(c) 050 Real estate IAS 19.142(d) 060 Other defined benefit plan assets 070 Present value of defined benefit obligations IAS 19.140(a)(ii) 080 Effect of the asset ceiling IAS 19.140(a)(iii) 090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.136 100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.7 110 Memo item: Fair value of any right to reimbursement recognised as an asset IAS 19.140(b)

44.2 Movements in defined benefit obligations References National GAAP compatible IFRS Defined benefit obligations 010 010 Opening balance [present value] IAS 19.140(a)(ii) 020 Current service cost IAS 19.141(a) 030 Interest cost IAS 19.141(b) 040 Contributions paid IAS 19.141(f) 050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 080 Benefits paid IAS 19.141(g) 090 Past service cost,including gains and losses arising from settlements IAS 19.141(d) 100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 110 Other increases or (-) decreases 120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.138

44.3 Memo items [related to staff expenses] References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 010 Pension and similar expenses Annex V.Part 2.139(a) Annex V.Part 2.139(a) 020 Share based payments Annex V.Part 2.139b) IFRS 2.44; Annex V.Part 2.139(b)

45 Breakdown of selected items of statement of profit or loss

45

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk 010 020 010 Financial assets designated at fair value through profit or loss 4th Directive art 42a(1),(5a); IAS 39.9 IFRS 7.20(a)(i); IAS 39.55(a) 020 Financial liabilities designated at fair value through profit or loss 4th Directive art 42a(1),(5a); IAS 39.9 IFRS 7.20(a)(i); IAS 39.55(a) 030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 27.Vertical layout(6) IFRS 7.20(a)(i)

45.2 Gains or losses on derecognition of non-financial assets other than held for sale References National GAAP based on BAD References National GAAP compatible IFRS Current period 010 020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 040 Other assets IAS 1.34 (a) 050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34

45.3 Other operating income and expenses References National GAAP based on BAD References National GAAP compatible IFRS Income Expenses 010 020 010 Changes in fair value in tangible assets measured using the fair value model Annex V.Part 2.141 IAS 40.76(d); Annex V.Part 2.141 020 Investment property Annex V.Part 2.141 IAS 40.75(f); Annex V.Part 2.141 030 Operating leases other than investment property Annex V.Part 2.142 IAS 17.50, 51, 56(b); Annex V.Part 2.142 040 Other Annex V.Part 2.143 Annex V.Part 2.143 050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.141-142 Annex V.Part 2.141-142

46. Statement of changes in equity Sources of equity changes Capital Share premium Equity instruments issued other than Capital Other equity Accumulated other comprehensive income Retained earnings Revaluation reserves Fair value reserves Other reserves First consolidation differences (-) Treasury shares Profit or (-) loss atributable to owners of the parent (-) Interim dividends Minority interests Total Accumulated Other Comprehensive Income Other items References National GAAP compatible IFRS IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.15-16 IAS 1.106; Annex V.Part 2.17 IAS 1.106 CRR art 4(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.20 IAS 1.106(a), 83 (a)(ii) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.54(q), 106(a); IAS 27.27-28 IAS 1.9(c), IG6 References National GAAP based on BAD BAD art 4.Liabilities(9), BAD art 22 BAD art 4.Liabilities(10); CRR art 4(124) Annex V.Part 2.15-17 Annex V.Part 2.17 4th Directive art 42a(1), (5a) BAD art 4 Liabilities (13); CRR art 4(123) BAD art 4.Liabilities(12) 7th Directive 19(1)(c) 4th Directive.Assets C (III)(7), D (III)(2); Annex V.Part 2.20 BAD art 4.Liabilities(14) CRR Article 26(2b) 7th Directive art 21 7th Directive art 21 010 020 030 040 050 060 070 075 080 085 090 100 110 120 130 140 010 Opening balance [before restatement] 020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42 030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22 040 Opening balance [current period] 050 Issuance of ordinary shares IAS 1.106.(d).(iii) 060 Issuance of preference shares IAS 1.106.(d).(iii) 070 Issuance of other equity instruments IAS 1.106.(d).(iii) 080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii) 090 Conversion of debt to equity IAS 1.106.(d).(iii) 100 Capital reduction IAS 1.106.(d).(iii) 110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33 130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33 140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii) 150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii) 160 Transfers among components of equity IAS 1.106.(d).(iii) 170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii) 180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10 190 Other increase or (-) decrease in equity IAS 1.106.(d) 200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 210 Closing balance [current period]

ANNEX V REPORTING ON FINANCIAL INFORMATION

PART 1 GENERAL INSTRUCTIONS

1.1.2.3.4. REFERENCES This Annex contains additional instructions for the financial information templates (hereinafter FINREP) included in Annex III and Annex IV of this Regulation. This Annex complements the instructions included in form of references in the templates in Annex III and Annex IV. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in Article 4(1)(77) of the CRR. Institutions shall only submit those parts of the templates related to: For the purposes of Annex III and Annex IV as well as this Annex, the following notation shall apply:

1.1.2.3.

(a) Assets, liabilities, equity, income and expenses that are recognised by the institution.

(b) Off-balance sheet exposures and activities in which the institution is involved.

(d) Valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.

1.1.2.3.4.

(a) IAS regulation refers to Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards.

(b) IAS or IFRS refers to the International Accounting Standards, as defined in Article 2 of the IAS regulation that has been adopted by the Commission in accordance with the aforementioned IAS regulation.

(c) ECB BSI Regulation or ECB/2008/32 refers to Regulation of the European Central Bank of 19 December 2008 concerning the balance sheet of monetary financial institutions sector (recast).

(d) NACE Regulation refers to REGULATION (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains.

(e) BAD refers to COUNCIL DIRECTIVE of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (86/635/EEC).

(f) 4th Directive refers to FOURTH COUNCIL DIRECTIVE of 25 July 1978 based in Article 54(3)(g) of the Treaty on the annual accounts of certain types of companies (78/660/EEC).

(g) National GAAP means national accounting frameworks developed under BAD.

(h) SME refers to COMMISSION RECOMMENDATION of 6 May 2003 concerning definition of micro, small and medium-sized enterprises (2003/361/EC).

(i) ISIN code means the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue.

(j) LEI code means the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction.

(k) Annex V refers to the cited Part of Annex V of this Regulation.

2.5.6.7.8.9.10. Table 1 Credit/debit convention, positive and negative signs

CONVENTION For the purposes of Annex III and Annex IV a data point shadowed in grey shall mean that this data point is not requested or that it is not possible to report it. In Annex IV a row or a column with references shadowed in black means that the related data points should not be submitted by those institutions that follow those references in that row or column. Templates in Annex III and Annex IV include implicit validation rules which are defined in the templates themselves through the use of conventions. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative. Items that shall be reported in negative are identified in the compiling templates by including (–) at the beginning of their label such as in (–) Treasury shares. In the Data Point Model (hereinafter DPM) for financial information reporting templates described in Annex III and IV, every data point (cell) has a base item to which the credit/debit attribute is allocated. This allocation ensures that all entities who report data points follow the sign convention and allows to know the credit/debit attribute that corresponds to each data point. Schematically, this convention works as in Table 1. Element Credit/Debit Balance/Movement Figure reported Assets Debit Balance on assets Positive (Normal, no sign needed) Increase on assets Positive (Normal, no sign needed) Negative balance on assets Negative (Minus – sign needed) Decrease on assets Negative (Minus – sign needed) Expenses Balance on expenses Positive (Normal, no sign needed) Increase on expenses Positive (Normal, no sign needed) Negative balance (including reversals) on expenses Negative (Minus – sign needed) Decrease on expenses Negative (Minus – sign needed) Liabilities Credit Balance on liabilities Positive (Normal, no sign needed) Increase on liabilities Positive (Normal, no sign needed) Negative balance on liabilities Negative (Minus – sign needed) Decrease on liabilities Negative (Minus – sign needed) Equity Balance on equity Positive (Normal, no sign needed) Increase on equity Positive (Normal, no sign needed) Negative balance on equity Negative (Minus – sign needed) Decrease on equity Negative (Minus – sign needed) Income Balance on income Positive (Normal, no sign needed) Increase on income Positive (Normal, no sign needed) Negative balance (including reversals) on income Negative (Minus – sign needed) Decrease on income Negative (Minus – sign needed)

3.11. CONSOLIDATION Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Part 1, Title II, Chapter 2, Section 2 of the CRR. Institutions shall account for their subsidiaries and joint ventures using the same methods than for prudential consolidation:

3.11.

(a) Institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with article 18.5 of the CRR.

(b) Institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with article 18.2 of the CRR.

(c) Institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with article 18.4 of the CRR.

4. ACCOUNTING PORTFOLIOS

4. 4.1.12.13.14.15.16.17.18.19.

Assets Accounting portfolios shall mean financial instruments aggregated by valuation rules. These aggregations do not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as Cash and cash balances at central banks as well as those financial instruments classified as Held for sale presented in the items Non-current assets and disposal groups classified as held for sale and Liabilities included in disposal groups classified as held for sale. The following accounting portfolios based on IFRS shall be used for financial assets: The following accounting portfolios based on National GAAP shall be used for financial assets: Trading financial assets has the same meaning as under the relevant National GAAP based on BAD. Under National GAAP based on BAD, derivatives that are not held for hedge accounting shall be reported in this item without regarding the method applied to measure these contracts. Institutions shall include derivatives contracts in the balance sheet only when these contracts are recognised in accordance with the relevant accounting framework. For financial assets, cost-based methods include those valuation rules by which the financial asset is measured at cost plus interest accrued less impairment losses. Under National GAAP based on BAD, Other non-trading non-derivative financial assets shall include financial assets that do not qualify for inclusion in other accounting portfolios. This accounting portfolio includes, among others, financial assets that are measured at the lower of their amount at initial recognition or their fair value (so-called Lower Of Cost Or Market or LOCOM). Under National GAAP based on BAD, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios. Derivatives — Hedge accounting shall include derivatives held for hedge accounting under the relevant accounting framework.

4.1.12.13.

(a) Financial assets held for trading,

(b) Financial assets designated at fair value through profit or loss,

(d) Loans and Receivables,

(e) Held-to-maturity investments.

4.1.12.13.14.

(a) Trading financial assets,

(b) Non-trading non-derivative financial assets measured at fair value through profit or loss,

(d) Non-trading debt instruments measured at a cost-based method, and

(e) Other non-trading non-derivative financial assets.

4.2.20.21.22.23.

Liabilities The following accounting portfolios based on IFRS shall be used for financial liabilities: The following accounting portfolios based on National GAAP shall be used for financial liabilities: Under National GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in IFRS shall submit, to the extent that they are applied, the relevant accounting portfolios. Both under IFRS and National GAAP, Derivatives — Hedge accounting shall include derivatives held for hedge accounting under the relevant accounting framework.

4.2.20.

(a) Financial liabilities held for trading,

(b) Financial liabilities designated at fair value through profit or loss,

4.2.20.21.

(a) Trading financial liabilities, and

(b) Non-trading non-derivative financial liabilities measured at a cost-based method.

5. FINANCIAL INSTRUMENTS

5. 5.1.24.25.26.27.

Financial assets The carrying amount shall mean the amount to be reported in the asset side of the balance sheet. The carrying amount of financial assets shall include accrued interest. Financial assets shall be distributed among the following classes of instruments: Cash on hand, Derivatives, Equity instruments, Debt securities, and Loan and advances. Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation. Loans and advances are debt instruments held by the institutions that are not securities; this item includes loans in accordance with the ECB BSI Regulation as well as advances that cannot be classified as loans according to the ECB BSI Regulation. Advances that are not loans are further characterized in paragraph 41(g) of this Part. Consequently, debt instruments shall include loans and advances and debt securities.

5.2.28.29.30.31.32.33.34.

Financial liabilities The carrying amount shall mean the amount to be reported in the liability side of the balance sheet. The carrying amount of financial liabilities shall include accrued interest. Financial liabilities shall be distributed among the following classes of instruments: Derivatives, Short positions, Deposits, Debt securities issued and Other financial liabilities. Deposits are defined in the same way as in the ECB BSI Regulation. Debt securities issued are debt instruments issued as securities by the institution that are not deposits in accordance with the ECB BSI Regulation. Other financial liabilities include all financial liabilities other than derivatives, short positions, deposits and debt securities issued. Under IFRS or compatible National GAAP, Other financial liabilities may include financial guarantees when they are measured either at fair value through profit or loss [IAS 39.47(a)] or at the amount initially recognised less cumulative amortization [IAS 39.47(c)(ii)]. Loan commitments shall be reported as Other financial liabilities when they are designated as financial liabilities at fair value through profit or loss [IAS 39.4(a)] or they are commitments to provide a loan at a below-market interest rate [IAS 39.4(b), 47(d)]. Provisions arising from these contracts [IAS 39.47(c)(i), (d)(i)] are reported as provisions for Commitments and guarantees given. Other financial liabilities may also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions (payables for transactions recognised before the payment date).

6.35.36. COUNTERPARTY BREAKDOWN Where a breakdown by counterparty is required the following counterparty sectors shall be used: The counterparty sector allocation is based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes should be driven by the characteristics of the more relevant or determinant obligor.

6.35.

(a) Central banks.

(b) General governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under non-financial corporations); social security funds; and international organisations, such as the European Community, the International Monetary Fund and the Bank for International Settlements.

(d) Other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries and financial auxiliaries.

(e) Non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation.

(f) Households: individuals or groups of individuals as consumers, and producers of goods and non financial services exclusively for their own final consumption, and as producers of market goods and non financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households and which are principally engaged in the production of non-market goods and services intended for particular groups of households are included.

PART 2 TEMPLATE RELATED INSTRUCTIONS

1. BALANCE SHEET

1. 1.1.1.2.3.4.5.6.

Assets (1.1) Cash on hand includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments. Cash balances at central banks include balances receivable on demand at central banks. Other demand deposits include balances receivable on demand with credit institutions. Investments in subsidiaries, joint ventures and associates include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated. The carrying amount of investments accounted for using the equity method includes related goodwill. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in Other assets. Other assets may include gold, silver and other commodities; even when they are held with trading intent. Non-current assets and disposal groups classified as held for sale has the same meaning as under IFRS 5.

1.2.7.8.9.10.11.12.

Liabilities (1.2) Provisions for Pensions and other post employment defined benefit obligations include the amount of net defined benefit liabilities. Under IFRS or compatible National GAAP, provisions for Other long-term employee benefits include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short term employee benefits [IAS 19.11(a)], defined contribution plans [IAS 19.51(a)] and termination benefits [IAS 19.169(a)] shall be included in Other liabilities. Share capital repayable on demand includes the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in Other liabilities. Liabilities included in disposal groups classified as held for sale has the same meaning as under IFRS 5. Funds for general banking risks are amounts that have been assigned in accordance with article 38 of the BAD. When recognised, they shall appear separately either as liabilities under provisions or within equity under other reserves.

1.3.13.14.15.16.17.18.19.20.

Equity (1.3) Under IFRS or compatible National GAAP, equity instruments that are financial instruments include those contracts under the scope of IAS 32. Unpaid capital which has been called up includes the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. Equity component of compound financial instruments includes the equity component of compound financial instruments (that is, financial instruments that contain both a liability and a equity component ) issued by the institution, when segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives whose values are interdependent); Other equity instruments issued includes equity instruments that are financial instruments other than Capital and Equity component of compound financial instruments. Other equity shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions [IFRS 2.10]. Under IFRS or compatible National GAAP, Revaluation reserves includes the amount of reserves resulting from first-time adoption to IAS, or compatible National GAAP, that have not been released to other type of reserves. Other reserves are split between Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates and Other. Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years. Other includes reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve. Treasury shares cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution.

