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Commission Implementing Regulation (EU) 2017/2114 of 9 November 2017 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions (Text with EEA relevance)

In forceVersion 2017-11-09from 2017-12-26
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Contents
  1. Preamble
    1. Article 1
    2. Article 2
  3. ANNEX
  4. ANNEX I
  5. ANNEX II
  6. PART I GENERAL INSTRUCTIONS
  7. 1.
  8. 1.1.1.
  9. 1.2.4.5.6.7.8.
  10. PART II TEMPLATE RELATED INSTRUCTIONS
  11. 1.
  12. 1.1.10.11.12.13.14.
  13. 1.1.10.
  14. 1.1.10.11.12.13.
  15. 1.2.
  16. 1.2.1.
  17. 1.1.2.1.2 (*)
  18. 1.3.
  19. 1.3.1.
  20. 1.4.
  21. 1.4.1.
  22. CET1 capital ratio including Pillar II adjustments
  23. Target CET1 capital ratio due to Pillar II adjustments
  24. T1 capital ratio including Pillar II adjustments
  25. Target T1 capital ratio due to Pillar II adjustments
  26. 1.5.
  27. 1.5.1.
  28. 12.1.1. a)
  29. 13.1.1. a)
  30. 14.1.1. a)
  31. 15.1.1. a)
  32. 16.1.1. a)
  33. 17.1.1. a)
  34. 1.6.
  35. 1.6.1.15.16.17.18.19.
  36. 1.6.1.15.16.
  37. 1.6.2.20.21.22.23.24.
  38. 1.6.2.1. Adjustments to CET1
  39. 1.6.3.25.
  40. 1.6.3.1. Amount of instruments plus related share premium
  41. 2.
  42. 2.1.26.27.28.
  43. 2.1.26.
  44. 2.3.31.32.33.34.35.36.37.
  45. 2.4. ENTITIES WITHIN SCOPE OF CONSOLIDATION
  46. 2.5. ENTITIES WITHIN SCOPE OF CONSOLIDATION
  47. Reporting of fixed overheads of investment firms:
  48. RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS
  49. TIER 2 CAPITAL
  50. 3.
  51. 3.1.38.
  52. 3.1.1.39.40.41.42.43.44.45.
  53. 3.2.
  54. 3.2.1.47. a)
  55. 3.2.2.48.49.50.51.52.53.54.55.56.57.
  56. 3.2.2.48.49.50.
  57. 3.2.2.48.49.50.51.
  58. 3.2.2.48.49.50.51.52.53.54.
  59. 3.2.3.58.59.60.61.62.63.64.65.66.67.
  60. 3.2.3.58.
  61. 3.2.3.58.59.60.61.62.63.64.
  62. 3.2.4.
  63. 3.2.4.1.68.69.70.
  64. 3.2.4.2.71.72.
  65. 3.2.5. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  66. 3.3.
  67. 3.3.1.74.75.76.77.
  68. 3.3.1.74. i.
  69. 3.3.1.74.75.76. i.
  70. 3.3.2.78.
  71. 3.3.3.
  72. 3.3.3.1. INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
  73. 3.3.4. Obligor grade (row identifier)
  74. 3.4.79.80.81.
  75. 3.4.1.
  76. 3.4.1.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  77. 3.4.2.
  78. 3.4.2.1. ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  79. 3.4.3.
  80. 3.4.3.1.82.83.84.85.
  81. 3.4.3.2. Amount
  82. 3.5.
  83. 3.5.1.86.87.88.89.90.91.
  84. 3.5.1.86.87.88.
  85. 3.5.2. OBLIGOR GRADE (ROW IDENTIFIER)
  86. 3.5.2.92. PD/LGD APRROACH: TOTAL
  87. 3.6.
  88. 3.6.1.93.94.95.96.97.98.99.
  89. 3.6.2. UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE
  90. 3.7.
  91. 3.7.1.100.101.
  92. 3.7.2.102.103.
  93. 3.7.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
  94. 1250 % (UNRATED)
  95. 3.8.
  96. 3.8.1.104.105.106.
  97. 3.8.2.107.108.
  98. 3.8.2. TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED
  99. 3.9.
  100. 3.9.1.109.110.111.112.113.
  101. 3.9.1.109.110. a.
  102. 3.9.2. ROW NUMBER
  103. 4.
  104. 4.1.
  105. 4.1.1.114.115.116.117.118.119.
  106. 4.1.2. RELEVANT INDICATOR
  107. 4.2.
  108. 4.2.1.120.121.122.123.124.125.126.127.128.129.
  109. 4.2.2.
  110. 4.2.2.1.130.131.132.133.
  111. 4.2.2.2. EVENT TYPES
  112. 4.2.3.
  113. 4.2.3.1.134.135.136.
  114. 4.2.3.1.134.135.
  115. 4.2.3.2.
  116. Event ID
  117. 5.137.138.
  118. 5.1.
  119. 5.1.1.139.140.
  120. 5.1.2. ALL POSITIONS (LONG AND SHORT)
  121. 5.2.
  122. 5.2.1.141.142.143.
  123. 5.2.2. ALL POSITIONS (LONG AND SHORT)
  124. 5.3.
  125. 5.3.1.144.145.146.147.
  126. 5.3.2. ALL POSITIONS (LONG AND SHORT)
  127. 5.4.
  128. 5.4.1.148.149.
  129. 5.4.2. ALL POSITIONS (LONG AND SHORT)
  130. 5.5.
  131. 5.5.1.150.151.
  132. 5.5.2. ALL POSITIONS (LONG AND SHORT)
  133. pt_1
  134. 5.6.
  135. 5.6.2. All POSITIONS (LONG AND SHORT)
  136. 5.7.
  137. 5.7.1.153.154.
  138. 5.7.2. VaR
  139. 12 weeks average measure
  140. 12 WEEKS AVERAGE MEASURE AND LAST MEASURE
  141. 5.8.
  142. 5.8.1. Exposure value
  143. 6.
  144. 6.1.155.156.157.158.159.160.
  145. 6.2.161.162.163.
  146. 6.3. DIRECT EXPOSURES
  147. ANNEX III
  148. ANNEX VII INSTRUCTIONS FOR THE REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY 1.2.
  149. 3.10. a)
  150. 4.11.12.13.14.15.
  151. 4.11.12.13. a)
  152. 5. Sum of losses stemming from lending up to the reference percentages
  153. ANNEX IV
  154. ANNEX XI REPORTING ON LEVERAGE
  155. PART I GENERAL INSTRUCTIONS
  156. 1.
  157. 1.3.8. a.
  158. PART II TEMPLATE RELATED INSTRUCTIONS
  159. 3.6.7.8.9.10.11.12.13.14.15.
  160. 4.16.17.18.19.20.
  161. Tier 1 capital — fully phased-in definition
  162. 5.21.22.23. Derivatives – Accounting balance sheet value
  163. 6.24.25.26. Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):
  164. > 0 % and ≤ 12 %
  165. > 12 % and ≤ 20 %
  166. > 20 % and ≤ 50 %
  167. > 50 % and ≤ 75 %
  168. > 75 % and ≤ 100 %
  169. > 100 % and ≤ 425 %
  170. > 425 % and ≤ 1250 %
  171. 7.27. Common Equity Tier 1 capital – fully phased-in definition
  172. 8.28.29.30. Off-balance sheet items; of which – Leverage Ratio Exposure Value
  173. 9.31. Institution's company structure
  174. ANNEX V
  175. ANNEX XIV Single Data Point Model
  176. ANNEX VI
  177. ANNEX XV Validation Rules
  178. ANNEX XVIII C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY 1.2. C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING C 70.00 — ROLL-OVER OF FUNDING
  179. ANNEX VIII
  180. ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
  181. 1.
  182. 1.1.1.2.3.4.5.6.7.8.9.
  183. 1.2.1.2.3.4.5.6.7.8.
  184. 1.3.1.2.3.4.5.6.
  185. 1.3.1.
  186. 1.3.1.2.3.4.
  187. 1.4.1.2.3.4.5.6.7.8.9.10.11.12.13.
  188. 1.4.1.
  189. 1.4.1.2.3.
  190. 1
  191. 1.5.1.2.3.4.5.6.7.8.9.10.11.12.
  192. 1.5.1.2.
  193. > 1 day ≤ 7 days
  194. > 7days ≤ 14 days
  195. > 14 days ≤ 1 month
  196. > 3 Months ≤ 6 Months
  197. ANNEX IX
  198. ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER 1.2.
  199. ANNEX X
  200. ANNEX XXI Instructions for completing the Concentration of Counterbalancing Capacity Template (C 71.00) of Annex XX
  201. Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00) 1.2.3.4.5.6.
  202. ANNEX XXII REPORTING ON AMM MATURITY LADDER C 66.00 - MATURITY LADDER
  203. ANNEX XII
  204. ANNEX XXIII INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII
  205. PART I GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.18.19.
  206. PART II INSTRUCTIONS CONCERNING SPECIFIC ROWS
  207. 1.5
  208. 2.
  209. 2.4
  210. 2.

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, in particular the fourth subparagraph of Article 99(5), the third subparagraph of Article 101(4), the fourth subparagraph of Article 415(3), and the third subparagraph of Article 430(2) thereof,

Whereas:

(1) Commission Implementing Regulation (EU) No 680/2014 specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of further secondary legislation and, in this case, by Commission Delegated Regulation (EU) 2015/61, Implementing Regulation (EU) No 680/2014 should also be updated to reflect those rules and to provide further precision in the instructions and definitions used for the purposes of the institutions' supervisory reporting, including with regard to a maturity ladder, which would allow the maturity mismatch of an institution's balance sheet to be reflected in the reporting.

(2) Amendments to Implementing Regulation (EU) No 680/2014 are required in order to correct erroneous references and formatting inconsistencies which were discovered in the course of the application of that Regulation.

(3) Amendments to Implementing Regulation (EU) No 680/2014 are also required to reflect competent authorities' ability to effectively monitor and assess the institutions' risk profile and to obtain a view on the risks posed to the financial sector, which requires changes to the reporting requirements in the areas of operational risk, credit risk and with regard to institutions' exposures towards sovereigns.

(4) In order to provide institutions and competent authorities with sufficient time to implement the amendments set out in this Regulation, it should apply from 1 March 2018.

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

(6) 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.

(7) Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows:

(1)(2) point (2) of Article 5(b) is replaced by the following: the information on material losses stemming from operational risk events as follows:

(a) institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

(b) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II:

(i) the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the same Member State is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date;

(ii) the total value of the institution's assets exceeds EUR 30 billion;

(iii) the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the Member State where it is established;

(iv) the institution is one of the three largest institutions established in a particular Member State measured by the total value of its assets;

(v) the institution is the parent of subsidiaries, which are themselves credit institutions established in at least two Member States other than the Member State where the parent institution is authorised and where both of the following conditions are met:

the value of the institution's consolidated total assets exceeds EUR 5 billion,

more than 20 % of either the institution's consolidated total assets as defined in template 1.1 of Annex III or IV, as applicable, or the institution's consolidated total liabilities as defined in template 1.2 of Annex III or IV, as applicable, relates to activities with counterparties located in a Member State other than that where the parent institution is authorised;

(c) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II:

(i) the information as specified for column 080 of template 17.01 of Annex I for the following rows:

number of events (new events) (row 910),

gross loss amount (new events) (row 920),

number of events subject to loss adjustments (row 930),

loss adjustments relating to previous reporting periods (row 940),

maximum single loss (row 950),

sum of the five largest losses (row 960),

total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970),

total recoveries from insurance and other risk transfer mechanisms (row 980);

(ii) the information as specified in template 17.02 of Annex I;

(d) the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II;

(e) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

(f) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II;

(g) the entry and exit criteria of Article 4 shall apply.;

(2)(3) in Article 5(b), the following point (3) is added: the information on sovereign exposures as follows:

(a) institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II where the aggregate carrying amount of financial assets from the counterparty sector General governments is equal or higher than 1 % of the sum of total carrying amount for Debt securities and Loans and advances. For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable;

(b) institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II aggregated at a total level and for each individual country they are exposed to;

(c) institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in point 6 of Part II of Annex II with exposures aggregated at both a total level and at domestic level;

(d) the entry and exit criteria of Article 4 shall apply.;

(3)(c) in Article 16b(1), the following point (c) is added: the information specified in Annex XXII in accordance with the instructions in Annex XXIII.;

(4)(a) in Article 16b(2), point (a) is replaced by the following: the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation;;

(5) Annex I is replaced by the text set out in Annex I to this Regulation;

(6) Annex II is replaced by the text set out in Annex II to this Regulation;

(7) Annex VII is replaced by the text set out in Annex III to this Regulation;

(8) Annex XI is replaced by the text set out in Annex IV to this Regulation;

(9) Annex XIV is replaced by the text set out in Annex V to this Regulation;

(10) Annex XV is replaced by the text set out in Annex VI to this Regulation;

(11) Annex XVIII is replaced by the text set out in Annex VII to this Regulation;

(12) Annex XIX is replaced by the text set out in Annex VIII to this Regulation;

(13) Annex XX is replaced by the text set out in Annex IX to this Regulation;

(14) Annex XXI is replaced by the text set out in Annex X to this Regulation;

(15) a new Annex XXII is added, the text of which is set out in Annex XI to this Regulation;