2.21.22.23.24.25.26.27.28.29.30.

STATEMENT OF PROFIT OR LOSS (2) Interest income and interest expense from financial instruments held for trading, and from financial instruments designated at fair value through profit or loss, shall be reported either separately from other gains and losses under items interest income and interest expense (so-called clean price) or as part of gains or losses from these categories of instruments (dirty price). Institutions shall report the following items broken-down by accounting portfolios: Interest income. Derivatives — Hedge accounting, interest rate risk and Interest expenses. Derivatives — Hedge accounting, interest rate risk include the amounts related to those derivatives classified in the category hedge accounting which cover interest rate risk. They shall be reported as interest income and expenses on a gross basis, to present correct interest income and expenses from the hedged items to which they are linked. The amounts related to those derivatives classified in the category held for trading which are hedging instruments from an economic but not accounting point of view may be reported as interest income and expenses, to present correct interest income and expenses from the financial instruments that are hedged. These amounts shall be included as a part of the items Interest income. Financial assets held for trading and Interest expenses. Financial liabilities held for trading. Interest income — other assets includes amounts of interest income not included in the other items. This item may include interest income related to cash and cash balances at central banks and non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset. Interest expenses — other liabilities includes amounts of interest expenses not included in the other items. This item may include interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities. Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations includes profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations. Dividend income from financial assets held for trading and from financial assets designated at fair value through profit or loss shall be reported either as dividend income separately from other gains and losses from these categories or as part of gains or losses from these categories of instruments. Dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within Share of the profit or (–) loss of investments in subsidiaries, joint ventures and associates. Under IFRS or compatible National GAAP, Impairment on Financial assets at cost includes impairment losses arising from the application of the impairment rules in IAS 39.66. For Gains or (–) losses from hedge accounting, net institutions shall report fair value changes on hedging instruments and hedged items, including the result of ineffectiveness from cash flow hedges and from hedges of net investment in foreign operations.

2.21.22.

(a) Interest income;

(b) Interest expense;

(d) Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net;

(e) Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss.

3.31. STATEMENT OF COMPREHENSIVE INCOME (3) Under IFRS or compatible National GAAP, Income tax relating to items that will not be reclassified and Income tax relating to items that may be reclassified to profit or (–) loss [IAS 1.91 (b), IG6] shall be reported as separate line items.

4.32.33.34.35.36.37.38.39.40.

BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4) Financial assets shall be broken down by instrument and — when required — by counterparty. Under IFRS or compatible National GAAP, equity instruments shall be reported with a specific breakdown (of which) to identify instruments measured at cost and specific counterparty sectors only. Under National GAAP based on BAD, equity instruments shall be reported with a specific breakdown (of which) to identify unquoted and specific counterparty sectors only. For available-for-sale financial assets institutions shall report the fair value of impaired assets and unimpaired assets respectively, and the cumulative amount of impairment losses recognised in profit or loss as at the reporting date. The sum of fair value of unimpaired assets and fair value of impaired assets shall be the carrying amount of these assets. Under IFRS or compatible National GAAP, for financial assets classified as Loans and receivables or as Held-to-maturity, the gross carrying amount of unimpaired assets and of impaired assets shall be reported. The allowances shall be broken down to Specific allowances for individually assessed financial assets, Specific allowances for collectively assessed financial assets and Collective allowances for incurred but not reported losses. Under National GAAP based on BAD, for financial assets classified as non-trading non-derivative financial asset measured at a cost-based method, the gross carrying amount of unimpaired assets and of impaired assets shall be reported. Specific allowances for individually assessed financial assets shall include cumulative amount of impairment related to financial assets which have been assessed individually. Specific allowances for collectively assessed financial assets shall include the cumulative amount of collective impairment calculated on insignificant loans which are impaired on individual basis and for which the institution decides to use a statistical approach (portfolio basis). This approach does not preclude performing individual impairment evaluation of loans that are individually insignificant and thus to report them as specific allowances for individually assessed financial assets. Collective allowances for incurred but not reported losses shall include the cumulative amount of collective impairment determined on financial assets which are not impaired on individual basis. For allowances for incurred but not reported losses, IAS 39.59(f), AG87 and AG90 may be followed. The sum of unimpaired assets and impaired assets net of all the allowances shall be equal to the carrying amount. Template 4.5 includes the carrying amount of Loans and advances and Debt securities that meet the definition of subordinated debt in paragraph 54 of this Part.

5.41. BREAKDOWN OF LOANS AND ADVANCES BY PRODUCT (5) The carrying amount of loans and advances shall be reported by type of product net of allowances due to impairment. Balances receivable on demand classified as Cash and cash balances at central banks shall also be reported in this template independently of the accounting portfolio in which they are included shall be allocated to the following products:

5.41.

(a) On demand (call) and short notice (current account) include balances receivable on demand (call), at short notice, current accounts and similar balances which may include loans that are overnight deposits for the borrower, regardless of their legal form. It also includes overdrafts that are debit balances on current account balances.

(b) Credit card debt includes credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation].

(c) Trade receivables include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item includes all factoring transactions (both with and without recourse).

(d) Finance leases include the carrying amount of finance lease receivables. Under IFRS or compatible National GAAP, finance lease receivables are as defined in IAS 17.

(e) Reverse repurchase loans include finance granted in exchange for securities bought under repurchase agreements or borrowed under securities lending agreements.

(f) Other term loans include debit balances with contractually fixed maturities or terms that are not included in other items.

(g) Advances that are not loans include advances that cannot be classified as loans according to the ECB BSI Regulation. This item includes, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).

(h) Mortgage loans [Loans collateralized by immovable property] include loans formally secured by immovable property collateral independently of their loan/collateral ratio (commonly referred as loan-to-value).

(i) Other collateralized loans include loans formally backed by collateral, independently of their loan/collateral ratio (so-called loan-to-value), other than Loans collateralised by immovable property, Finance leases and Reverse repurchase loans. This collateral includes pledges of securities, cash, and other collateral.

(j) Credit for consumption includes loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation].

(k) Lending for house purchase includes credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].

(l) Project finance loans include loans that are recovered solely from the income of the projects financed by them.

6.42.43.44.45.46.

BREAKDOWN OF LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES AND BY RESIDENCE OF THE COUNTERPARTY (6) Gross carrying amount of loans and advances to non-financial corporations shall be classified by sector of economic activities using codes in NACE Regulation (NACE Codes) on the basis of the principal activity of the counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 36 in Part 1. Reporting of NACE codes shall be done with the first level of disaggregation, (by section). For debt instruments at amortised cost or at fair value through other comprehensive income, Gross carrying amount shall mean the carrying amount excluding Accumulated impairment. For debt instruments at fair value through profit and loss, Gross carrying amount shall mean the carrying amount excluding Accumulated changes in fair value due to credit risk. Accumulated impairment shall be reported for financial assets at amortised cost or at fair value through other comprehensive income. Accumulated changes in fair value due to credit risk figures shall be reported for financial assets at fair value through profit or loss. Accumulated impairment shall include specific allowances for individually and collectively assessed financial assets as defined in paragraphs 36 and 37as well as Collective allowances for incurred but not reported losses as defined in paragraph 38 but do not include Accumulated write-offs amounts as defined in paragraph 49 of this Part.

7.47.48.49.50.

FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE OR IMPAIRED (7) Debt instruments that are past due but not impaired at the reporting reference date shall be reported in the accounting portfolios subject to impairment. According to IFRS or compatible National GAAP, these accounting portfolios comprise the categories Available for sale, Loans and receivables, and Held-to-maturity. According to National GAAP based on BAD, these accounting portfolios comprise also Non-trading debt instruments measured at a cost-based method and Other non-trading non-derivative financial assets. Assets qualify as past due when counterparties have failed to make a payment when contractually due. The amounts of such assets shall be reported and broken down according to the number of days past due. The past due analysis shall not include any impaired assets. The carrying amount of impaired financial assets shall be reported separately from the past due assets. The column Accumulated write-offs includes the cumulative amount of principal and past due interest of any debt instrument that the institution is no longer recognising because they are considered uncollectible, independently of the portfolio in which they were included. These amounts shall be reported until the total extinguishment of all the institution's rights (by expiry of the statute-of–limitations period, forgiveness or other causes) or until recovery. Write-offs could be caused both by reductions of the carrying amount of financial assets recognised directly in profit or loss as well as by reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets.

8.51.52.53.54.

BREAKDOWN OF FINANCIAL LIABILITIES (8) As Deposits are defined in the same way as in the ECB BSI Regulation, regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very close to overnight deposits, are classified as deposits redeemable at notice. Debt securities issued shall be disaggregated into the following type of products: Subordinated financial liabilities issued are treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities are classified as Debt securities issued, whereas subordinated liabilities in the form of deposits are classified as Deposits. Template 8.2 includes the carrying amount of Deposits and Debt securities issued that meet the definition of subordinated debt classified by accounting portfolios. Subordinated debt instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied [ECB BSI Regulation].

8.51.52.

(a) Certificates of deposits are securities that enable the holders to withdraw funds from an account,

(b) Asset backed securities according to article 4(1)(61) of the CRR,

(d) Hybrid contracts comprise contracts with embedded derivatives,

(e) Other debt securities issued includes debt securities not recorded in the previous lines and distinguishes convertible and non convertible instruments.

9.55.56.57.58.59.60.61.62.63.

LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9) Off-balance sheet exposures include the off-balance sheet items listed in Annex I of the CRR. Off-balance sheet exposures shall be broken-down in loan commitments given, financial guarantees given, and other commitments given. Information on loan commitments, financial guarantees, and other commitments given and received include both revocable and irrevocable commitments. Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I of the CRR shall be classified as Loan commitments: Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of the CRR shall be classified as financial guarantees: Other commitments includes the following items of Annex I of the CRR: Under IFRS or compatible National GAAP, the following item are recognised in the balance sheet and, consequently, should not be reported as off-balance sheet exposures: of which: defaulted shall include the nominal amount of those loan commitments, financial guarantees and other commitments given whose counterparty has incurred in default according to Article 178 of the CRR. For off-balance sheet exposures, the Nominal amount is the amount that best represents the institution's maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount is the maximum amount the entity could have to pay if the guarantee is called on. For loan commitments, the nominal amount is the undrawn amount that the institution has committed to lend. Nominal amounts are exposure values before applying conversion factors and credit risk mitigation techniques. In template 9.2, for loan commitments received, the nominal amount is the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received the nominal amount is the total amount committed by the other party in the transaction. For financial guarantees received, the maximum amount of the guarantee that can be considered is the maximum amount the counterparty could have to pay if the guarantee is called on. When a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.

9.55.56.57.

(a) Forward deposits.

(b) Undrawn credit facilities which comprise agreements to lend or provide acceptance facilities under pre-specified terms and conditions.

9.55.56.57.58.

(a) Guarantees having the character of credit substitute.

(b) Credit derivatives that meet the definition of financial guarantee.

9.55.56.57.58.59.

(a) Unpaid portion of partly-paid shares and securities.

(b) Documentary credits issued or confirmed.

(d) Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions.

(e) Warranties and indemnities (including tender and performance bonds) and guarantees not having the character of credit substitutes.

(f) Shipping guarantees, customs and tax bonds.

(g) Note issuance facilities (NIFs) and revolving underwritings facilities (RUFs).

(h) Undrawn credit facilities which comprise agreements to lend or provide acceptance facilities when the terms and conditions are not pre-specified.

(i) Undrawn credit facilities which comprise agreements to purchase securities or provide guarantees.

(j) Undrawn credit facilities for tender and performance guarantees.

(k) Other off-balance sheet items in Annex I of the CRR.

9.55.56.57.58.59.60.

(a) Credit derivatives that do not meet the definition of financial guarantees are derivatives under IAS 39.

(b) Acceptances are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as trade receivables on the balance sheet

(d) Transactions with recourse that do not meet the criteria for derecogniton under IAS 39.

(e) Assets purchased under outright forward purchase agreements are derivatives under IAS 39.

(f) Asset sale and repurchase agreements as defined in Article 12 (3) and (5) of Directive 86/635/EEC. In these contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified (or to be specified). Therefore, these contracts meet the definition of derivatives under IAS 39.9.

10.64.65.66. DERIVATIVES (10 AND 11) The carrying amount and the notional amount of the derivatives held for trading and the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market (over-the-counter versus organised markets) and type of product. Institutions shall report the derivatives held for hedge accounting broken down by type of hedge. Derivatives included in hybrid instruments which have been separated from the host contract shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in these templates. However, if the hybrid instrument is measured at fair value through profit or loss, the contract as a whole shall be included in the category of held for trading or financial instruments designated at fair value through profit or loss (and, thus, the embedded derivatives are not reported in 10 and 11).

10.64.65.66.

10.1.67.68. Classification of derivatives by type of risk All derivatives shall be classified into the following risk categories: When a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:

10.1.67.

(a) Interest rate: Interest rate derivatives are contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category is restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it excludes contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. Interest rate contracts include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants.

(b) Equity: Equity derivatives are contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices.

(c) Foreign exchange and gold: These derivatives include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives include all deals involving exposure to more than one currency, whether in interest rates or exchange rates. Gold contracts include all deals involving exposure to that commodity.

(d) Credit: Credit derivatives are contracts that do not meet the definition of financial guarantees and in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit. The contracts specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset.

(e) Commodity: These derivatives are contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.

(f) Other: These derivatives are any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.

10.1.67.68.

(a) Commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category.

(b) Equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates should be included in this category.

(c) Foreign exchange and gold: This category includes all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates.

10.2.69.70.71.72.

Amounts to be reported for derivatives The carrying amount for all derivatives (hedging or trading) is the fair value. Derivatives with a positive fair value (above zero) are financial assets and derivatives with a negative fair value (below zero) are financial liabilities. The carrying amount shall be reported separately for derivatives with a positive fair value (financial assets) and for those with a negative fair value (financial liabilities). At the date of initial recognition, a derivative is classified as financial asset or financial liability according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as financial asset) or unfavourable (and the derivative is classified as financial liability). The Notional amount is the gross nominal of all deals concluded and not yet settled at the reference date. In particular, the following shall be taken account to determine the notional amount: The column Notional amount of derivatives includes, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, independently of whether the derivatives are considered assets or liabilities on the face of the balance sheet. All notional amounts shall be reported regardless whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts is not allowed. The Notional amount shall be reported by total and by of which: sold for the line items: OTC options, Organised market options, Commodity and Other. The item of which sold includes the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to their counterparties (protection buyers).

10.2.69.70.

(a) For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the reference date.

(b) The notional amount value to be reported for a derivative contract with a multiplier component is the contract effective notional amount or par value.

(c) Swaps: The notional amount of a swap is the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based.

(d) Equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract is the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal is the contractual amount multiplied by the number of remaining exchanges of principal in the contract.

(e) Credit derivatives: The contract amount to be reported for credit derivatives is the nominal value of the relevant reference credit.

(f) Digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options is defined as either the predefined monetary amount or the fair value of the underlying at the reference date.

10.3.73.74. Derivatives classified as economic hedges Derivatives that are not effective hedging instruments in accordance with IAS 39 should be included in the held for trading portfolio. This applies also to derivatives held for hedging purposes not meeting the requirements in IAS 39 to be effective hedging instruments as well as to derivatives linked to unquoted equity instruments whose fair value cannot be measured reliably. Derivatives held for trading that meet the definition of economic hedges shall be reported separately for each type of risk. The item economic hedges includes those derivatives that are classified as held for trading but they are not part of the trading book as defined in Article 4(1)(86) of the CRR. This item does not include derivatives for proprietary trading.