(16) a new Annex XXIII is added, the text of which is set out in Annex XII to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 1 March 2018.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 9 November 2017. For the Commission The President Jean-Claude Juncker

ANNEX

ANNEX I

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS 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) CA 5.2 C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL) C 06.02 - 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 09.04 - BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB) 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) 1.2.3. C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2) 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) C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

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 6.1 C 06.01 GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL GS Total 6.2 C 06.02 GROUP SOLVENCY: INFORMATION ON AFFILIATES 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 9.4 C 09.04 Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate CCB 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 33 C 33.00 GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY GOV 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 045 1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations 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 before deduction of deferred tax liabilities 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 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 1.2.1.2* 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 555 1.3.1.3 Particular approach for position risk in CIUs 556 1.3.1.3* Memo item: CIUs exclusively invested in traded debt instruments 557 1.3.1.3** Memo item: CIUs invested exclusively in equity instruments or in mixed instruments 560 1.3.1.4 Foreign Exchange 570 1.3.1.5 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 093 2A Tax overpayments and tax loss carry backs 096 2B Deferred Tax Assets subject to a risk weight of 250 % 097 2C Deferred Tax Assets subject to a risk weight of 0 % 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 225 11.1 Eligible capital for the purposes of qualifying holdings outside the financial sector 226 11.2 Eligible capital for the purposes of 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 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 910 Deficit of total capital as regards the minimum own funds requirements of the Basel I floor 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 385 1.3.2.9a Deferred tax assets that are dependent on future profitability and arise from temporary differences 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 440 1.3.4 Adjustments due to IFRS 9 transitional arrangements 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 52 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 52 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 52 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 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIREMENTS 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 COUNTERCYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480 010 TOTAL 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 INSTITUTION OR EQUIVALENT (YES/NO) SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) 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 REQUIREMENTS 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 COUNTERCYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK 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 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: QUALIFYING TIER 1 CAPITAL RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: MINORITY INTERESTS RELATED 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 010 020 025 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 470 480 SA Exposure class 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 VALUE 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 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 010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240 010 TOTAL EXPOSURES Cell linked to CA 015 of which: Defaulted exposures 020 of which: SME 030 of which: Exposures 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 Exposures/Transactions subject to counterparty 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 % IRB Exposure class: Own estimates of LGD and/or conversion factors: 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 015 of which: Exposures subject to SME-supporting factor 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 IRB Exposure class: Own estimates of LGD and/or conversion factors: OBLIGOR GRADE (ROW IDENTIFIER) 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 005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 Country: ORIGINAL EXPOSURE PRE CONVERSION FACTORS Defaulted exposures 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 170 Total exposures Country: 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 042 Of Which: Specialised Lending (excl. SL subject to slotting criteria) 045 Of Which: Specialised Lending subject to slotting criteria 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 150 Total exposures Country: Amount Percentage Qualitative information 010 020 030 Relevant credit exposures - Credit Risk 010 Exposure value under the Standardised Approach 020 Exposure value under the IRB Approach Relevant credit exposures – Market risk 030 Sum of long and short positions of trading book exposures for standardised approaches 040 Value of trading book exposures for internal models Relevant credit exposures – Securitisation 050 Exposure value of securitisation positions in the banking book under the Standardised Approach 060 Exposure value of securitisation positions in the banking book under the IRB Approach Own funds requirements and weights 070 Total own funds requirements for CCB 080 Own funds requirements for relevant credit exposures – Credit risk 090 Own funds requirements for relevant credit exposures – Market risk 100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book 110 Own funds requirements weights Countercyclical capital buffer rates 120 Countercyclical capital buffer rate set by the Designated Authority 130 Countercyclical capital buffer rate applicable for the country of the institution 140 Institution-specific countercyclical capital buffer rate Use of 2 % threshold 150 Use of 2 % threshold for general credit exposure 160 Use of 2 % threshold for trading book exposure 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 OBLIGOR GRADE (ROW IDENTIFIER) 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 005 010 020 030 040 050 060 070 080 090 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 SECURITISATION 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 SECURITISATION 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 ROW NUMBER 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 005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 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 O71 080 090 100 110 120 010 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) Cell linked to CA2 020 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 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 (new events) 020 Gross loss amount (new events) 030 Number of events subject to loss adjustments 040 Loss adjustments relating to previous reporting periods 050 Maximum single loss 060 Sum of the five largest losses 070 Total direct loss recovery 080 Total recovery from insurance and other risk transfer mechanisms 110 TRADING AND SALES [TS] Number of events (new events) 120 Gross loss amount (new events) 130 Number of events subject to loss adjustments 140 Loss adjustments relating to previous reporting periods 150 Maximum single loss 160 Sum of the five largest losses 170 Total direct loss recovery 180 Total recovery from insurance and other risk transfer mechanisms 210 RETAIL BROKERAGE [RBr] Number of events (new events) 220 Gross loss amount (new events) 230 Number of events subject to loss adjustments 240 Loss adjustments relating to previous reporting periods 250 Maximum single loss 260 Sum of the five largest losses 270 Total direct loss recovery 280 Total recovery from insurance and other risk transfer mechanisms 310 COMMERCIAL BANKING [CB] Number of events (new events) 320 Gross loss amount (new events) 330 Number of events subject to loss adjustments 340 Loss adjustments relating to previous reporting periods 350 Maximum single loss 360 Sum of the five largest losses 370 Total direct loss recovery 380 Total recovery from insurance and other risk transfer mechanisms 410 RETAIL BANKING [RB] Number of events (new events) 420 Gross loss amount (new events) 430 Number of events subject to loss adjustments 440 Loss adjustments relating to previous reporting periods 450 Maximum single loss 460 Sum of the five largest losses 470 Total direct loss recovery 480 Total recovery from insurance and other risk transfer mechanisms 510 PAYMENT AND SETTLEMENT [PS] Number of events (new events) 520 Gross loss amount (new events) 530 Number of events subject to loss adjustments 540 Loss adjustments relating to previous reporting periods 550 Maximum single loss 560 Sum of the five largest losses 570 Total direct loss recovery 580 Total recovery from insurance and other risk transfer mechanisms 610 AGENCY SERVICES [AS] Number of events (new events) 620 Gross loss amount (new events) 630 Number of events subject to loss adjustments 640 Loss adjustments relating to previous reporting periods 650 Maximum single loss 660 Sum of the five largest losses 670 Total direct loss recovery 680 Total recovery from insurance and other risk transfer mechanisms 710 ASSET MANAGEMENT [AM] Number of events (new events) 720 Gross loss amount (new events) 730 Number of events subject to loss adjustments 740 Loss adjustments relating to previous reporting periods 750 Maximum single loss 760 Sum of the five largest losses 770 Total direct loss recovery 780 Total recovery from insurance and other risk transfer mechanisms 810 CORPORATE ITEMS [CI] Number of events (new events) 820 Gross loss amount (new events) 830 Number of events subject to loss adjustments 840 Loss adjustments relating to previous reporting periods 850 Maximum single loss 860 Sum of the five largest losses 870 Total direct loss recovery 880 Total recovery from insurance and other risk transfer mechanisms 910 TOTAL BUSINESS LINES Number of events (new events). Of which: 911 related to losses ≥ 10000 and < 20000 912 related to losses ≥ 20000 and < 100000 913 related to losses ≥ 100000 and < 1000000 914 related to losses ≥ 1000000 920 Gross loss amount (new events). Of which: 921 related to losses ≥ 10000 and < 20000 922 related to losses ≥ 20000 and < 100000 923 related to losses ≥ 100000 and < 1000000 924 related to losses ≥ 1000000 930 Number of events subject to loss adjustments. Of which: 935 of which: number of events with a positive loss adjustment 936 of which: number of events with a negative loss adjustment 940 Loss adjustments relating to previous reporting periods 945 of which: positive loss adjustment amounts (+) 946 of which: negative loss adjustment amounts (–) 950 Maximum single loss 960 Sum of the five largest losses 970 Total direct loss recovery 980 Total recovery from insurance and other risk transfer mechanisms Event ID Date of accounting Date of occurrence Date of discovery Event Type Gross loss Gross loss net of direct recoveries GROSS LOSS BY BUSINESS LINE Legal Entity name Legal Entity ID Business Unit Description Corporate Finance [CF] Trading and Sales [TS] Retail Brokerage [RBr] Commercial Banking [CB] Retail Banking [RB] Payment and Settlement [PS] Agency Services [AS] Asset Management [AM] Corporate Items [CI] Rows 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 … Currency: 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 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 DERIVATIVES: 110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 120 OTHER CTP POSITIONS National market: 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 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 non-reporting 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 Cell linked to CA 020 Currencies closely correlated 025 of which: reporting currency 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 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 480 Croatian Kuna 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} Country: Direct exposures Memorandum item: credit derivatives sold on general government exposures Exposure value Risk weighted exposure amount On-balance sheet exposures Accumulated impairment Accumulated negative changes in fair value due to credit risk Derivatives Off-balance sheet exposures Total gross carrying amount of non-derivative financial assets Total carrying amount of non-derivative financial assets (net of short positions) Non-derivative financial assets by accounting portfolios Short positions Derivatives with positive fair value Derivatives with negative fair value Nominal amount Provisions Accumulated negative changes in fair value due to credit risk Derivatives with positive fair value - Carrying amount Derivatives with negative fair value - Carrying amount Financial assets held for trading Trading financial assets Non-trading financial assets mandatorily at fair value through profit or loss Financial assets designated at fair value through profit or loss Non-trading non-derivative financial assets measured at fair value through profit or loss Financial assets at fair value through other comprehensive income Non-trading non-derivative financial assets measured at fair value to equity Financial assets at amortised cost Non-trading non-derivative financial assets measured at a cost-based method Other non-trading non-derivative financial assets Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Carrying amount Notional amount Carrying amount Notional amount 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 010 Total exposures BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: 020 Exposures under the credit risk framework 030 Standardised Approach 040 Central governments 050 Regional governments or local authorities 060 Public sector entities 070 International Organisations 080 IRB Approach 090 Central governments 100 Regional governments or local authorities [Central governments] 110 Regional governments or local authorities [Institutions] 120 Public sector entities [Central governments] 130 Public sector entities [Institutions] 140 International Organisations [Central governments] 150 International Organisations [Institutions] 160 Exposures under the market risk framework BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: 170 [ 0 - 3M [ 180 [ 3M - 1Y [ 190 [ 1Y - 2Y [ 200 [ 2Y - 3Y [ 210 [3Y - 5Y [ 220 [5Y - 10Y [ 230 [10Y – more

ANNEX II

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 validation rules are included in this part of the Implementing Technical Standard. 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;

(b) 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

(c) credit risk (including counterparty, dilution and settlement risks);

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

(e) 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.

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.
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.

(b) 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.

(c) 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.

b)

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.

c)

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.
1.2.1.

1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 of CRR Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.

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.

1.1.1.12. (-) 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 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.

1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % 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))

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

1.1.2.11. (-) 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).

1.2.11. 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.
1.3.1.

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

1.1.1.2.* Of which: resecuritisation CR SEC SA 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

1.3.1.3.* Memo item: CIUs exclusively invested in traded debt instruments Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.

1.3.1.3.** CIUs invested exclusively in equity instruments or in mixed instruments Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.

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: due to intra financial sector exposures Article 458 of CRR

1.4.
1.4.1.

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.

Article 104(2) CRD This cell only has to be populated if a competent authority decides that an institution has to meet a higher target CET1capital ratio. The target CET1 capital ratio reflects the minimum requirement of Article 92(1) point (a) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

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.

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. The target T1 capital ratio reflects the minimum requirement of Article 92(1) point (b) CRR and the requirement imposed in accordance with Article 104(2) CRD, but excludes other requirements (e.g. the capital buffer requirements).

Total capital ratio including Pillar II adjustments

Target total capital ratio due to Pillar II adjustments

1.5.
1.5.1.

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

Underwriting positions held for 5 working days or fewer;

b)

c)

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

Underwriting positions held for 5 working days or fewer; and

b)

Underwriting positions held for 5 working days or fewer; and

b)

Underwriting positions held for 5 working days or fewer;

b)

c)

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

b)

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

b)

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.

Capital conservation buffer

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

Institution specific countercyclical capital buffer

Systemic risk buffer

Global Systemically Important Institution buffer

Other Systemically Important Institution buffer

Articles 128 point (4) and 131 of CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date.

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 this Regulation. 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 this Regulation. 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

Own funds fully adjusted for Basel I floor

Own funds requirements for Basel I floor

Own funds requirements for Basel I floor — SA alternative

Deficit of total own funds as regards the own funds requirements of the Basel I floor or SA alternative

1.6.

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.

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 030 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.

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Applicable percentage

Eligible amount without transitional provisions

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

1.3.2.6.1** of which: Direct holdings Article 469(1)(b), 472 (8) (a) of CRR 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.

1.3.2.6.1* of which: Indirect holdings Article 469(1)(b), 472 (8) (b) of CRR 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.

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.

of which: Direct holdings

of which: Indirect holdings

Deferred tax assets that are dependent on future profitability and arise from temporary differences

1.3.2.10.2. 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 according to Article 66 (d) of CRR

1.6.3.25.

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

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

2.

GENERAL REMARKS Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. 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. Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400. The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date.

2.1.26.