10.4.75.76. Breakdown of derivatives by counterparty sector The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparty using the following categories: All OTC derivatives, without regarding the type of risk to which they are related, shall be broken down by these counterparties. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the institution in the contract (buyer or seller of protection) is allocated.

10.4.75.

(a) credit institutions,

(b) other financial corporations, and

11.77.78. MOVEMENTS IN ALLOWANCES FOR CREDIT LOSSES AND IMPAIRMENT OF EQUITY INSTRUMENTS (12) Increases due to amounts set aside for estimated loan losses during the period shall be reported when, for the main category of assets or the counterparty, the estimation of the impairment for the period result in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. Decreases due to amounts reversed for estimated loan losses during the period shall be reported when, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases. As explained in paragraph 50 of this Part, write-offs may be done either by recognising directly in the statement of profit or loss the reduction in the amount of the financial asset (without using an allowance account) or by reducing the amount of the allowance accounts related to a financial asset. Decreases due to amounts taken against allowances means decreases in the accumulated amount of allowances due to write-offs made during the period because the related debt instruments are considered uncollectible. Value adjustments recorded directly to the statement of profit or loss are write-offs made during the period directly against the amount of the related financial asset.

12. COLLATERAL AND GUARANTEES RECEIVED (13)

12. 12.1.79.80.81.82.

Breakdown of loans and advances by collateral and guarantees (13.1) The pledges and guarantees backing the loans and advances shall be reported by type of pledges: mortgage loans and other collateralised loans, and by financial guarantees. The loans and advances shall be broken down by counterparties. In Template 13.1, the maximum amount of the collateral or guarantee that can be considered shall be reported. The sum of the amounts of a financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan. For reporting loans and advances according to the type of pledge the following definitions shall be used: For loans and advances that have simultaneously more than one type of collateral or guarantee, the amount of the Maximum collateral/guarantee that can be considered shall be allocated according to its quality starting from the one with the best quality.

12.1.79.80.81.

(a) within Mortgage loans [Loans collateralised by immovable property], Residential includes loans secured by residential immovable property and Commercial loans secured by pledges of commercial immovable property; in both cases as defined in the CRR.

(b) within Other collateralised loans, Cash [Debt instruments issued] includes pledges of deposits in or debt securities issued by the institution, and Rest includes pledges of other securities or assets.

(c) Financial guarantees received include contracts that require the issuer to make specified payments to reimburse the institution of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument.

12.2.83. Collateral obtained by taking possession during the period [held at the reporting date] (13.2) This template includes the carrying amount of the collateral that has been obtained between the beginning and the end of the reference period and that remain recognised in the balance sheet at the reference date.

12.3.84. Collateral obtained by taking possession [tangible assets] accumulated (13.3) Foreclosure [tangible assets] is the cumulative carrying amount of tangible assets obtained by taking possession of collateral that remains recognised in the balance sheet at the reference date excluding those classified as Property, plant and equipment.

13.85.86.87. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14) Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by in IFRS 13.72. Change in fair value for the period shall include gains or losses from remeasurements of the instruments in the period. These gains and losses are reported as for inclusion in the statement of profit or loss; thus, the amounts reported are before taxes. Accumulated change in fair value before taxes shall include the amount of gains or losses from remeasurements of the instruments accumulated from the initial recognition to the reference date.

14.88.89.90.91.92.93.

DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15) Template 15 includes information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side. The column Amounts derecognised for capital purposes includes the carrying amount of the financial assets recognised for accounting purposes but derecognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Article 109 of the CRR. Repurchase agreements (repos) are transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Amounts received by the institution in exchange for financial assets transferred to a third party (temporary acquirer) shall be classified under repurchase agreements where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements also include repo-type operations which may include: Repurchase agreements (repos) and reverse repurchase loans (reverse repos) involve cash received or loaned out by the institution. In a securitisation transaction, when the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the accounting portfolios in which the financial assets were included prior to their derecognition.

14.88.89.90.91.

(a) Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral.

(b) Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.

15.94. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16) For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.

15.94.

15.1.95.96. Interest income and expenses by instrument and counterparty sector (16.1) The interests shall be broken down both by interest income on financial and other assets and interest expenses on financial and other liabilities. Interest income on financial assets includes interest income on derivatives held for trading, debt securities, and loans and advances. Interest expenses on financial liabilities includes interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities. All instruments in the various portfolios are taken into account except those included in the items Derivatives — Hedge accounting not used to hedge interest rate risk. Interest on derivatives held for trading includes the amounts related to those derivatives held for trading which qualify as economic hedges that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view.

15.2.97. Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.

15.3.98. Gains or losses on financial assets and liabilities held for trading by instrument (16.3) Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the financial instrument.

15.4.99. Gains or losses on financial assets and liabilities held for trading by risk (16.4) Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk; each item of the breakdown is the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated to the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on assets and liabilities other than derivatives shall be included as follows:

15.4.99.

(a) Interest rate instruments: including trading of loans and advances, deposits and debt securities (held or issued);

(b) Equity instruments: including trading of shares, quotas of UCITS and other equity instruments;

(d) Credit risk instruments: including trading of credit link notes;

(e) Commodities: this item includes only derivatives because commodities held with trading intent shall be reported under Other assets not under Financial assets held for trading.

(f) Other: including trading of financial instruments which cannot be classified in other breakdowns.

15.5.100. Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised and the amount of change in fair value in the period due to changes in the credit risk (own credit risk of the borrower or issuer).

15.6.101. Gains or losses from hedge accounting (16.6) Gains and losses from hedge accounting shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item.

15.7.102. Impairment on financial and non-financial assets (16.7) Additions shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. Reversals shall be reported when, for the accounting portfolio or main category of assets, the estimation of the impairment for the period result in the recognition of net income.

16.103.104.105.106.

RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17) Accounting scope of consolidation includes the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation; that is, including in the consolidation insurance undertakings and non-financial corporations. In this template, the item Investments in subsidiaries, joint ventures and associates shall not include subsidiaries as with the accounting scope of consolidation all subsidiaries are fully consolidated Assets under reinsurance and insurance contracts shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued. Liabilities under insurance and reinsurance contracts shall include liabilities under insurance and reinsurance contracts issued.

17.107.108.109.

GEOGRAPHICAL BREAKDOWN (20) Template 20 shall be reported when the institution exceeds the threshold described in Article 5.1(a)(iv). The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between domestic activities and non-domestic activities. Location means the jurisdiction of incorporation of the legal entity which has recognized the corresponding asset or liability; for branches, it means the jurisdiction of its residence. For these purposes, Domestic shall include the activities recognised in Member State where the institution is located. Templates 20.4 to 20.7 contain information country-by-country on the basis of the residence of the immediate counterparty. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. In template 20.4 for debt instruments, gross carrying amount shall be reported as defined in paragraph 45 of Part 2. For derivatives and equity instruments, the amount to be reported is the carrying amount. Of which: defaulted shall include the carrying amount of those debt instruments whose counterparty has incurred in default according to Article 178 of the CRR. Template 20.7 shall be reported with the classification by NACE Codes on a country-by-country basis. NACE Codes shall be reported with the first level of disaggregation (by section).

18.110.111. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21) For the purposes of the calculation of the threshold in Article 9(e) tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by total of tangible assets. Under IFRS or compatible National GAAP, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be reported broken-down by measurement method.

19.112. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22) For the purposes of the calculation of the threshold in Article 9(f), the amount of net fee and commission income is the absolute value of the difference between fee and commission income and fee and commission expense. For the same purposes, the amount of net interest is the absolute value of the difference between interest income and interest expenses.

19.112. 19.1.113.114.115.116.

Fee and commission income and expenses by activity (22.1) The fee and commission income and expenses shall be reported by type of activity. Under IFRS or compatible National GAAP, this template includes fee and commission income and expenses other than: Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included; they form part of the initial acquisition/issue value of these instruments and are amortised to profit or loss over their residual life using the effective interest rate [see IAS 39.43]. Transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of Gains or losses on financial assets and liabilities held for trading, net or Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net. They shall not be part of the initial acquisition or issuance value of these instruments and are immediately recognized in profit or loss. Institutions shall report fee and commission income and expenses according to the following criteria:

19.1.113.

(a) amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)] and

(b) amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].

19.1.113.114.115.116.

(a) Securities. Issuances includes fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution.

(b) Securities. Transfer orders includes fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities.

(c) Securities. Other includes fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution.

(d) Clearing and settlement includes fee and commission income (expenses) generated by (charged to) the institution when participating in counterparty, clearing and settlement facilities.

(e) Asset management, Custody, Central administrative services for collective investment undertakings, Fiduciary transactions, Payment services include fee and commission income (expenses) generated by (charged to) the institution when providing these services.

(f) Structured finance includes fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution.

(g) Servicing fees from securitisation activities includes, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers.

(h) Loan commitments given and Financial guarantees given include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as other financial liabilities.

(i) Loan commitments received and Financial guarantees received include the fee and commission expense recognised by the institution as a consequence of the charge made by the counterparty that has given the loan commitment or the financial guarantee.

(j) Other includes the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from other commitments, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.

19.2.117. Assets involved in the services provided (22.2) Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:

19.2.117.

(a) Asset management refers to assets belonging directly to the customers, for which the institution is providing management. Asset management shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles.

(b) Custody assets refers to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. Custody assets shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item of which: entrusted to other entities refers to the amount of assets included in custody assets for which the institution has given the effective custody to other entities.

(c) Central administrative services for collective investment refers to the administrative services provided by the institution to collective investment undertakings. It includes, among others, the services of transfer agent; of compiling accounting documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues and redemptions and keeping the register of investors; as well as of calculating the net asset value.

(d) Fiduciary transactions refers to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services.

(e) Payment services refers to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it.

(f) Customer resources distributed but not managed refers to products issued by entities outside the group that the institution has distributed to its current customers. This item shall be reported by type of product.

(g) Amount of the assets involved in the services provided includes the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used if the fair value is not available. In those cases where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, if appropriate.

20.118. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30) Liquidity support drawn shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

21.119.120. RELATED PARTIES (31) Institutions shall report amounts and/or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party. Intra-group transactions and intra-group outstanding balances shall be eliminated. Under Subsidiaries and other entities of the same group, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated with the prudential scope of consolidation or because, in accordance with Article 19 of the CRR, the subsidiaries are excluded from the scope of prudential consolidation for being immaterial or because, for institutions that are part of a bigger group, the subsidiaries are of the ultimate parent not of the institution. Under Associates and joint ventures, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated when either proportional consolidation or the equity method is applied.

21.119.120.

21.1.121. Related parties: amounts payable to and amounts receivable from (31.1) For Loan commitments, financial guarantees and other commitments received, the amount that shall be reported is the sum of the nominal of loan commitments received, the maximum collateral/guarantee that can be considered of financial guarantees received and the nominal of the other commitments received.

21.2.122. Related parties: expenses and income generated by transactions with (31.2) Gains or losses on derecognition of non-financial assets shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of the following line items of the Statement of profit or loss:

21.2.122.

(a) Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates

(b) Gains or losses on derecognition of non-financial assets other than held for sale,

(c) Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations, and

(d) Profit or loss after tax from discontinued operations.

22.123. GROUP STRUCTURE (40) Institutions shall provide detailed information on subsidiaries, joint ventures and associates as of the reporting date. All subsidiaries regardless the activity they perform shall be reported.

22.123.

22.1.124. Group structure: entity-by-entity (40.1) The following information shall be reported on a entity-by-entity basis:

22.1.124.

(a) LEI code includes the LEI code of the investee.

(b) Entity code includes the identification code of the investee.

(d) Entry date means the date in which the investee entered within the scope of the group.

(e) Share capital means the total amount of capital issued by the investee as at the reference date.

(f) Equity of Investee, Total assets of the Investee and Profit or (loss) of the Investee include the amounts of these items in the last financial statements of the investee.

(g) Residence of investee means the country of residence of the investee.

(h) Sector of investee means the sector of counterparty as defined in paragraph 35 of Part 1.

(i) NACE code shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by section); for financial corporations, NACE codes shall be reported with a two level detail (by division).

(j) Accumulated equity interest (%) is the percentage of ownership instruments held by the institution as of the reference date.

(k) Voting rights (%) means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.

(l) Group structure [relationship] shall indicate the relationship between the parent and the investee (subsidiary, joint venture or associate).

(m) Accounting treatment [Accounting Group] shall indicate the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation or equity method).

(n) Accounting treatment [CRR Group] shall indicate the accounting treatment with the CRR scope of consolidation (full integration, proportional integration or equity method).

(o) Carrying amount means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated.

(p) Acquisition cost means the amount paid by the investors.

(q) Goodwill link to the investee means the amount of goodwill reported on the consolidated balance sheet of the institution for the investee in the items goodwill or investments in subsidiaries, joint ventures and associated.

(r) Fair value of the investments for which there are published price quotations means the price at the reference date; it shall be provided only if the instruments are quoted.

22.2.125. Group structure: instrument-by-instrument (40.2) The following information shall be reported on an instrument-by-instrument basis:

22.2.125.

(a) Security code includes the ISIN code of the security. For securities without ISIN code assigned, it includes another code that uniquely identifies the security.

(b) Holding company code is the identification code of the entity within the group that holds the investment.

(c) Entity code, Accumulated equity interest (%), Carrying amount and Acquisition cost are defined above. The amounts shall correspond to the security held by the related holding company.

23. FAIR VALUE (41)

23.

23.1.126. Fair value hierarchy: financial instruments at amortised cost (41.1) Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 7.27A shall be reported in this template.

23.2.127. Use of fair value option (41.2) Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. Hybrid contracts includes the carrying amount of hybrid financial instruments classified, as a whole, in these accounting portfolios; that is, it includes non-separated hybrid instruments in their entirely.

23.3.128.129.130.

Hybrid financial instruments not designated at fair value through profit or loss (41.3) In this template shall be reported information on hybrid financial instruments with the exception of those hybrid contracts measured at fair value through profit or loss under the fair value option that are reported in template 41.2. Held for trading includes the carrying amount of hybrid financial instruments classified, as a whole, as financial assets held for trading or financial liabilities held for trading; that is it includes non-separated hybrid instruments in their entirely. The other rows include the carrying amount of the host contracts that have been separated from the embedded derivatives according to the relevant accounting framework. The carrying amounts of the embedded derivatives separated from these host contracts, in accordance with the relevant accounting framework, shall be reported in templates 10 and 11.

24.131.132. TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42) Property, plant and equipment, Investment property and Other intangible assets shall be reported by the criteria used in their measurement. Other intangible assets include all other intangible assets than goodwill.

25.133. PROVISIONS (43) This template includes reconciliation between the carrying amount of the item Provisions at the beginning and end of the period by the nature of the movements.

26.134. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44) These templates include accumulated information of all defined benefit plans of the institution. When there is more than one defined benefit plan, aggregated amount of all plans shall be reported.

26.134.

26.1.135.136.

Components of net defined benefit plan assets and liabilities (44.1) Components of net defined benefit plan assets and liabilities shows the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights [IAS 19.140 (a), (b)]. Net defined benefit assets includes, in the event of a surplus, the surplus amounts that shall be recognized in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognized in the memo item Fair value of any right to reimbursement recognized as asset are included in the item Other assets of the balance sheet.

26.2.137.138.

Movements in defined benefit obligations (44.2) Movements in defined benefit obligations shows the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period are presented separately. The amount of Closing balance [present value] in the template for movements in defined benefit obligations shall be equal to Present value defined benefit obligations.

26.3.139. Memo items [related to staff expenses] (44.3) For reporting of memorandum items related to staff expenses, the following definitions shall be used:

26.3.139.

(a) Pension and similar expenses includes the amount recognized in the period as staff expenses for any post — employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds.

(b) Share based payments include the amount recognized in the period as staff expenses for share based payments.

27. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)

27.

27.1.140. Gains or losses on derecognition of non-financial assets other than held-for-sale (45.2) Gains and losses on derecognition of non financial assets other than held for sale shall be broken down by type of asset; each line item shall include the gain or the loss on the asset (such as property, software, hardware, gold, investment) that has been derecognised.

27.2.141.142.143.

Other operating income and expenses (45.3) Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses. Operating leases other than investment property includes, for the column income, the returns obtained, and for the column expenses the costs incurred by the institution as lessor in their operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item Other administrative expenses. Gains or losses from remeasurements of holdings of precious metals and other commodities measured at fair value less cost to sell shall be reported among the items included in Other operating income. Other or Other operating expenses. Other

28.144. STATEMENT OF CHANGES IN EQUITY (46) The statement of changes in equity discloses the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity.

PART 3 1. Table 2 (a)(1)(2)(b)(2)(c)(2)(d)(3)(e)(2)(f)(3)(4)(g)(2)(4)(5)(6)(h)(4)(5)(6)(i)(2)(3)(4)(5)(6)(j)(1)(2)(3)(4)(5)(6)(ja)(1)(2)(3)(4)(5)(6)(k)(3)(4)(5)(l)(2)(3)(4)(5)(6)(m)(3)(4)(5)(n)(o)(p) Table 3 (a)(1)(2)(3)(b)(2)(3)(4)(c)(4)(5)(6)(d)(4)(5)(6)(e)(f)(2)(3)(4)(5)(6)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

The following tables map exposure classes used to calculate capital requirements according to the CRR to counterparty sectors used in FINREP tables. SA exposure classes (CRR article 112) FINREP counterparty sectors Comments Central governments or central banks Central banks General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Regional governments or local authorities General governments Public sector entities General governments Multilateral development banks Credit institutions International organisations General governments Institutions (i.e. credit institutions and investment firms) Credit institutions Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Corporates General governments Other financial corporations Non financial corporations. Households Retail Other financial corporations Non financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Secured by mortgages on immovable property General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. In default Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Items associated with particularly high risk Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Covered bonds Credit institutions Other financial corporations Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Securitisation positions General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures should be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions. Institutions and corporates with a short-term credit assessment Credit institutions Other financial corporations Non-financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Collective investment undertakings Equity instruments Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. Equity Equity instruments In FINREP, equities are separated as instruments under different categories of financial assets Other items Various items of the balance sheet In FINREP, other items may be included under different asset categories. IRBA exposure classes (CRR article 147) FINREP counterparty sectors Comments Central governments and central banks Central banks General governments Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) General governments Credit institutions Other financial corporations These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Corporates Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Retail Other financial corporations Non financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Equity Equity instruments In FINREP, equities are separated as instruments under different categories of financial assets Securitisation positions General governments Credit institutions Other financial corporations Non-financial corporations Households These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, when securitized positions remain recognised in the balance sheet, the counterparty sectors are the sectors of the immediate counterparties of these positions Other non credit obligations Various items of the balance sheet In FINREP, other items may be included under different asset categories.

ANNEX VI C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES) REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY Country:

IP LOSSES TEMPLATES Template number Template code Name of the template /group of templates Short name IP LOSSES LE 15 C 15.00 Exposures and losses from lending collateralised by immovable property CR IP LOSSES Losses Exposures Sum of losses stemming from lending up to the reference percentages Sum of overall losses Sum of the exposures of which: immovable property valued with mortgage lending value of which: immovable property valued with mortgage lending value Row column 010 020 030 040 050 collateralised by: 010 Residential property 020 Commercial immovable property

ANNEX VII INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY

1.2. This Annex contains additional instructions in relation to the tables included in Annex VI of this Regulation. This Annex complements the instructions in format of references included in the tables in Annex VI. All the general instructions included in Part I of Annex II of this regulation shall also apply.

1.3.4. Reporting scope Data specified in Article 101 (1) of CRR is subject to reporting by all institutions using immovable property for the purposes of Part Three, Title II of CRR. The template covers all national markets an institution/group of institution is exposed to (see Article 101 (1) CRR). According to Article 101 (2) sentence 3 the data should be reported for each property market within the Union separately.

2.5.6.7.8.9. Definitions Definition of loss: Loss means economic loss as defined in Article 5 (2) CRR, including losses stemming from leased property. The recovery flows stemming from other sources (e.g. bank guarantees, life insurance, etc) shall not be recognised when calculating losses stemming from immovable property. Losses of one position shall not be netted with the profit of a successful recovery of another position. According to the definition of Article 5(2) CRR, for exposures secured by residential and commercial property the calculation of economic loss should start from outstanding exposure value at reporting date and should include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and workouts costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the workout unit). All components need to be discounted to the reporting reference date. Exposure value: The exposure value follows the rules stipulated in Part Three, Title II of CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach). Property value: The property value follows the rules stipulated in Part Three, Title II of CRR F/X effect: The reporting currency shall be used with the exchange rate at the reporting date. The reporting currency shall be the exchange rate at the reporting date. Moreover, the estimates of the economic losses should consider the F/X effect if the exposure or collateral is denominated in different currency.

3.10. Geographical breakdown Following the reporting scope, the CR IP Losses reporting shall consist of the following templates:

3.10. a)

one total template

one template for each national market in the Union where the institution is exposed to, and

one template aggregating the data for all national markets outside the Union where the institution is exposed to.

4.11.12.13.14.15.

Reporting of exposures and losses Exposures: All exposures that are treated according to Part Three, Title II of CRR and where the collateral is used to reduce own funds requirements, are reported in CR IP Losses. This also means that in case the risk mitigation effect of immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR), the exposures and losses concerned must not reported. Losses: The institution which has the exposure by the end of the reporting period shall report the losses. Losses shall be reported as soon as provisions are to be booked according to accounting rules. Also estimated losses should be reported. Loss data shall be collected on a loan-by-loan basis, i.e. aggregation of individual loss data stemming from exposures collateralised by immovable property. Reference date: The exposure value from the date of default should be used for reporting of losses. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference date for reporting the part of exposure secured by mortgages on immovable property. After default, the property might be re-valued. This new value should however not be relevant for identifying the part of the exposure which was originally fully (and completely) secured by the mortgages on immovable property. However the new value of the property shall be considered in economic loss reporting (a reduced property value is part of economic costs). In other words, the latest valuation of the property before the default date shall be used to determine which part of the loss shall be reported in cell 010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation a possible workout from collateral) in cells 010 and 030. Treatment of loan sales during the reporting period: The institution which has the exposure by the end of the reporting period shall report losses, but only if a default for that exposure was identified.

4.11.12.13. a)

Losses should be reported for all defaults on loans secured by real estate property that occur during the respective reporting period (i.e. irrespective of whether the work out is completed during the period or not). Since there may be a long time lag between default and loss realisation, loss estimates (which includes incomplete workout process) shall be reported in cases where the workout has not been completed within the reporting period.

For all defaults observed within the reporting period, there are three scenarios: (i.) defaulted loan can be restructured so that it is no longer treated as in default (no loss observed); (ii.) realization of all collateral is completed (completed workout, actual loss known); or (iii.) incomplete workout (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii.) realisation of collateral (observed losses) and scenario (iii.) incomplete workout (estimates of losses).

As losses shall be reported only for exposures having defaulted during the reporting period, changes to losses of exposures having defaulted during previous reporting periods will not be reflected in the reported data. I.e. proceeds from the realisation of the collateral at a later reporting period or lower realised costs than previously estimated shall not be reported.

5. Instructions concerning specific positions Columns 010 020 030 040 050 Rows 010 Residential property 020 Commercial immovable property

5. Sum of losses stemming from lending up to the reference percentages

Article 101 (1) points a) and point d) of CRR respectively, Market value and mortgage lending value according to Article 4 (74) and (76) of CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully and completely secured according to Article 124 paragraph 1 of CRR.

Of which: immovable property valued with mortgage lending value

Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value.

Sum of overall losses

Article 101 (1) point b) and point e) CRR respectively Market value and mortgage lending value according to Article 4 (74) and (76) of CRR This column collects all losses stemming from lending collateralised by residential property or by commercial immovable property up to the part of exposure treated as fully secured according to Article 124 paragraph 1 of CRR.

Of which: immovable property valued with mortgage lending value

Reporting of those losses, where the value of the collateral has been calculated as mortgage lending value

Sum of the exposures

Article 101 (1) point c) and point f) CRR respectively The value to be reported is only that part of the exposure value which is treated as fully secured by immovable property, i.e. the part that is treated as unsecured is not relevant for the loss reporting.

ANNEX VIII LARGE EXPOSURES TEMPLATES C 26.00 — Large Exposures limits (LE Limits) C 27.00 — Identification of the counterparty (LE 1) C 28.00 — Exposures in the non-trading and trading book (LE 2) C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3) C 30.00 — Maturity buckets of the exposures in the non-trading and trading book (LE 4) C 31.00 — Maturity buckets of the exposures to individual clients within groups of connected clients (LE 5) TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

Template number Template code Name of the template/group of templates Short name LARGE EXPOSURES LE 26 C 26.00 Large Exposures limits LE LIMITS 27 C 27.00 Identification of the counterparty LE 1 28 C 28.00 Exposures in the non-trading and trading book LE 2 29 C 29.00 Detail of the exposures to individual clients within groups of connected clients LE 3 30 C 30.00 Maturity buckets of the exposures in the non-trading and trading book LE 4 31 C 31.00 Maturity buckets of exposures to individual clients within groups of connected clients LE 5 Applicable limit column 010 row 010 Non institutions 020 Institutions 030 Institutions in % COUNTERPARTY IDENTIFICATION Code Name LEI code Residence of the counterparty Sector of the counterparty NACE code Type of counterparty 010 020 030 040 050 060 070 COUNTERPARTY ORIGINAL EXPOSURES (-) Value adjustments and provisions (-) Exposures deducted from own funds Exposure value before application of exemptions and CRM ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES (-) Amounts exempted Exposure value after application of exemptions and CRM Code Group or individual Transactions where there is an exposure to underlying assets (-) Substitution effect of eligible credit risk mitigation techniques (-) Funded credit protection other than substitution effect (-) Real estate Direct exposures Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non-trading book % of eligible capital (-) Debt instruments (-) Equity instruments (-) Derivatives (-) Off balance sheet items Total Of which: Non-trading book % of eligible capital Loan commitments Financial guarantees Other commitments Loan commitments Financial guarantees Other commitments (-) Loan commitments (-) Financial guarantees (-) Other commitments 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 COUNTERPARTY ORIGINAL EXPOSURES (-) Value adjustments and provisions (-) Exposures deducted from own funds Exposure value before application of exemptions and CRM ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES (-) Amounts exempted Exposure value after application of exemptions and CRM Code Group code Transactions where there is an exposure to underlying assets Type of connection (-) Substitution effect of eligible credit risk mitigation techniques (-) Funded credit protection other than substitution effect (-) Real estate Direct exposures Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non-trading book % of eligible capital (-) Debt instruments (-) Equity instruments (-) Derivatives (-) Off balance sheet items Total Of which: Non-trading book % of eligible capital Loan commitments Financial guarantees Other commitments Loan commitments Financial guarantees Other commitments (-) Loan commitments (-) Financial guarantees (-) Other commitments 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 COUNTER PARTY MATURITY BUCKETS OF THE EXPOSURE MATURITY BUCKETS OF THE EXPOSURE Code Up to 1 Month Greater than 1 month up to 2 Months Greater than 2 months up to 3 Months Greater than 3 months up to 4 Months Greater than 4 months up to 5 Months Greater than 5 months up to 6 Months Greater than 6 months up to 7 Months Greater than 7 months up to 8 Months Greater than 8 months up to 9 Months Greater than 9 months up to 10 Months Greater than 10 months up to 11 Months Greater than 11 months up to 12 Months Greater than 12 months up to 15 Months Greater than 15 months up to 18 Months Greater than 18 months up to 21 Months Greater than 21 months up to 24 Months Greater than 24 months up to 27 Months Greater than 27 months up to 30 Months Greater than 30 months up to 33 Months Greater than 33 months up to 36 Months Greater than 3 years up to 5 years Greater than 5 years up to 10 years Greater than 10 years Undefined maturity 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 COUNTERPARTY MATURITY BUCKETS OF THE EXPOSURE MATURITY BUCKETS OF THE EXPOSURE Code Group code Up to 1 Month Greater than 1 month up to 2 Months Greater than 2 months up to 3 Months Greater than 3 months up to 4 Months Greater than 4 months up to 5 Months Greater than 5 months up to 6 Months Greater than 6 months up to 7 Months Greater than 7 months up to 8 Months Greater than 8 months up to 9 Months Greater than 9 months up to 10 Months Greater than 10 months up to 11 Months Greater than 11 months up to 12 Months Greater than 12 months up to 15 Months Greater than 15 months up to 18 Months Greater than 18 months up to 21 Months Greater than 21 months up to 24 Months Greater than 24 months up to 27 Months Greater than 27 months up to 30 Months Greater than 30 months up to 33 Months Greater than 33 months up to 36 Months Greater than 3 years up to 5 years Greater than 5 years up to 10 years Greater than 10 years Undefined maturity 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260

ANNEX IX INSTRUCTIONS FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

PART I GENERAL INSTRUCTIONS

1.1.2.3.4.5.6.7.

Structure and conventions The reporting framework on large exposures (LE) shall consist of six templates which include the following information: The instructions include legal references as well as detailed information regarding the data that shall be reported in each template. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}. ABS(Value) means the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (–) preceding the label of an item, no positive figure shall be reported for that item.

1.1. a.

Large exposures limits

Identification of the counterparty (LE1 template)

Exposures in the non-trading and trading book (LE2 template)

Detail of the exposures to individual clients within groups of connected clients (LE3 template)

Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities (LE4 template)

Maturity 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 clients (LE5 template)

PART II TEMPLATE RELATED INSTRUCTIONS

In this Annex, instructions relating to the reporting of Large Exposures shall also apply to the reporting of significant exposures required by Articles 9 and 11, in accordance with the scope defined in those Articles.

1.1.2.3.4.5.6.7.

Scope and level of the LE reporting In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on a solo basis, institutions shall use the templates LE1, LE2 and LE3. In order to report information on large exposures to clients or groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. Every large exposure defined in accordance with Article 392 of Regulation (EU) No 575/2013 shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 of Regulation (EU) No 575/2013. In order to report information on the 20 largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State which are subject to Part three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (Amounts exempted) of template LE2 from the amount in column 210 (Total) of that same template is the amount that shall be used for determining these 20 largest exposures. In order to report information on the 10 largest exposures to institutions as well as on the 10 largest exposures to unregulated financial entities according to Article 394(2), points (a) to (d) of Regulation (EU) No 575/2013 on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. For the reporting of the maturity structure of these exposures according to point (e) of Article 394(2) of Regulation (EU) No 575/2013, the parent institutions in a Member State shall use templates LE4 and LE5. The exposure value calculated in column 210 (Total) of template LE2 is the amount that shall be used for determining these 20 largest exposures. The data on the large exposures and the relevant largest exposures to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure. Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.

2.8.9.10. Structure of the LE template The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure. The columns of the templates LE2 and LE3 shall present the following blocks of information: The columns of the templates LE4 and LE5 shall present the information regarding the maturity buckets to which the expected maturing amounts of the 10 largest exposures to institutions as well as the 10 largest exposures to unregulated financial entities shall be allocated.