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. It is possible for one consolidated group to be included within another consolidated group. This means that the entities within a subgroup shall be reported entity-by-entity in the GS of the entire group, even if the sub-group itself is subject to reporting requirements. If the subgroup is subject to reporting requirements, it shall also report the GS template on an entity-by-entity basis, although those details are included in the GS template of a higher consolidated group. 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.

See instructions for C 06.02

CAPITAL BUFFERS

TOTAL

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.

NAME

CODE

LEI CODE

LEI code stands for Legal Entity Identification code which is a reference code proposed by the Financial Stability Board (FSB) and endorsed by the G20, aimed at achieving a unique and worldwide identification of parties to financial transactions. Until the global LEI system is fully operational, pre-LEI codes are being assigned to counterparties by a Local Operational Unit that has been endorsed by Regulatory Oversight Committee (ROC, detailed information may be found at the following website: www.leiroc.org). Where a Legal Entity Identification code (LEI code) exists for a given counterparty, it shall be used to identify that counterparty.

INSTITUTION OR EQUIVALENT (YES/NO)

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

COUNTRY CODE

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

SHARE OF HOLDING (%)

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

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

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

POSITION, FX AND COMMODITY RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

OWN FUNDS

OF WHICH: QUALIFYING OWN FUNDS

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

TOTAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 85(1)(b) of CRR

COMMON EQUITY TIER 1 CAPITAL

OF WHICH: MINORITY INTERESTS

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

Article 84(1)(b) of CRR

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Article 71 of CRR

OF WHICH: QUALIFYING TIER 2 CAPITAL

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CONTRIBUTION TO RISKS

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

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

CONSOLIDATED OWN FUNDS

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL BUFFERS

COMBINED BUFFER REQUIREMENTS

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Articles 128 point (4) and 131 of CRD In this cell the amount of the Other Systemically Important Institution buffer shall be reported.

3.
3.1.38.

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.

3.2.

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

b)

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 290 to 320 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. Exposures shall be reported in these rows 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. However the figures reported are the same as used to calculate the risk weighted exposure amounts in 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, row 320 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 320 of exposure class institutions.

3.2.2.48.49.50.
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;

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

3.2.2.48.49.50.51.52.53.54.

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

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

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

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.
3.2.3.58.59.60.61.62.63.64.

Original exposure pre conversion factors Does it fit for being assigned to the exposure class of Article 112 (m)? YES Securitisation positions NO Does it fit for being assigned to the exposure class of Article 112point (k)? YES Items associated with particular high risk (also see Article 128) NO Does it fit for being assigned to the exposure class of Article 112 point (p)? YES Equity exposures (also see Article 133) NO Does it fit for being assigned to the exposure class of Article 112 point (j)? YES Exposures in default NO Does it fit for being assigned to the exposure classes of Article 112 points (l) and (o)? YES Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (also see Article 129) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. NO Does it fit for being assigned to the exposure class of Article 112 point (i)? YES Exposures secured by mortgages on immovable property (also see Article 124) NO Does it fit for being assigned to the exposure class of Article 112 point (q)? YES Other items NO Does it fit for being assigned to the exposure class of Article 112 point (n)? YES Exposures to institutions and corporates with a short-term credit assessment NO The exposure classes below are disjoint among themselves. Therefore the assignment to one of them is straightforward. 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 corporates Retail exposures

3.2.4.

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.

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.

Exposure value according to Article 111 of CRR 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.

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

Exposure net of value adjustments and provisions

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

Unfunded credit protection: adjusted values (Ga)

Guarantees

Credit derivatives

Funded credit protection

Financial collateral: simple method

Other funded credit protection

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

Volatility adjustment to the exposure

(-) Financial collateral adjusted value (Cvam)

(-) Of which: Volatility and maturity adjustments

Fully adjusted exposure value (E*)

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

Exposure value

Of which: Arising from Counterparty Credit Risk

Risk weighted exposure amount pre SME-supporting factor

Risk weighted exposure amount after SME-supporting factor

Of which: with a credit assessment by a nominated ECAI

Of which: with a credit assessment derived from central government

Total exposures

of which: Defaulted exposures

of which: SME

of which: Exposures subject to the SME-supporting factor

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

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

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

On balance sheet exposures subject to credit risk

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.

Exposures/Transactions subject to counterparty credit risk

Securities Financing Transactions

Of which: centrally cleared through a QCCP

Derivatives and Long Settlement Transactions

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

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS

Other risk weights

Memorandum Items

Exposures secured by mortgages on commercial immovable property

Exposures in default subject to a risk weight of 100 %

Exposures secured by mortgages on residential property

Exposures in default subject to a risk weight of 150 %

3.3.

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: 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.

Credit risk in the banking book, among which:

ii.

iii.

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.

3.3.2.78.
3.3.3.

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

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

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

UNFUNDED CREDIT PROTECTION

GUARANTEES:

CREDIT DERIVATIVES:

OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Of which: Off Balance Sheet Items

EXPOSURE VALUE

Of which: Arising from counterparty Credit Risk

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

GUARANTEES

See instructions to column 040.

CREDIT DERIVATIVES

See instructions to column 050.

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

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

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

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

TOTAL EXPOSURES

of which: Exposures subject to SME-supporting factor

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

On balance sheet items subject to credit risk

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

Derivatives and Long Settlement Transactions

From Contractual Cross Product Netting

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

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

Of which: In category 1

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

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

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

This is a row identifier and shall be unique for each row on a particular sheet of the table. It shall follow the numerical order 1, 2, 3, etc.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN Institutions fulfilling the threshold set in Article 5 (a) (4) of this Regulation 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. Exposures to supranational organisations shall be assigned to the geographical area other countries. 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 with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area Other countries irrespective of the exposure class where the exposure to supranational organisations is assigned. 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.

Same definition as for column 010 of CR SA template

Defaulted exposures

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

Write-offs

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

Central governments or central banks

Regional governments or local authorities

Public sector entities

Multilateral developments banks

International organisations

Institutions

Corporates

of which: SME

Retail

of which: SME

Same definition as for row 020of CR SA template

Secured by mortgages on immovable property

of which: SME

Same definition as for row 020of CR SA template

Exposures in default

Items associated with particularly high risk

Covered bonds

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

Collective investments undertakings (CIU)

Equity exposures

Article 112 point (p) of CRR.

Other exposures

Article 112 point (q) of CRR.

Total exposures

3.4.2.

Same definition as for column 020 of CR IRB template

Of which defaulted

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.

Write-offs

Credit risk adjustments/write-offs for observed new defaults

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

EXPOSURE WEIGHTED AVERAGE LGD (%)

Of which: defaulted

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

Exposure value

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

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

EXPECTED LOSS AMOUNT

Central banks and central governments

Institutions

Corporates

Of which: Specialized lending (excl. SL subject to slotting criteria)

Of which: Specialized lending subject to slotting criteria

Of which: SME

Retail

Retail – Secured by real estate property

SME

non-SME

Retail – Qualifying revolving

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

Total exposures

3.4.3.