2.8.9. a.

the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;

the effect of the exemptions and of the credit risk mitigation techniques;

the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of Regulation (EU) No 575/2013.

3.11.12.13.14.15.16.17.18.19.20.

Definitions for the purposes of the LE reporting Group of connected clients is defined in Article 4(39) of Regulation (EU) No 575/2013. Unregulated financial entities are defined in Article 142(5) of Regulation (EU) No 575/2013. Institutions shall include credit institutions and investment funds according to Article 4 of Regulation (EU) No 575/2013 and, for the purposes of this reporting, shall mean any private or public undertaking, including its branches, which has been authorised in a third country that applies prudential supervisory and regulatory requirements at least equivalent to those applied in the European Union. Exposures to Civil-law associations shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance to Article 389 of Regulation (EU) No 575/2013. Specifically, credit conversion factors shall not be applied to off balance sheet items. Exposures are defined in Article 389 of Regulation (EU) No 575/2013 and shall mean: The Netting agreements shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in paragraphs (1) to (3) of the Article 390 of Regulation (EU) No 575/2013. The exposure value of a derivative instrument listed in Annex II of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 6 or Part Three, Title II, Chapter 4. In accordance to Article 296 of Regulation (EU) No 575/2013, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as other commitments in the LE templates. The Value of an exposure shall be calculated according to Article 390 of Regulation (EU) No 575/2013. The effect of the full or partial application of exemptions and eligible CRM techniques for the purposes of calculating of exposures for the purpose of Article 395(1) is described in Articles 399 to 403 of Regulation (EU) No 575/2013. Reverse repurchase agreements which fall under the reporting for large exposures shall be reported accordingly with Article 402(3) of the Regulation (EU) No 575/2013. Provided that the criteria in Article 402(3) of the Regulation (EU) No 575/2013 are met the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.

3.11.12.13.14.15.16. a.

Any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 of Regulation (EU) No 575/2013, but excluding items which fall under effect of Article 390(6) points (a) to (d) of Regulation (EU) No 575/2013.

Indirect exposures are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 of Regulation (EU) No 575/2013.

The exposures to groups of connected clients shall be calculated in accordance with Article 390(5).

4. LE Limits template

4.

4.1. Instructions concerning specific rows Rows Legal references and instructions 010 020 030

4.1. Non institutions

Articles 395(1), 458(2) point (d)(ii), 458(10) and 459(b) of Regulation (EU) No 575/2013. The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25% of the eligible capital, which is reported in row 220 of template 4 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 of Regulation (EU) No 575/2013 or European delegated acts set in accordance with Article 459(b) of Regulation (EU) No 575/2013.

Institutions

Articles 395(1), 458(2) point (d)(ii), 458(10) and 459(b) of Regulation (EU) No 575/2013. The amount of the applicable limit for counterparties which are institutions shall be reported. According to Article 395(1) of Regulation (EU) No 575/2013, this amount shall be the following: These limits may be stricter in case of application of national measures in accordance with Article 396(6) or Article 458 of Regulation (EU) No 575/2013 or European delegated acts set in accordance with Articles 459(b) of Regulation (EU) No 575/2013.

If the 25% of the eligible capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of article 395(1) of Regulation (EU) No 575/2013), 25% of the eligible capital shall be reported.

In other case, EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third paragraph of article 395(1) of Regulation (EU) No 575/2013) shall be reported, unless the institution has determined a lower limit in accordance with the policies and procedures to address and control concentration risk, as permitted by the second subparagraph of Article 395(1) of Regulation (EU) No 575/2013.

Institutions in %

Articles 395(1) and 459(a) of Regulation (EU) No 575/2013. The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the eligible capital.

5. LE1 template: Identification of the counterparty

5.

5.1. Instructions concerning specific columns Column Legal references and instructions 010-070 010 020 030 040 050 060 070

5.1. Counterparty Identification:

Institutions shall report the identification of any counterparty for which information is being submitted. It shall cover all codes as submitted according to column 010 in templates LE2 to LE5. According to Article 394(1) point (a) of Regulation (EU) No 575/2013, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 of Regulation (EU) No 575/2013. According to Article 394(2) point (a) of Regulation (EU) No 575/2013, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or an unregulated financial entity).

Code

The code shall correspond to the code of the group whenever a group of connected clients exists. In any other case, the code shall correspond to the individual counterparty. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU. For a group of connected clients, the code that shall be reported shall be the code of the parent company. When the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. This code shall be used in a consistent way across time.

Name

The name shall correspond to the name of the group whenever a group of connected clients exists. In any other case, the name shall correspond to the individual counterparty. For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name.

LEI Code

The legal entity identifier code of the counterparty. For a group of connected clients, the legal identifier code that shall be reported shall be the code of the parent company. When the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. This code shall be used in a consistent way across time.

Residence of the counterparty

The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s Balance of Payments Vademecum). For groups of connected clients, no residence shall be reported.

Sector of the counterparty

One sector shall be allocated to every counterparty on the basis of FINREP economic sector classes: (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) households. For groups of connected clients, no sector shall be reported.

NACE code

For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans la Communauté européenne = Statistical Classification of Economic Activities of the EU) shall be used. This column shall apply only for the counterparties Other financial corporations and Non-financial corporations. NACE codes shall be used for Non-financial corporations with one level detail (e.g. F – Construction) and for Other financial corporations with a two level detail, which provides separate information on insurance activities (e.g. K65 - Insurance, reinsurance and pension funding, except compulsory social security). The Other financial corporations and Non-financial corporations economic sectors shall be classified on the basis of FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported.

Type of counterparty

Article 394(2) The type of the counterparty of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities shall be specified by using I for institutions or U for unregulated financial entities.

6. LE2 template: Exposures in the non-trading and trading book

6.

6.1. Instructions concerning specific columns Column Legal references and instructions 010 020 030 040-180 040 050 060-110 060 070 080 090-110 090 100 110 120-180 120 130 140 150-170 150 160 170 180 190 200 210-230 210 220 230 240-310 240-290 240 250 260 270-290 270 280 290 300 310 320 330-350 330 340 350

6.1. Code

See column 010 of template LE1.

Group or individual

The institution shall report 1 for the reporting of exposures to individual clients or 2 for the reporting of exposures to groups of connected clients.

Transactions where there is an exposure to underlying assets

Article 390(7) of Regulation (EU) No 575/2013 In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to Yes shall be reported; otherwise the equivalent to No shall be reported.

Original exposures

Articles 24, 389, 390 and 392 of Regulation (EU) No 575/2013. The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 of Regulation (EU) No 575/2013, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 of Regulation (EU) No 575/2013. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 of Regulation (EU) No 575/2013. Exposures deducted from own funds, which are not exposures according to Article 390(6) point (e), shall be included in these columns. These exposures shall be deducted in the column 200. Exposures, named in Article 379 (6) Point (a) to (d) shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items according to the Article 400 of Regulation (EU) No 575/2013. The exemptions shall be deducted for the purpose of Article 395(1) of Regulation (EU) No 575/2013 in column 320. Exposures from both non-trading and trading book shall be included. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement. (in addition see the introductory section).

Total original exposure

The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets.

Of which: defaulted

Article 178 of Regulation (EU) No 575/2013. The institution shall report the part of the total original exposure corresponding to defaulted exposures.

Direct exposure

Direct exposures shall mean the exposures on immediate borrower basis.

Debt instruments

ECB/2008/32 Annex 2 part 2, table, categories 2 and 3. Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as Loans of up to and including one year/over one year and up to and including five years/of over five years' original maturity, or as Securities other than shares, according to ECB BSI Regulation (ECB/2008/32). Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column.

Equity instruments

ECB/2008/32 Annex 2 part 2, table, categories 4 and 5. The instruments included in this column shall be those qualified as Shares and other equities or as MMF shares/units according to ECB BSI Regulation (ECB/2008/32).

Derivatives

Article 272(2) and Annex II of Regulation (EU) No 575/2013. The instruments that shall be reported in this column shall include derivatives listed in Annex II of Regulation (EU) No 575/2013 and long settlement transactions, as defined in Article 272(2) of Regulation (EU) No 575/2013. Credit derivatives that are subject to counterparty credit risk shall be included in this column.

Off balance sheet items

Annex I of Regulation (EU) No 575/2013. The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors.

Loan commitments

Annex I, points 1(c), 1(h), 2(b)(ii), 3(b)(i) and 4(a) of Regulation (EU) No 575/2013. Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument.

Financial guarantees

Annex I, points 1(a), 1(b) and 1(f) of Regulation (EU) No 575/2013 Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column derivatives shall be reported in this column.

Other commitments

Other commitments are the items in Annex I of the Regulation (EU) No 575/2013 that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.

Indirect exposures

Article 403 of Regulation (EU) No 575/2013. According to Article 403 of Regulation (EU) No 575/2013, a credit institution may use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the Direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the third party under Part Three, Title II, Chapter 2 of the Regulation (EU) No 575/2013. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of Eligible credit risk mitigation techniques. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of Indirect exposure assigned to the guarantor shall be reported under the column Debt instruments. Exposures arising from credit-linked notes shall also be reported in this block of columns, respecting to the Article 399 of Regulation (EU) No 575/2013.

Debt instruments

See column 060.

Equity instruments

See column 070.

Derivatives

See column 080.

Off balance sheet items

The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied.

Loan commitments

See column 090.

Financial guarantees

See column 100.

Other commitments

See column 110.

Additional exposures arising from transactions where there is an exposure to underlying assets

Article 390(7) of Regulation (EU) No 575/2013. Additional exposures that arise from transactions where there is an exposure to underlying assets.

(–) Value adjustments and provisions

Articles 34, 24, 110 and 111 of Regulation (EU) No 575/2013. Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation 1606/2002) that affect the valuation of exposures according to Article 24 and 110 of Regulation (EU) No 575/2013. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column.

(–) Exposures deducted from own funds

Article 390(6) Point (e) of Regulation (EU) No 575/2013 Exposures deducted from own funds, which shall be included in the different columns of Total original exposure, shall be reported.

Exposure value before application of exemptions and CRM

Article 394(1) point (b) of Regulation (EU) No 575/2013 Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, when applicable.

Total

The exposure value that shall be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of Regulation (EU) No 575/2013. This shall include the Original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from own funds.

Of which: Non-trading book

The amount of the non-trading book from the total exposure before exemptions and CRM.

% of eligible capital

Articles 4 (71) and 395 of Regulation (EU) No 575/2013. The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(71) of Regulation (EU) No 575/2013.

(–) Eligible credit risk mitigation (CRM) techniques

Articles 399 and 401 to 403 of Regulation (EU) No 575/2013. CRM techniques as defined in Article 4 (57) of Regulation (EU) No 575/2013. For the purposes of this reporting, the CRM techniques recognised in Part Three, Title II, Chapter 3 and 4 shall be used in accordance with the Articles 401 to 403 of Regulation (EU) No 575/2013. CRM techniques may have three different effects in the LE regime: Substitution effect; Funded credit protection other than substitution effect; and real estate treatment.

(–) Substitution effect of eligible credit risk mitigation techniques

Article 403 of Regulation (EU) No 575/2013. The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution decides to treat the exposure as incurred with the guarantor or the issuer of collateral.

(–) Debt instruments

See column 060.

(–) Equity instruments

See column 070.

(–) Derivatives

See column 080.

(–) Off balance sheet items

The value of these columns shall be without application of conversion factors.

(–) Loan commitments

See column 090.

(–) Financial guarantees

See column 100.

(–) Other commitments

See column 110.

(–) Funded credit protection other than substitution effect

Article 401 of Regulation (EU) No 575/2013. The institution shall report the amounts of funded credit protection, as defined in Article 4(58) of Regulation (EU) No 575/2013, that are deducted from the exposure value due to the application of Article 401 of Regulation (EU) No 575/2013.

(–) Real estate

Article 402 of Regulation (EU) No 575/2013. The institution shall report the amounts deducted from the exposure value due to the application of Article 402 of Regulation (EU) No 575/2013.

(–) Amounts exempted

Article 400 of Regulation (EU) No 575/2013. The institution shall report the amounts exempted from the LE regime.

Exposure value after application of exemptions and CRM

Article 394(1) point (d) of Regulation (EU) No 575/2013 The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1).

Total

This column shall include the amount that shall be taken into account in order to comply with the large exposures limit stated in Article 395.

Of which: Non-trading book

The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book.

% of eligible capital

The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the eligible capital of the institution, as defined in Article 4(71) of Regulation (EU) No 575/2013.

7. LE3 template: Details of the exposures to individual clients within groups of connected clients

7.

7.1. Instructions concerning specific columns Column Legal references and instructions 010-360 The institution shall report in the LE3 template the data of the individual clients belonging to the groups of connected clients included in the rows of LE2 template. 010 020 030 040 050-360 When financial instruments in LE2 template are provided to the whole group of connected clients they shall be allocated to the individual counterparties in LE3 template in accordance with the business criteria of the institution. The remaining instructions are the same as for LE2.

7.1. Code

See column 010 of template LE1.

Group code

The code shall be the code of the parent company of the group of connected clients. When the group of connected clients does not have a parent, the code to be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. This code shall be used in a consistent way across time. The actual composition of the code shall depend on the national reporting system unless a uniform codification is available at the EU level. When a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.

Transactions where there is an exposure to underlying assets

See column 030 of template LE2.

Type of connection

The type of connection between the individual entity and the group of connected clients shall be specified by using either:

a with the meaning of Article 4 (39) point a Regulation (EU) No 575/2013 (control); or

b with the meaning of Article 4 (39) point b Regulation (EU) No 575/2013 (interconnectedness).

8. LE 4 template: Maturity buckets of the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities

8.

8.1. Instructions concerning specific columns Column Legal references and instructions 010 020-250

8.1. Code

See column 010 of template LE1.

Maturity buckets of the exposure

Article 394(2) point (e) of Regulation (EU) No 575/2013 The institution shall report this information for the 10 largest exposures to institutions and the 10 largest exposures to unregulated financial entities. The maturity buckets are defined with a monthly interval up to one year, with a quarterly interval from one year up to three years and with larger intervals from three years onwards. For each exposure value before application of exemptions and CRM (column 210 of LE2 template), the expected amounts maturing shall be allocated to the respective bucket. Consequently, an exposure maybe spread across different columns. Instruments which do not have a fixed maturity, like equity, shall be included in the column undefined maturity. The expected maturity of the exposure shall be reported for both direct and indirect exposures. For direct exposures, when allocating expected amounts of equity instruments, debt instruments and derivatives into the different maturity buckets of this template, the instructions of the maturity ladder template of the additional metrics on liquidity shall be used (see consultation paper CP18 published on 23.05.2013). In the case of off-balance sheet items, the maturity of the underlying risk shall be used in the allocation of expected amounts to maturity buckets. More specifically, for forward deposits that means the maturity structure of the deposit; for financial guarantees, the maturity structure of the underlying financial asset; for undrawn facilities of loan commitments, the maturity structure of the loan; and for other commitments, the maturing structure of the commitment. In the case of indirect exposures, the allocation into maturity buckets shall be based on the maturity of the guaranteed operations which generate the direct exposure.

9. LE5 template: Maturity 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 clients

9.

9.1. Instructions concerning specific columns Column Legal references and instructions 010-260 The institution shall report in the LE5 template the data of the individual counterparties belonging to the groups of connected clients included in the rows of LE4 template. 010 020 030-260

9.1. Code

See column 010 of template LE1.

Group code

See column 020 of template LE3.