General remarks This table is implemented in order to receive more information regarding the elements of the institution specific countercyclical capital buffer. The information requested refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of the CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution specific counter-cyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures). Information in template C 09.04 is requested for the Total of relevant credit exposures across all jurisdictions where these exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction are reported in a separate dimension. The threshold set in Article 5 (a) (4) of this Regulation is not relevant for the reporting of this breakdown. In order to determine the geographical location, the exposures are allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 of 4 June 2014 with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates. Therefore CRM techniques do not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row.

Percentage

Qualitative Information

Relevant credit exposures – Credit risk

Exposure value under the Standardised Approach

Exposure value under the IRB Approach

Relevant credit exposures – Market risk

Sum of long and short positions of trading book exposures for standardised approaches

Value of trading book exposures under internal model approaches

Relevant credit exposures – Securitisation positions in the banking book

Exposure value of securitisation positions in the banking book under the Standardised Approach

Exposure value of securitisation positions in the banking book under the IRB Approach

Own funds requirements and weights

Total own funds requirements for CCB

Own funds requirements for relevant credit exposures – Credit risk

Own funds requirements for relevant credit exposures – Market risk

Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

Own funds requirements weights

Countercyclical buffer rates

Countercyclical capital buffer rate set by the Designated Authority

Countercyclical capital buffer rate applicable for the country of the institution

Institution-specific countercyclical capital buffer rate

Use of the 2 % threshold

Use of 2 % threshold for general credit exposure

Use of 2 % threshold for trading book exposure

3.5.

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 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 (e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) of CRR))). The following equity claims shall not be reported in the CR EQU IRB template:

3.5.1.86.87.88.

The obligor grade is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

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

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

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

EXPOSURE VALUE

EXPOSURE WEIGHTED AVERAGE LGD (%)

RISK WEIGHTED EXPOSURE AMOUNT

MEMORANDUM ITEM: EXPECTED LOSS AMOUNT

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:

INTERNAL MODELS APPROACH

EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

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

3.6.

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).

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

OWN FUNDS REQUIREMENTS

TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

Total unsettled transactions in the Non-trading Book

Total unsettled transactions in the Trading Book

3.7.

General remarks The information in this template is requested for all securitisations for which a significant risk transfer is recognised and 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.

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. Positions treated according to the ratings based method and unrated positions (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

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.

SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

(-) FUNDED CREDIT PROTECTION (CVA)

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

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

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

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

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

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

BREAKDOWN OF EXPOSURE VALUE SUBJECT TO RISK WEIGHTS ACCORDING TO RISK WEIGHTS

RATED

Article 242(7) of CRR defines unrated positions.

LOOK-THROUGH

LOOK-THROUGH — OF WHICH: SECOND LOSS IN ABCP

LOOK-THROUGH OF WHICH: AVERAGE RISK WEIGHT (%)

INTERNAL ASSESSMENT APPROACH (IAA)

IAA: AVERAGE RISK WEIGHT (%)

RISK-WEIGHTED EXPOSURE AMOUNT

OF WHICH: SYNTHETIC SECURITISATIONS

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: BEFORE CAP/AFTER CAP

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

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

ORIGINATOR: TOTAL EXPOSURES

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

EARLY AMORTISATION

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

3.8.

General remarks The information in this template is requested for all securitisations for which a significant risk transfer is recognised and 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.

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. Positions treated according to the ratings based method and unrated positions (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

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

(-) FUNDED CREDIT PROTECTION (CVA)

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

NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

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

(-) FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM:

(-) TOTAL OUTFLOWS

TOTAL INFLOWS

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

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

RATINGS BASED METHOD (CREDIT QUALITY STEPS)

SUPERVISORY FORMULA METHOD

SUPERVSIORY FORMULA METHOD: AVERAGE RISK WEIGHT

LOOK-THROUGH

LOOK-THROUGH: AVERAGE RISK WEIGHT

INTERNAL ASSESSMENT APPROACH

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

RISK-WEIGHTED EXPOSURE AMOUNT

RWEA OF WHICH: SYNTHETIC SECURITISATIONS

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: BEFORE CAP/AFTER CAP

MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

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

ORIGINATOR: TOTAL EXPOSURES

ON-BALANCE SHEET ITEMS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

EARLY AMORTISATION

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 (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

3.9.

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 shall be reported 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.

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.

b.

c.

d.

The row number is a row identifier and shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc.

INTERNAL CODE

IDENTIFIER OF THE SECURITISATION (Code/Name)

IDENTIFIER OF THE ORIGINATOR (Code/Name)

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

TYPE OF RETENTION APPLIED

% OF RETENTION AT REPORTING DATE

COMPLIANCE WITH THE RETENTION REQUIREMENT?

ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR)

NON ABCP PROGRAMS

ORIGINATION DATE (mm/yyyy)

TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

SECURITISED EXPOSURES

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 (%)

SECURITISATION STRUCTURE

ON-BALANCE SHEET ITEMS

SENIOR

MEZZANINE

FIRST LOSS

OFF-BALANCE SHEET ITEMS AND DERIVATIVES

FIRST FORESEEABLE TERMINATION DATE

LEGAL FINAL MATURITY DATE

SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

DIRECT CREDIT SUBSTITUTES (DCS)

IRS/CRS

ELIGIBLE LIQUIDITY FACILITIES

OTHER (INCLUDING NON-ELIGIBLE LF)

EARLY AMORTISATION: CONVERSION FACTOR APPLIED

(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP

TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP

SECURITISATION POSITIONS — TRADING BOOK

CTP OR NON-CTP?

NET POSITIONS — LONG/SHORT

TOTAL OWN FUNDS REQUIREMENTS (SA) - SPECIFIC RISK

4.
4.1.

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 cannot 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.

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)

OWN FUND REQUIREMENT

TOTAL OPERATIONAL RISK EXPOSURE AMOUNT

OF WHICH: DUE TO AN ALLOCATION MECHANISM

AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

(-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION

(-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES

SUBJECT TO TSA

SUBJECT TO ASA

BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

4.2.

General Remarks Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02 irrespective of the approach applied to calculate own funds requirements. Gross loss means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of Regulation (EU) No 575/2013 — before recoveries of any type, without prejudice to rapidly recovered loss events as defined below. Recovery means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries. Rapidly recovered loss events means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR DETAILS reporting at all. Date of accounting means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the Date of occurrence (i.e. the date when the operational risk event happened or first began) and the Date of discovery (i.e. the date on which the institution became aware of the operational risk event). Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses (root-event) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts respectively amounts of loss adjustments shall be summed up. The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, previous reporting reference periods means all reporting reference periods until and including the one ending at the preceding calendar year end. In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get the sum of individual balance sheet totals of all institutions within the same Member State. In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used.

4.2.2.

General Remarks In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line Corporate items as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 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 (new events), the gross loss amount (new events), the number of events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms). For the total business lines, data on the number of events and the gross loss amount is also requested for certain ranges based on set thresholds, 10000, 20000, 100000, and 1000000. The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR. Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only.

TOTAL EVENT TYPES

MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS

Number of events (new events)

Gross loss amount (new events)

Number of loss events subject to loss adjustments

Loss adjustments relating to previous reporting periods

Maximum single loss

Sum of the five largest losses

Total direct loss recovery

Total recovery from insurance and other risk transfer mechanisms

TOTAL BUSINESS LINES

Number of Events

Gross loss amount (new events)

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line. In rows 921 – 924, the gross loss amount for events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

Number of loss events subject to loss adjustments

In row 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of events for which a positive loss adjustment was made within the reporting reference period and the number of events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

Loss adjustments relating to previous reporting periods

In row 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line Corporate items as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines. The amount of loss adjustments shall be broken down into the amount related to events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.

Maximum single loss

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the maximum single loss is the maximum loss over the internal 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. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080:

The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row.

If there are events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of Maximum single loss per business line reported in other rows of column 080.

Sum of the five largest losses

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 of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be 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 row 960 nor the maximum value of sum of the five largest losses in column 080.

Total direct loss recovery

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is the simple aggregation of the total direct loss recovery for each business line.

Total recovery from insurance and other risk transfer mechanisms

Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line Corporate items as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3.

General Remarks In template C 17.02, information on individual loss events shall be provided (one row per event). The information reported in this template shall refer to new events, i.e. operational risk events Only events entailing a gross loss amount of 100000 EUR or more shall be reported. Subject to that threshold,

4.2.3.1.134.135.
4.2.3.1.134.135.136.

(a) the largest event for each event type, provided that the institution has identified the event types for losses and

(b) at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.

4.2.3.2.

The event ID is a row identifier and shall be unique for each row in the table. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.

Date of Accounting

Date of occurrence

Date of discovery

Event Type

Gross loss

Gross loss net of direct recoveries

Gross loss by business line

Legal Entity name

Legal Entity ID

Business Unit

Description

5.137.138.
5.1.

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, HRK, HUF, ISK, JPY, MKD, NOK, PLN, RON, RUB, RSD, SEK, CHF, TRY, UAH, USD and one residual template for all other currencies.

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

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

TRADED DEBT INSTRUMENTS IN TRADING BOOK

GENERAL RISK.

Derivatives

Other assets and liabilities

MATURITY BASED APPROACH

GENERAL RISK. DURATION BASED APPROACH

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

Own funds requirement for securitisation instruments

Own funds requirement for the correlation trading portfolio

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

5.2.

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 1250 % 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.

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)

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

SUPERVISORY FORMULA METHOD

LOOK THROUGH

INTERNAL ASSESSMENT APPROACH

OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS AND SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

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

TOTAL EXPOSURES

SECURITISATIONS

RE-SECURITISATIONS

ORIGINATOR

INVESTOR

SPONSOR

BREAKDOWN OF THE TOTAL SUM OF WEIGHTED NET LONG AND NET SHORT POSITIONS BY UNDERLYING TYPES

5.3.

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 1250 % 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.

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)

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)

OTHER

SUPERVISORY FORMULA METHOD

LOOK THROUGH

INTERNAL ASSESSMENT APPROACH

BEFORE CAP — WEIGHTED NET LONG/SHORT POSITIONS

AFTER CAP — WEIGHTED NET LONG/SHORT POSITIONS

Article 338 taking into account the discretion of Article 335 of CRR.

TOTAL OWN FUNDS REQUIREMENTS

TOTAL EXPOSURES

ORIGINATOR

INVESTOR

SPONSOR

SECURITISATIONS

N-TH-TO-DEFAULT CREDIT DERIVATIVES

OTHER CTP POSITIONS

5.4.

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: Bulgaria, Croatia, Czech Republic, Denmark, Egypt, Hungary, Iceland, Liechtenstein, Norway, Poland, Romania, Sweden, United Kingdom, Albania, Japan, Former Yugoslav Republic of Macedonia, Russian Federation, Serbia, Switzerland, Turkey, Ukraine, USA, Euro Area plus one residual template for all other markets. For the purpose of this reporting requirement the term market shall be read as country (except for countries belonging to the Euro Area, see Commission Delegated Regulation (EU) No 525/2014).

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).

NET POSITIONS (LONG AND SHORT)

Articles 327, 329, 332, 341 and 345 of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

EQUITIES IN TRADING BOOK

GENERAL RISK

Derivatives

Other assets and liabilities

Exchange traded stock-index futures broadly diversified and subject to a particular approach

Other equities than exchange traded stock-index futures broadly diversified

SPECIFIC RISK

Positions in equities subject to specific risk and the correspondent own funds requirement according to Articles 342 and 344 (4) CRR.

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

5.5.

General Remarks Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs. Rows 100 to 480 of this template shall be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of the extent to which they are considered for the purposes of Article 354 CRR. Rows 130 to 480 of 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.

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) of CRR. According to Article 352(2) and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) and positions related to items that are already deducted in the calculation of own funds shall not be reported.

NET POSITIONS (LONG AND SHORT)

Articles 352(3) and (4), first and second sentences, 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

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)

RISK CAPITAL CHARGE (%)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

TOTAL POSITIONS

CURRENCIES CLOSELY CORRELATED

Currencies closely correlated: of which: reporting currency

ALL OTHER CURRENCIES (including CIU's treated as different currencies)

pt_1

GOLD

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Breakdown of total positions (reporting currency included) by exposure types

Other assets and liabilities other than off-balance sheet items and derivatives

Off-balance sheet items

Derivatives

MEMORANDUM ITEMS: CURRENCY POSITIONS

5.6.

Gross long/short positions considered positions in the same commodity according to Article 357(1) and (4) of CRR (see also Article 359(1) of CRR).

NET POSITIONS (LONG AND SHORT)

As defined in Article 357(3) of CRR.

POSITIONS SUBJECT TO CAPITAL CHARGE

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

TOTAL POSITIONS IN COMMODITIES

POSITIONS BY CATEGORY OF COMMODITY

MATURITY LADDER APPROACH

EXTENDED MATURITY LADDER APPROACH

SIMPLIFIED APPROACH

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

5.7.

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.

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)

Previous day VaR (VaRt-1)

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)

Latest available (SVaRt-1)

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Article 364(2) point (b) (ii) in connection with Part Three Title IV Chapter 5 Section 4 of CRR.