Maturity buckets of the exposures

See columns 020-250 of template LE4.

ANNEX X C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2) C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3) C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) C 44.00 - GENERAL INFORMATION (LR5) C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc) C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6) REPORTING ON LEVERAGE

LEVERAGE RATIO REPORTING TEMPLATES Template code Template code Name of the template Short name 45 C 45.00 Leverage ratio calculation LRCalc 40 C 40.00 Alternative treatment of the exposure measure LR1 41 C 41.00 On- and Off-Balance Sheet items - Additional breakdown of exposures LR2 42 C 42.00 Alternative definition of capital LR3 43 C 43.00 Breakdown of leverage ratio exposure measure components LR4 44 C 44.00 General information LR5 46 C 46.00 Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation LR6 Row Column 010 020 030 040 050 060 070 080 090 100 110 Accounting balance sheet value Accounting value assuming no netting or other CRM Value with netting rules (Derivatives) taking into account cash collateral Add-on amount SFT Add-on Mark-to market method (assuming no netting or CRM) (Derivatives) Add-on Mark-to market method (alternative) (Derivatives) Notional amount/ nominal value Notional amount (same reference name) Notional amount (same reference name and counterparty or CCP) Notional amount (same reference name and bought protection from CCP) Notional amount (same reference name and same or higher maturity) 010 Derivatives 020 Credit derivatives (protection sold) 030 Credit derivatives (protection sold), which are subject to close out clause 040 Credit derivatives (protection sold), which are not subject to close out clause 050 Credit derivatives (protection bought) 060 Financial derivatives 070 SFT covered by a master netting agreement 080 SFT not covered by a master netting agreement 090 Other assets 100 Low-risk off-balance sheet items under the RSA; of which: 110 Revolving retail exposures; of which 120 Unconditionally cancellable credit cards commitments 130 Non revolving unconditionally cancellable commitments 140 Medium/low risk off-balance sheet items under the RSA 150 Medium risk off-balance sheet items under the RSA 160 Full risk off-balance sheet items under the RSA 170 (memo item) Drawn amount of revolving retail exposures 180 (memo item) Drawn amounts on unconditionally cancellable credit cards commitments 190 (memo item) Drawn amounts on non revolving unconditionally cancellable commitments 200 (memo item) Derecognised fiduciary items according to Article 429(11) of the CRR 210 Cash collateral received in derivatives transactions 220 Receivables for cash collateral posted in derivatives transactions 230 Securities received in a SFT that are recognised as an asset 240 SFT cash conduit lending (cash receivables) Row Column 010 020 030 On- and off- balance sheet exposures (SA exposures) On- and off- balance sheet exposures (IRB exposures) Nominal value 010 Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight): 020 = 0% 030 > 0 and ≤ 12% 040 > 12 and ≤ 20% 050 > 20 and ≤ 50% 060 > 50 and ≤ 75% 070 > 75 and ≤ 100% 080 > 100 and ≤ 425% 090 > 425 and ≤ 1250% 100 Exposures in default 110 Low risk off-balance sheet items and off-balance sheet items attracting a 0% conversion factor under the solvency ratio (memo item) Row Column 010 010 Common Equity Tier 1 capital - fully phased-in definition 020 Common Equity Tier 1 capital - transitional definition 030 Total own funds - fully phased-in definition 040 Total own funds - transitional definition 050 Regulatory adjustments - CET1 - fully phased-in definition 060 Regulatory adjustments - CET1 - transitional definition 070 Regulatory adjustments - Total own funds - fully phased-in definition 080 Regulatory adjustments - Total own funds - transitional definition Row Off-balance sheet items, derivatives, SFTs and trading book Column 010 020 Leverage Ratio Exposure Value RWA 010 Off-balance sheet items; of which 020 Trade finance; of which: 030 Under official export credit insurance scheme 040 Derivatives and SFTs subject to a cross-product netting agreement 050 Derivatives not subject to a cross-product netting agreement 060 SFTs not subject to a cross-product netting agreement 070 Other assets belonging to the trading book Row Other non-trading book exposures Column 010 020 030 040 Leverage Ratio Exposure Value RWAs SA Exposures IRB Exposures SA Exposures IRB Exposures 080 Covered bonds 090 Exposures treated as sovereigns 100 Central governments and central banks 110 Regional governments and local authorities treated as sovereigns 120 MDBs and International organisations treated as sovereigns 130 PSEs treated as sovereigns 140 Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns 150 Regional governments and local authorities NOT treated as sovereigns 160 MDBs NOT treated as sovereigns 170 PSEs NOT treated as sovereigns 180 Institutions 190 Secured by mortgages of immovable properties; of which 200 Secured by mortgages of residential properties 210 Retail exposures 220 Retail SME 230 Corporate 240 Financial 250 Non-financial 260 SME exposures 270 Corporate exposures other than SME 280 Exposures in default 290 Other exposures (eg equity and other non-credit obligation assets); of which: 300 Securitisation exposures 310 Trade finance (Memo item); of which 320 Under official export credit insurance scheme Row Column 010 010 Institutions company structure 020 Derivatives treatment 030 Accounting framework 040 Institution type 050 Reporting calculation method 060 Reporting level Column LR Exposure: Month-1-value LR Exposure: Month-2-value LR Exposure: Month-3-value Row Exposure Values 010 020 030 010 SFT exposure according to CRR 220 020 SFT exposure according to CRR 222 030 Derivatives: Market value 040 Derivatives: Add-on Mark-to-Market Method 050 Derivatives: Original Exposure Method 060 Undrawn credit facilities, which may be cancelled unconditionally at any time without notice 070 Medium/ low risk trade related off-balance sheet items 080 Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items 090 Other off-balance sheet items 100 Other assets Row Capital and regulatory adjustments 110 Tier 1 capital - fully phased-in definition 120 Tier 1 capital - transitional definition 130 Amount to be added due to CRR 429 (4), 2nd subparagraph 140 Amount to be added due to CRR 429 (4), 2nd subparagraph - transitional definition 150 Regulatory adjustments - Tier 1 - fully phased-in definition; of which 160 Regulatory adjustments regarding own credit risk Column 170 Regulatory adjustments - Tier 1 - transitional definition 040 Row Leverage Ratio Leverage ratio calculated as the simple arithmetic mean of the monthly leverage ratio over a quarter 180 Leverage Ratio - using a fully phased-in definition of Tier 1 190 Leverage Ratio - using a transitional definition of Tier 1 Row Column 010 020 030 Financial sector entities Securitisation entitites Commercial entities 010 SFT covered by a master netting agreement accounting value assuming no netting or other CRM 020 SFT covered by a master netting agreement add-on 030 SFT not covered by a master netting agreement accounting value assuming no netting or other CRM 040 SFT not covered by a master netting agreement add-on 050 Derivatives: Market value 060 Derivatives: Add-on Mark-to-Market Method 070 Derivatives: Original Exposure Method 080 Undrawn credit facilities, which may be cancelled unconditionally at any time without notice 090 Medium/ low risk trade related off-balance sheet items 100 Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items 110 Other off-balance sheet items 120 Other assets 130 (memo item) Total value of investments in the entities 140 (memo item) Total accounting assets of the entities 150 (memo item) Total accounting equity of the entities 160 (memo item) Inclusion factor 170 (memo item) Accounting assets of the entities that are not considered in fields {LR6;010;3} to (LR6;120;3}

ANNEX XI REPORTING ON LEVERAGE

PART I GENERAL INSTRUCTIONS

1. Template labelling and other conventions

1.

1.1.1.2.3. Template labelling This Annex contains additional instructions for the Leverage Ratio (hereinafter LR) templates included in Annex X of this Standard. Overall, the framework consists of seven templates: For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

Leverage Ratio Calculation (LRCalc): Leverage ratio calculation

Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure

Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures

Leverage Ratio Template 3 (LR3): Alternative definition of capital

Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components

Leverage Ratio Template 5 (LR5): General information

Leverage Ratio Template 6 (LR6): Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation.

1.2.4.5.6.7. Numbering convention The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and fields of the templates. These numerical codes are extensively used in the validation rules. The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to express that the validation is done for the whole row or column. In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}. For the purpose of the reporting on leverage, of which refers to an item that is a subset of a higher level exposure category whereas memo item refers to a separate item that is not a subset of an exposure class. Reporting of both types of fields is mandatory unless otherwise specified.

1.3.8. Sign convention All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;160;1}, {LRCalc;160;2}, {LRCalc;160;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, LR3;020;1}, {LR3;030;1}, {LR3;040;1}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and LR3;080;1} which can either take positive or negative values. Thereby note that, apart from extreme cases, {LRCalc;150;1}, {LRCalc;150;2}, {LRCalc;150;3}, {LRCalc;170;1}, {LRCalc;170;2}, {LRCalc;170;3}, {LR3;050;1}, {LR3;060;1}, {LR3;070;1} and {LR3;080;1} only take negative values. Also note that, apart from extreme cases, {LRCalc;110;1}, {LRCalc;110;2}, {LRCalc;110;3}, {LRCalc;120;1}, {LRCalc;120;2}, {LRCalc;120;3}, {LRCalc;180;1}, {LRCalc;180;2}, {LRCalc;180;3}, {LRCalc;190;1}, {LRCalc;190;2}, {LRCalc;190;3}, {LR3;010;1}, {LR3;020;1}, {LR3;030;1}, LR3;040;1} only take positive values.

PART II TEMPLATE RELATED INSTRUCTIONS

1.1.2.3. Structure and frequency The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities according to Article 430(1), 1st subparagraph, of the CRR, while Part B comprises all the data items that institutions shall submit according to Article 430(1), 2nd subparagraph of the CRR (ie for the purposes of the report referred to in Article 511 of the CRR). In Part A, institutions shall report end-of-month values unless the derogation specified in Article 499(3) of the CRR applies. In Part B, institutions shall report end-of-quarter values. When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(11) of the CRR.

2.4.5.6.7.8.9.10.11.12.13.

Formulas for leverage ratio calculation The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with fields from Part A. LeverageRatiofullyphasedindefinitionLRmonth1PILRmonth2PILRmonth3PI3 LR month 1 (PI) = {LRCalc;110;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;130;1} + {LRCalc;150;1} — {LRCalc;160;1})] LR month 2 (PI) = {LRCalc;110;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;130; 2} + {LRCalc;150; 2} — {LRCalc;160; 2})] LR month 3 (PI) = {LRCalc;110;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}] LeverageRatiotransitionaldefinitionLRmonth1TLRmonth2TLRmonth3T3 LR month 1 (T) = {LRCalc;120;1}/[({LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;140;1} + {LRCalc;170;1} — {LRCalc;160;1})] LR month 2 (T) = {LRCalc;120;2}/[({LRCalc;010; 2} + {LRCalc;020; 2} + {LRCalc;030; 2} + {LRCalc;040; 2} + {LRCalc;050; 2} + {LRCalc;060; 2} + {LRCalc;070;2} + {LRCalc;080;2} + {LRCalc;090;2} + {LRCalc;100;2} + {LRCalc;140; 2} + {LRCalc;170; 2} — {LRCalc;160; 2})] LR month 3 (T) = {LRCalc;120;3}/[{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;140;3} + {LRCalc;170;3} — {LRCalc;160;3}] When the derogation specified in Article 499 (3) of the CRR applies, the leverage ratio — fully phased-in definition is equal to LR month 3 (PI) and the leverage ratio — transitional definition is equal to LR month 3 (T).

3.14.15.16.17.18.19.20.21.22.23.

Materiality thresholds for derivatives In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows: Derivatives shareLRCalc;030;3LRCalc;040;3LRCalc;050;3Totalexposuremeasure Where total exposure measure is equal to: [{LRCalc;010;3} + {LRCalc;020;3} + {LRCalc;030;3} + {LRCalc;040;3} + {LRCalc;050;3} + {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc;080;3} + {LRCalc;090;3} + {LRCalc;100;3} + {LRCalc;130;3} + {LRCalc;150;3} — {LRCalc;160;3}] Total notional value of derivatives = {LR1; 010; 7} Credit derivatives volume = {LR1;020;7} + {LR1;050;7} Institutions are required to report the fields referred to in paragraph 22 in the next reporting period, if one of the following conditions is met: Institutions for which the total notional value of derivatives as defined in paragraph 17 exceeds 10 billion € must report the fields referred to in paragraph 22, even though their derivatives share does not fulfil the conditions described in paragraph 19. Institutions are required to report the fields referred to in paragraph 23 if one of the following conditions is met: {LR1;010;1},{LR1;010;2},{LR1;010;3},{LR1;010;5};{LR1;010;6},{LR1;010;7},{LR1;020;1},{LR1;020;2},{LR1;020;5},{{LR1;020;7},{LR1;030;5},{LR1;030;7},{LR1;040;5},{LR1;040;7},{LR1;050;1},{LR1;050;2},{LR1;050;5}, },{LR1;050;7}, {LR1;060;1},{LR1;060;2},{LR1;060;5},{LR1;060;7}. {LR1;050;8}, {LR1;050;9},{LR1;050;10},{LR1;050;11}.

The derivatives share referred to in paragraph 15 is more than 1.5 % on two consecutive reporting reference dates; or

The derivatives share referred to in paragraph 15 exceeds 2.0 %.

The credit derivatives volume referred to in paragraph 18 is more than 300 million € on two consecutive reporting reference dates; or

The credit derivatives volume referred to in paragraph 18 exceeds 500 million €.

4.24.25.26. LRCalc: Leverage ratio calculation This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Article 429 of the CRR. Since the leverage ratio shall be calculated as the simple arithmetic mean of the monthly leverage ratios over a quarter, institutions shall report the components at an end-of-month basis unless the derogation specified in Article 499(3) of the CRR applies. If the latter is the case, institutions shall only report values in column 3 of LRCalc. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the Month-1-value shall be the value at the last calendar day of the first month of the respective quarter, the Month-2-value shall be the value at the last calendar day of the second month of the respective quarter and the Month-3-value shall be the value at the last calendar day of the third month of the respective quarter. Legal references and instructions Row and column Exposure Values {010; *} {020; *} {030; *} {040; *} {050; *} {060; *} {070; *} {080; *} {090; *} {100; *} Row and column Capital and regulatory adjustments {110; *} {120; *} {130; *} {140; *} {150; *} {160; *} {170; *} Row and column Leverage Ratio {180; 1} {180; 2} {180; 3} {180; 4} {190; 1} {190; 2} {190; 3} {190; 4}

4.24.25.26. SFTs exposure according to CRR 220

Article 429(9) of the CRR The exposure for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 220 (1) to (3). Institutions shall not consider in this field transactions for which the leverage ratio exposure value is determined in accordance with the method defined in Article 222 of CRR. Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}.

SFTs exposure according to CRR 222

Article 429(9) of the CRR The exposure value for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 222. Institutions shall not consider in this field transactions for which the leverage ratio exposure value is determined in accordance with the method defined in Article 220 of CRR. Institutions shall not include in this field cash received or any security or commodity that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}.

Derivatives: Market value

Articles 274, 295, 296, 297, 298 and 429 of the CRR. The current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives. As determined by Article 429(6) of the CRR, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR. Institutions shall consider all credit derivatives, not solely those in the trading book. Institutions shall not include in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR.

Derivatives: Add-on Mark-to-Market Method

Articles 274, 295, 296, 297, 298, 299(2), 429 of the CRR This field provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives calculated in accordance with the Mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules according to Article 429(6) of the CRR. In determining the exposure value of those contracts, institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR. In accordance with Article 429(8) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2) of the CRR to all their credit derivatives, not just those assigned to the trading book. Institutions shall not include in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR.

Derivatives: Original Exposure Method

Article 429(7) of the CRR This field provides the exposure measure of derivatives calculated according to the Original Exposure Method set out in Article 275 of the CRR. Institutions that do not use the Original Exposure Method shall not report this field. Institutions shall not consider in this field contracts measured by application of the Mark-to-market method in accordance with Articles 429(6) and 274 of the CRR.

Undrawn credit facilities which may be cancelled unconditionally at any time without notice

Article 429(10)(a) of the CRR The exposure value, in accordance with 429(10)(a) of the CRR, of undrawn credit facilities, which may be cancelled unconditionally at any time without notice, referred to in the points 4(a) and (b)of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.

Medium/ low risk trade related off-balance sheet items

Article 429(10)(b) of the CRR The exposure value, in accordance with 429(10)(b) of the CRR, of medium/low risk trade related off-balance-sheet items referred to in point 3(a) of Annex I of the CRR and to officially supported export finance related off balance sheet items referred to in point 3(b)(i) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.

Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items

Article 429(10)(c) of the CRR The exposure value, in accordance with 429(10)(c) of the CRR, of medium risk trade related off-balance sheet items referred to in points 2(a) and 2(b)(i) of Annex I of the CRR and to officially supported export finance related off balance sheet items referred to in point 2(b)(ii) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.

Other off-balance sheet items

Article 429(10)(d) of the CRR The exposure value, in accordance with 429(10)(d) of the CRR, of all other off-balance sheet items listed in Annex I of the CRR not reported in rows 60 to 80, (as a reminder the exposure value here shall be 100 % of the nominal value). Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.

Other assets

Article 429 of the CRR All assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. Institutions shall base valuation on the principles set out in Article 429 (5) of the CRR. Institutions shall include in this field cash received or any security that is provided to a counterparty via repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met).

Tier 1 capital — fully phased-in definition

Articles 429 (3) and 499 (1) of the CRR This is the amount of Tier 1 capital as calculated according to article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

capital — transitional definition

Articles 429 (3) and 499 (1) of the CRR This is the amount of Tier 1 capital as calculated according to article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

Amount to be added due to CRR 429 (4), 2nd subparagraph

Article 429 (4), subparagraph 2, of the CRR The exposure value of significant investments in financial sector entities determined in accordance with Article 429 (4), subparagraph 2, of the CRR. The exposure value reported shall be reduced by the total amount of all direct, indirect and synthetic holdings of the institution of the Common Equity Tier 1 instruments of the financial sector entities that is not deducted pursuant to Article 47 and point (b) of Article 48(1) of the CRR. Institutions shall not take into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR.

Amount to be added due to CRR 429 (4), 2nd subparagraph — transitional definition

Article 429 (4), subparagraph 2, of the CRR The exposure value of significant investments in financial sector entities determined in accordance with Article 429 (4), subparagraph 2. The exposure value reported shall be reduced by the total amount of all direct, indirect and synthetic holdings of the institution of the Common Equity Tier 1 instruments of the financial sector entities that is not deducted pursuant to Article 47 and point (b) of Article 48(1) of the CRR. Institutions shall take into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR.

Regulatory adjustments — Tier 1 — fully phased-in definition

Article 429 (4), subparagraph 1, of the CRR It includes all the adjustments required by Articles 32 to 35, the deductions pursuant to Articles 36 to 47, as well as the deductions pursuant to Articles 56 to 60, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows 010, 020, 030 and 100. Adjustments that increase the own funds will be reported as a positive figure. On the contrary, any amount that reduces the total own funds will be reported as a negative figure.

Regulatory adjustments regarding own credit risk

Article 33 (1)(b) of the CRR The amount of regulatory value adjustments from own funds pursuant to CRR article 33 (1)(b) Amount to be deducted from (or added to if it corresponds to a loss) Common Equity Tier 1 capital. If gain report as negative; if loss report as positive value.

Regulatory adjustments — Tier 1 — transitional definition

Article 429 (4), subparagraph 1, and Article 499 (1)(b) of the CRR It includes all the adjustments required by Articles 32 to 35, the deductions pursuant to Articles 36 to 47, as well as the deductions pursuant to Articles 56 to 60, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows 010, 020, 030 and 100. Adjustments that increase the own funds will be reported as a positive figure. On the contrary, any amount that reduces the total own funds will be reported as a negative figure.

Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 1

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 6 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.

Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 2

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 7 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.

Leverage Ratio — using a fully phased-in definition of Tier 1 — Month 3

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 8 of Part II of this Annex.

Leverage Ratio — using a fully phased-in definition of Tier 1 — Simple arithmetic mean of the monthly leverage ratio over a quarter

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.

Leverage Ratio — using a transitional definition of Tier 1 — Month 1

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 10 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.

Leverage Ratio — using a transitional definition of Tier 1 — Month 2

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 11 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.

Leverage Ratio — using a transitional definition of Tier 1 — Month 3

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 12 of Part II of this Annex.

Leverage Ratio — using a transitional definition of Tier 1 — Simple arithmetic mean of the monthly leverage ratio over a quarter

Articles 429 (2) and 499 (1) of the CRR This is the leverage ratio as calculated under paragraph 9 of Part II of this Annex. When the derogation specified in Article 499 (3) of the CRR applies, institutions do not need to populate this field.

5.27.28. LR1 on alternative treatment of the Exposure Measure This part of the reporting collects data on alternative treatment of derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, and off-balance sheet items. Institutions shall determine the accounting balance sheet values in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. Accounting value assuming not netting or other CRM refers to the accounting balance sheet value not taking into account any effects of netting or risk mitigation. Row and column Legal references and instructions {010; 1} {010; 2} {010; 3} {010; 5} {010; 6} {010; 7} {020; 1} {020; 2} {020; 5} {020; 7} {030; 5} {030; 7} {040; 5} {040; 7} {050; 1} {050; 2} {050; 5} {050; 7} {050; 8} {050; 9} {050; 10} {050; 11} {060; 1} {060; 2} {060; 5} {060; 7} {070; 1} {070; 2} {070; 4} {080; 1} {080; 2} {080; 4} {090; 1} {090; 2} {100; 7} {110; 7} {120; 7} {130; 7} {140; 7} {150; 7} {160; 7} {170; 7} {180; 7} {190; 7} {200; 2} {210; 2} {220; 2} {230; 2} {240; 2}

5.27.28. Derivatives — Accounting balance sheet value

This is the sum of fields {020;1}, {050;1} and {060;1}

Derivatives — Accounting value assuming no netting or other CRM

This is the sum of fields {020;2}, {050; 2} and {060; 2}

Derivatives — Value with netting rules taking into account cash collateral

Articles 274, 295, 296, 297, 298 of the CRR. The current replacement cost as specified in Article 274(1) of contracts listed in Annex II of the CRR and credit derivatives. Institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of the CRR. Institutions shall apply cash collateral received for daily margining under a qualifying netting agreement to reduce the current replacement cost. Institutions shall not apply other collateral received or initial margin to reduce the current replacement cost. For the purpose of this field, cash is defined as the total amount of cash including coins and banknotes/currency and the total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. Institutions shall not consider cash on deposit with other institutions. Institutions shall consider all credit derivatives, not solely those in the trading book. Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with 275 of the CRR.

Derivatives — Add-on — Mark-to-market Method — Assuming no netting or CRM

This is the sum of fields {020;5}, {050;5} and {060;5}

Derivatives — Add-on — Mark-to-market method — alternative

Articles 274, 295, 296, 297, 298, 299(2) of CRR This field provides for the potential future exposure of contracts listed in Annex II of the CRR and credit derivatives calculated in accordance with the Mark-to-market Method (Article 274(2) of CRR for contracts listed in Annex II of CRR, Article 299(2) of CRR for credit derivatives). In determining the exposure value of those contracts institutions shall take into account the effects of contracts for novation and other netting agreements, except contractual cross-product netting agreements, in accordance with Article 295 of CRR. When determining the potential exposure value for credit derivatives institutions shall disregard the following provision of Article 299(2) CRR: In the case of an institution whose exposure arising from a credit default swap represents a long position in the underlying, the percentage for potential future credit exposure may be 0 %, unless the credit default swap is subject to close-out upon the insolvency of the entity whose exposure arising from the swap represents a short position in the underlying, even though the underlying has not defaulted. Therefore, for all sold credit default swaps institutions shall calculate the add-on at 5 % or 10 % depending on the nature (qualifying or not-qualifying) of the reference obligation. Institutions shall consider all credit derivatives, not just those assigned to the trading book. Institutions shall not consider in this field contracts measured by application of the Original Exposure Method in accordance with Articles 429(7) and 275 of the CRR.

Derivatives — notional amount

This is the sum of fields {020;7}, {050;7} and {060;7}

Credit derivatives (protection sold) — Accounting balance sheet value

Credit derivatives (protection sold) — Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).

Credit derivatives (protection sold) — Add-on — Mark-to-market Method — Assuming no netting or CRM

This is the sum of fields {030;5} and {040;5}

Credit derivatives (protection sold) — notional amount

This is the sum of fields {030;7} and {040;7}

Credit derivatives (protection sold) subject to close-out clause — Add-on — Mark-to-market Method — Assuming no netting or CRM

Article 299(2) of the CRR This field provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause assuming no netting or credit risk mitigation. Institutions shall not include in this field the add-on for credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. Institutions shall instead include this in field {LR1;040;5}. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.

Credit derivatives (protection sold) subject to close-out clause — notional amount

This field provides the notional amount of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.

Credit derivatives (protection sold) not subject to close-out clause — Add-on — Mark-to-market Method — Assuming no netting or CRM

Article 299(2) of the CRR This field provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to close-out clause assuming no netting or credit risk mitigation. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book

Credit derivatives (protection sold) not subject to close-out clause — Notional amount

This field provides the notional amount of credit derivatives where the institution is selling credit protection to a counterparty not subject to close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book

Credit derivatives (protection bought): Accounting balance sheet value

Credit derivatives (protection bought): Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Institutions shall consider all credit derivatives, not just those assigned to the trading book

Credit derivatives (protection bought) — Add-on — Mark-to-market Method — Assuming no netting or CRM

Article 299(2) of the CRR This field provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or credit risk mitigation. Institutions shall consider all credit derivatives, not just those assigned to the trading book

Credit derivatives (protection bought) — Notional amount

This field provides the notional amount of credit derivatives where the institution is buying credit protection from a counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book

Notional amount credit derivatives (protection bought, same reference name):

The notional amount of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution. For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection bought which are considered in this field must not exceed the amounts reported in {020; 7} and {050; 7}.

Notional amount credit derivatives (protection bought, same reference name and counterparty or CCP):

The notional amount of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the institution and undertaken either with the same counterparty under a netting agreement eligible under Article 295 of the CRR or with an authorised central counterparty as defined under Regulation 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories. For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name and counterparty, the notional amounts of credit protection bought which are considered in this field must not exceed the amount reported in {050; 8}.

Notional amount credit derivatives (protection bought, same reference name and bought protection from CCP):

The sum of notional amounts of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the institution and undertaken with an authorised central counterparty as defined under Regulation 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories. For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities is considered the same if this protection is is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection bought which are considered in this field must not exceed the amount reported in {050; 9}.

Notional amount credit derivatives (protection bought, same reference name and same or higher maturity):

The notional amount of credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the institution and where the maturity of this credit protection is equal to or greater than the maturity of the sold protection. For the purpose of reporting this field value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection bought which are considered in this field must not exceed the amount reported in {050; 8}.

Financial derivatives: Accounting balance sheet value

Financial derivatives: Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).

Financial Derivatives — Add-on — Mark-to-market Method — Assuming no netting or CRM

Article 274 of the CRR This field provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or credit risk mitigation.

Financial Derivatives — Notional amount

This field provides the notional amount of contracts listed in Annex II of the CRR.

Securities financing transactions covered by a master netting agreement: Accounting balance sheet value

Articles 4(1)(77) and 206 of the CRR The accounting balance sheet value of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206. Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 1}.

Securities financing transactions covered by a master netting agreement: Accounting value assuming no netting or other CRM

Articles 4(1)(77) and 206 of the CRR The accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are covered by a master netting agreement eligible under Article 206 where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries. Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 2}.

Securities financing transactions covered by a master netting agreement: Add-on (SFT)

Articles 206 of the CRR For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206, institutions shall form netting sets. For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formula CCEmaxΣi Ei Σi Ci; 0 Where i each transaction included in the netting set Ei for transaction i, the value Ei as defined in Article 220, paragraph 3. Ci for transaction i, the value Ci as defined in Article 220, paragraph 3 Institutions shall aggregate the outcome of this formula for all netting sets and report the result in this field.

Securities financing transactions not covered by a master netting agreement: Accounting balance sheet value

Securities financing transactions not covered by a master netting agreement: Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions that are not covered by a master netting agreement eligible under Article 206 where the contracts are recognised as assets on the balance sheet assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries. Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in field {090, 2}.

Securities financing transactions not covered by a master netting agreement: Add-on (SFT)

Articles 206 of the CRR For repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet that are not covered by a master netting agreement eligible under Article 206, institutions shall form sets that consist of all assets included in a transaction (ie each SFT transaction is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) according to the formula CCE = max {(E – C); 0} Where E , the value Ei as defined in Article 220, paragraph 3. C , the value Ci as defined in Article 220, paragraph 3 Institutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this field.

Other assets: Accounting balance sheet value

Other assets: Accounting value assuming no netting or other CRM

Article 4(1)(77) of the CRR The accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).

Low risk off-balance sheet items in the RSA; of which

Article 111 of the CRR This field provides the nominal value of off-balance sheet items that would be assigned a 0 % credit conversion factor under the standardised approach to credit risk.

Revolving retail exposures; of which

Articles 111 and 154(4) of the CRR This field provides the nominal value of off-balance sheet qualifying revolving retail exposures that meet the conditions set in points (a) to (c) of Article 154(4) of the CRR. This covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 166(8)(a) of the CRR, and are in total limited to EUR 100000 per obligor.

Unconditionally cancellable credit cards commitments

Articles 111 and 154(4) of the CRR It provides the nominal value of credit cards commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) that would receive a 0 % credit conversion factor under the standardised approach to credit risk. Institutions shall not include in this field credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC.

Non revolving unconditionally cancellable commitments

Articles 111 and 154(4) of the CRR It provides the nominal value of other commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) and that would receive a 0 % credit conversion factor under the standardised approach to credit risk. Institutions shall not include in this field credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC.

Medium/low risk off-balance sheet items under the RSA

Article 111 of the CRR This field provides the nominal value of off-balance sheet items that would be assigned a 20 % credit conversion factor under the standardised approach to credit risk.

Medium risk off-balance sheet items under the RSA

Article 111 of the CRR This field provides the nominal value of off-balance sheet items that would be assigned a 50 % credit conversion factor under the standardised approach to credit risk.

Full risk off-balance sheet items under the RSA

Article 111 of the CRR This field provides the nominal value of off-balance sheet items that would be assigned a 100 % credit conversion factor under the standardised approach to credit risk. Institutions shall not consider in this field items referred to in paragraphs 6, 7, 8 and 9 of Article 429 of the CRR.

(Memo items) Drawn amounts on revolving retail exposures

Article 154(4) of the CRR This field provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures.

(Memo item) Drawn amounts on unconditionally cancellable credit card commitments

Articles 111 and 154(4) of the CRR This field provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments.

(Memo items) Drawn amounts on non revolving unconditionally cancellable commitments

Articles 111 and 154(4) of the CRR This field provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments.

(Memo item) Derecognised fiduciary items according to Article 429(11) of the CRR

Article 429(11) of the CRR. The accounting balance sheet value under the applicable accounting framework of derecognised fiduciary items according to Article 429(11) of the CRR assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).

Cash collateral received in derivatives transactions

The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). For the purpose of this field, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this field.

Receivables for cash collateral posted in derivatives transactions

The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so must reverse out the netting and report the net cash receivable.

Securities received in a SFT that are recognised as an asset

The accounting balance sheet value under the applicable accounting framework of securities received in a repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction that are recognised as an asset under the applicable accounting framework assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).

SFT cash conduit lending (cash receivables)

The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). For the purpose of this field, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this field cash on deposit with other institutions. A CCLT is defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with the following conditions:

(a) both of the individual transactions which comprise the qualifying CCLT is effected on the same trade date, or for international transactions adjacent business days.;

(b) where its comprising transactions do not specify a maturity, the institution has the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(c) where its comprising transactions specify a maturity, the CCLT does not give rise to maturity mismatches for the institution; the institution has the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; and

(d) it does not give rise to any other incremental exposures.

6.29.30.31. LR2 On- and off-balance sheet items — additional breakdown of exposures Panel LR2 provides information on additional breakdown items of all on and off balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is according to the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the standardised and the IRB approach. For exposures supported by credit risk mitigation techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the internal ratings-based approach for credit risk, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the internal ratings-based approach, exposures classified as in default shall be excluded from rows 020 to 090 and included in row 100. Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1250 % risk weight. Row Legal references and instructions 010 020 030 040 050 060 070 080 090 100 110 Column Legal references and instructions 1 2 3

6.29.30.31. Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight)

This is the sum of rows from 020 to 100.

= 0 % Exposures with a 0 % risk weight

> 0 % and ≤ 12 %

Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.

> 12 % and ≤ 20 %

Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.

> 20 % and ≤ 50 %

Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.

> 50 % and ≤ 75 %

Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.

> 75 % and ≤ 100 %

Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.

> 100 % and ≤ 425 %

Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.

> 425 % and ≤ 1250 %

Exposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1250 %.

Exposures in default

Under the SA approach, exposures falling under Article 112 (j) of the CRR Under the IRB approach, all exposures with a PD of 100 % are default exposures.

Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio (memo item)

Low risk off-balance sheet items according to Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor according to Article 166 of the CRR.

On and off-balance sheet exposures (SA exposures)

On- and off-balance sheet exposure values after taking into account value adjustments, all credit risk mitigants and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR.

On and off-balance sheet exposures (IRB exposures)

On- and off balance sheet exposures values in accordance with Article 166 of the CRR and Article 230 (1) sentence 2 of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. For off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166 (8) to (10) of the CRR.

Nominal amount

Exposure values of off-balance sheet items as defined in Article 111 and 166 of the CRR without the application of conversion factors.

7.32. LR3 Alternative definition of capital Template LR3 provides with the capital measures needed for the review provided for in Article 511 of the CRR. Row and column Legal references and instructions {010; 1} {020; 1} {030; 1} {040; 1} {050;1} {060; 1} {070; 1} {080, 1}

7.32. Common Equity Tier One — fully phased-in definition

Article 50 of the CRR This is the amount of capital as calculated under Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

Common Equity Tier One — transitional definition

Article 50 of the CRR This is the amount of capital as calculated under Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

Total own funds– fully phased-in definition

Article 72 of the CRR This is the amount of capital as referred to in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

Total own funds — transitional definition

Article 72 of the CRR This is the amount of capital as referred to in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.

Regulatory adjustments — CET1 — fully phased-in definition

It includes the amount of regulatory adjustments from CET1 as reported in Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

Regulatory adjustments — CET1 — transitional definition

It includes the amount of regulatory adjustments from CET1 as reported in Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

Regulatory adjustments — Total own funds — fully phased-in definition

It includes the adjustments required by Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, the deductions pursuant to Articles 56 to 60, as well as the deductions referred to in Articles 66 to 70, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

Regulatory adjustments — Total own funds — transitional definition

It includes the adjustments required by Articles 32 to 35 of the CRR, the deductions pursuant to Articles 36 to 47, the deductions pursuant to Articles 56 to 60, as well as the deductions referred to in Articles 66 to 70, taking into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in fields {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3} and {LRCalc;100;3}.

8.33.34. Off-balance sheet items; of which

The leverage ratio exposure value calculated as the sum of {LRCalc;060;3} + {LRCalc;070;3} + {LRCalc; 80;3} + {LRCalc;90;3}

The risk-weighted exposure amount of off-balance sheet items — excluding repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions, margin lending transactions, and derivatives — calculated in accordance with the Standardised Approach and the Internal Ratings Based Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2, Title II, Part Three of the CRR. For exposures under the Internal Ratings Based Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR.

Trade Finance; of which

The leverage ratio exposure value of off-balance sheet items related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions.

Under official export credit insurance scheme

The leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

The risk-weighted exposure amount of off-balance sheet items — excluding repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, and derivatives — related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4 Standard, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Derivatives and SFTs subject to a cross-product netting agreement

The leverage ratio exposure value of derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated in {LRCalc;010;3}, {LRCalc;020;3}, {LRCalc;030;3}, {LRCalc;040;3} and {LRCalc;050;3} if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II, Part Three of the CRR of derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

Derivatives not subject to a cross-product netting agreement

The leverage ratio exposure value of derivatives as calculated in {LRCalc;030;3}, {LRCalc;040;3} and {LRCalc;050;3} if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives and repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated under Title II, Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

SFTs not subject to a cross-product netting agreement

The leverage ratio exposure value of exposures of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated in {LRCalc;010;3,} and {LRCalc;020;3,} if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

The risk-weighted exposure amounts to credit and counterparty credit risk of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions, as calculated under Title II, Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.

Other assets belonging to the trading book

The leverage ratio exposure value of items reported in field {LRCalc;100;3} excluding non-trading book items.

Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR

Covered bonds

The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR. SA exposures

The leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 161(1)(d) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR. SA exposures

The risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

Exposures treated as sovereigns

This is the sum of fields from {100,1} to {130,1}.

This is the sum of fields from {100,2} to {130,2}.

This is the sum of fields from {100,3} to {130,3}.

This is the sum of fields from {100,4} to {130,4}.

Central governments and central banks

The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. SA exposures

The leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR. SA exposures

The risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

Regional governments and local authorities treated as sovereigns

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR. SA exposures

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR. IRB exposures., which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR. SA exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

MDBs and international organisations treated as sovereigns

The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR. SA exposures

The leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 147 (3) (b) and (c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations and that fall under Articles 117(2) and 118 of the CRR. SA exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 147 (3) (b) and (c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

PSEs treated as sovereigns

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR IRB exposures, which institutions shall report net of defaulted exposures

Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns

This is the sum of fields from {150,1} to {170,1}

This is the sum of fields from {150,2} to {170,2}

This is the sum of fields from {150,3} to {170,3}

This is the sum of fields from {150,4} to {170,4}

Regional governments and local authorities NOT treated as sovereigns

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR. SA exposures.

The leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR. SA exposures

The risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

MDBs NOT treated as sovereigns

The leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. SA exposures.

The leverage ratio exposure value of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR. SA exposures

The risk-weighted exposure amount of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR. IRB exposures, which institutions shall report net of defaulted exposures

PSEs NOT treated as sovereigns

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR. SA exposures

217 more provisions are not shown here; each has its own address.

Versions

2014-04-16

Cited by

Commission Delegated Regulation (EU) 2016/778 of 2 February 2016 supplementing Directive 2014/59/EU of the European Parliament and of the Council with regard to the circumstances and conditions under which the payment of extraordinary ex post contributions may be partially or entirely deferred, and on the criteria for the determination of the activities, services and operations with regard to critical functions, and for the determination of the business lines and associated services with regard to core business lines (Text with EEA relevance) Regulation · Grade B
The analysis referred to in paragraph 1 shall cover at least the period up to the next reporting remittance date for the own funds requirement set out in Article 3 of Commission Implementing Regulation (EU) No 680/2014.
Commission Delegated Regulation (EU) 2016/778 of 2 February 2016 supplementing Directive 2014/59/EU of the European Parliament and of the Council with regard to the circumstances and conditions under which the payment of extraordinary ex post contributions may be partially or entirely deferred, and on the criteria for the determination of the activities, services and operations with regard to critical functions, and for the determination of the business lines and associated services with regard to core business lines (Text with EEA relevance) Regulation · Grade B
The analysis referred to in paragraph 1 shall cover at least the period up to the next reporting remittance date for the liquidity coverage requirement set out in Article 3 of Implementing Regulation (EU) No 680/2014.
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Counterparty code The code assigned by EBA to each legal entity included in the LDP sample. 020 Legal entity identifier (LEI) 20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies participating in global financial markets. 030 Credit register code The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty. 040 Commercial register code The code assigned to a counterparty by the public co
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Portfolio ID The unique ID assigned to the portfolio by EBA. 020 Portfolio name Each portfolio is assigned one of the following unique names: 030 Type of risk The type of risk is one of the following: 040 Regulatory approach The regulatory approach under which the reported exposure value is calculated. 050 Geographical area The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro regions are: 060 Rating The rank of the internal rating applied by the institution from lowest risk to highest risk, exclud
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Legal reference Instructions 010 Portfolio ID The unique ID assigned by EBA to each portfolio. 020 Portfolio name Each portfolio is assigned one of the following names by EBA: 030 Geographical area The ISO Code of the country of residence or the macro region of residence of the counterparty. For the Retail — secured by real estate SME and Retail — secured by real estate non SME portfolios, it is the location of the collateral. The macro regions are: 040 Exposure class Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 Each portfolio is assigned to one or sev
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Counterparty Code Column 010 of template 101 of Annex I to this Implementing Regulation The counterparty code assigned by EBA to the counterparty included in the LDP samples portfolios shall be reported. The code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: 030 Regulatory approach The approach used for calculating own funds requirements that shall be repor
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
For portfolios that are defined with a specific rating grade, information on the PD shall be reported for the entire rating scale, even if the bank has no exposure for each rating grade. In that case, the EAD shall be reported as zero and the other columns shall be left blank. Portfolios that are defined without a specific rating grade shall be left out of a data submission if no IRB exposure exists for the respective portfolio at the reporting reference date. Column Label Legal reference Instructions 010 Portfolio ID Column 010 of template 102 of Annex I to this Implementing Regulation The co
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Portfolio ID Column 010 of template 103 of Annex I to this Implementing Regulation The code assigned by the EBA to each portfolio shall be reported. That code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: 030 Regulatory approach The regulatory approach used for calculating own funds requirements that shall be reported shall be one of the following: Where mo
Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Internal model ID The internal model ID assigned by the reporting institution shall be reported. The internal model ID is a row identifier that shall be unique for each row in the table. 020 Model name The model name assigned by the reporting institution shall be reported. 030 IRBA Risk parameter The IRBA risk parameter shall be one of the following: 040 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The aggregate exposure value of the transactions included in each portfolio (see column 060) treated
Recommendation of the European Systemic Risk Board of 22 December 2020 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (ESRB/2020/16) 2021/C 43/01 Notice · Grade B
Description of the measure The French measure, applied in accordance with Article 458(2)(d)(ii) of Regulation (EU) No 575/2013 and imposed on G-SIIs and O-SIIs at the highest level of consolidation of their banking prudential perimeter (not at a sub-consolidated level), consists of a tightening of the large exposure limit to 5 per cent of their eligible capital, applicable to exposures to highly-indebted large non-financial corporations having their registered office in France. A non-financial corporation is defined as a natural or legal person under private law having its registered office in
Recommendation of the European Systemic Risk Board of 22 December 2020 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (ESRB/2020/16) 2021/C 43/01 Notice · Grade B
the sum of original exposures to non-financial corporations having their registered office in France which are part of a group of connected non-financial corporations having its registered office at the highest level of consolidation outside France as reported in templates C 28.00 and C 29.00 of Annex VIII to Implementing Regulation (EU) No 680/2014;
Recommendation of the European Systemic Risk Board of 22 December 2020 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macroprudential policy measures (ESRB/2020/16) 2021/C 43/01 Notice · Grade B
A threshold of 5 per cent of the G-SII’s or O-SII’s eligible capital at the highest level of consolidation, for exposures identified in (b) after taking into account the effect of the credit risk mitigation techniques and exemptions in accordance with Articles 399 to 403 of Regulation (EU) No 575/2013. The thresholds referred to in paragraphs (b) and (c) are to be applied irrespective of whether the relevant entity or non-financial corporation is highly-indebted or not. The original exposure value referred to in paragraphs (a) and (b) is to be calculated in accordance with Articles 389 and 390
Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions (Text with EEA relevance) Regulation · Grade B
Credit institutions shall calculate and monitor their liquidity coverage ratio in the reporting currency for all items, irrespective of their actual currency denomination. In addition, credit institutions shall separately calculate and monitor their liquidity coverage ratio for certain items as follows: Credit institutions shall report to their competent authority the liquidity coverage ratio in accordance with Commission Implementing Regulation (EU) No 680/2014.;
Commission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Counterparty code The code assigned by the European Banking Authority (EBA) to each legal entity included in the low default portfolio (LDP) sample. 020 Legal entity identifier (LEI) 20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies participating in global financial markets. 030 Credit register code The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty. 040 Commercial register
Commission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions (Text with EEA relevance) Regulation · Grade B
Information shall be submitted only for those counterparties where an actual exposure or a rating which is valid to be used in the calculation risk-weighted assets (RWA) exists. Information shall be submitted only for those exposures and portfolios where an internal model has been approved. Information not required or not applicable shall not be submitted. Zero values shall be reported where the quantity is known to be zero. For portfolios that are defined with a specific rating grade in Annex I, information on the probability of default (PD) shall be reported for the entire rating scale used
Commission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions (Text with EEA relevance) Regulation · Grade B
For portfolios defined in Annex I with a collateralisation status other than Not applicable, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss (column 150) and RWA (column 170). Column Label Legal reference Instructions 010 Portfolio ID Column 010 of template 102 of Annex I The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table. 040 Number of obligors Column 300 o
Commission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions (Text with EEA relevance) Regulation · Grade B
For portfolios defined in Annex I with a collateralisation status different from Not applicable, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss (column 150), RWA (column 170), Loss rate latest year (column 210) and Loss rate past 5 years (column 220). Column Label Legal reference Instructions 010 Portfolio ID Column 010 of template 103 of Annex I The code assigned by EBA to each portfolio shall be reported. This code is a row identifier and shall
Commission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions (Text with EEA relevance) Regulation · Grade B
Column Label Legal reference Instructions 010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the European Banking Authority (EBA) to the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex II to Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: Not applicable shall be used where none of the answers in the list is correct which i
Commission Decision of 27 March 2015 amending the Annex to the Monetary Agreement between the European Union and the Republic of San Marino 2015/C 112/06 Decision · Grade B
Legal provisions to be implemented Deadline for implementing Prevention of money laundering 1 Council Decision 2000/642/JHA of 17 October 2000 concerning arrangements for cooperation between financial intelligence units of the Member States in respect of exchanging information (OJ L 271, 24.10.2000, p. 4) 1 Sept 2013 2 Council Framework Decision 2005/212/JHA of 24 February 2005 on Confiscation of Crime-Related Proceeds, Instrumentalities and Property (OJ L 68, 15.3.2005, p. 49) 1 Oct 2014 3 Directive 2005/60/EC of the European Parliament and of the Council of 26 October 2005 on the prevention
Commission Implementing Regulation (EU) 2015/227 of 9 January 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B
Commission Implementing Regulation (EU) No 680/2014 lays down the requirements according to which institutions should report information relevant to their compliance with Regulation (EU) No 575/2013.