Last Measure

ALL PRICE RISKS CAPITAL CHARGE FOR CTP

FLOOR

Article 364(3) point (b).

LAST MEASURE

Article 364(3) point (a)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of overshootings (during previous 250 working days)

VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms)

ASSUMED CHARGE FOR CTP FLOOR — WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP

TOTAL POSITIONS

TRADED DEBT INSTRUMENTS

TDI – GENERAL RISK

TDI – SPECIFIC RISK

EQUITIES

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

COMMODITY RISK

TOTAL AMOUNT FOR GENERAL RISK

TOTAL AMOUNT FOR SPECIFIC RISK

5.8.

Article 271 of CRR in accordance with article 382 of CRR Total EAD from all transactions subject to CVA charge

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)

OWN FUNDS REQUIREMENTS

TOTAL RISK EXPOSURE AMOUNT

Number of counterparties

Of which: proxy was used to determine credit spread

INCURRED CVA

SINGLE NAME CDS

INDEX CDS

CVA risk total

According to Advanced method

According to Standardised method

Based on OEM

6.

GENERAL REMARKS The information for the purpose of template C 33.00 shall cover all exposures to General governments as defined in paragraph 42 (b) of Annex V. Exposures to General governments are included in different exposure classes in accordance with Article 112 and Article 147 of CRR, as specified by the instructions for the completion of template C 07.00, C 08.01 and C 08.02. Table 2 (Standardised approach) and Table 3 (IRB approach), included in Part 3 of Annex 5, shall be observed for the mapping of exposure classes used to calculate capital requirements under the CRR to counterparty sector General governments. Information shall be reported for the total aggregate exposures (meaning the sum of all countries in which the bank has sovereign exposures) and for each country on the basis of the residence of the counterparty on an immediate borrower basis. The allocation of exposures to exposure classes or jurisdictions shall be made without considering credit mitigation techniques and in particular without considering substitution effects. However the calculation of exposure values and risk weighted exposure amounts for each exposure class and each jurisdiction includes the incidence of credit risk mitigation techniques, including substitution effects. The reporting of information on exposures to General governments by jurisdiction of residence of the immediate counterparty other than the domestic jurisdiction of the reporting institution is subject to the thresholds in Article 5 (b) point 3 of this Regulation.

SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS The scope of the GOV template covers on, off-balance sheet and derivatives direct exposures to General governments in the banking and trading book. In addition a memorandum item on indirect exposures in the form of credit derivatives sold on general government exposures is also requested. An exposure is a direct exposure when the immediate counterparty is an entity covered by the definition of General governments. The template is divided in two sections. The first one is based on a breakdown of exposures by risk, regulatory approach and exposure classes whereas a second one is based on a breakdown by residual maturity

ON-BALANCE SHEET EXPOSURES

Total gross carrying amount of non-derivative financial assets

Total carrying amount of non-derivative financial assets (net of short positions)

NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS

Financial assets held for trading

Trading financial assets

Non-trading financial assets mandatorily at fair value through profit or loss

Financial assets designated at fair value through profit or loss

Non-trading non-derivative financial assets measured at fair value through profit or loss

Financial assets at fair value through other comprehensive income

Non-trading non-derivative financial assets measured at fair value to equity

Financial assets at amortised cost

Non-trading non-derivative financial assets measured at a cost-based method

Other non-trading non-derivative financial assets

Short positions

Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

Accumulated impairment

Accumulated impairment — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

Accumulated negative changes in fair value due to credit risk

Accumulated negative changes in fair value due to credit risk — of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

Accumulated negative changes in fair value due to credit risk — of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

DERIVATIVES

Derivatives with positive fair value

Derivatives with positive fair value: Carrying amount

Derivatives with positive fair value: Notional amount

Derivatives with negative fair value

Derivatives with negative fair value: Carrying amount

Derivatives with negative fair value: Notional amount

OFF-BALANCE SHEET EXPOSURES

Nominal amount

Provisions

Accumulated negative changes in fair value due to credit risk

For off-balance sheet items measured at fair value through profit or loss under IFRS 9, accumulated negative changes in fair value due to credit risk (Annex V, Part 2, paragraph110)

Memorandum item: credit derivatives sold on general government exposures

Derivatives with positive fair value — Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a positive fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial assets at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a positive fair value at the reference reporting date, independently how they are accounted for.

Derivatives with negative fair value — Carrying amount

Aggregated carrying amount of the credit derivatives sold on general government exposures reported which have a negative fair value for the institution at the reference reporting date, without considering prudent valuation adjustments. For derivatives under IFRS, the amount to be reported in this column is the carrying amount of the derivatives that are financial liabilities at the reporting date. For derivatives under GAAP based on BAD, the amount to be reported in this column is the fair value of the derivatives with a negative fair value at the reference reporting date, independently how they are accounted for.

Exposure value

Risk weighted exposure amount

BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH

Total exposures

Aggregate of exposures to General governments, as defined in paragraph 1

Exposures under the credit risk framework

Standardised Approach

Central governments

Regional governments or local authorities

Public sector entities

International Organisations

IRB Approach

Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk.

Central governments

Exposures to General governments that are central governments and that are allocated to the Central governments and central banks exposure class in accordance with Article 147(3)(a) CRR, as specified by the instructions for template C 08.01 and C 08.02, with the exception of the specifications as regards the redistribution of exposures to General governments to other exposure classes due to the application of credit risk mitigation techniques with substitution effects on the exposure, which shall not apply..

Regional governments or local authorities [Central governments and central banks]

Regional governments or local authorities [Institutions]

Public sector entities [Central governments and central banks]

Public sector entities [Institutions]

International Organisations [Central governments and central banks]

International Organisations [Institutions]

Exposures subject to market risk

BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY

ANNEX III

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 shall 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. 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

b)

one template for each national market in the Union where the institution is exposed to, and

c)

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 the risk-weighted exposure amount 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 at 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 and irrespective of whether the work out is completed during the period or not. Loss data reported as of 30 June shall refer to the period 1 January until 30 June and loss data reported as of 31 December shall refer to the whole calendar year. 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.

b)

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).

c)

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 010 020

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. In the event of default, the exposure value reported equals the exposure value directly before default.

Residential property

Commercial immovable property

ANNEX IV

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 templates (hereinafter LR) included in Annex X of this Regulation. Overall, the framework consists of six templates: For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

C 47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;

C 40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;

C 41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items – additional breakdown of exposures;

C 42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;

C 43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and

C 44.00: Leverage Ratio Template 5 (LR5): General information.

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 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}. An asterisk sign will be used to refer to 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 cells is mandatory unless otherwise specified.

1.3.8. Abbreviations For the purposes of this annex and related templates the following abbreviations are used:

1.3.8. a.

CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;

b.

SFT, which is an abbreviation of Securities Financing Transaction and shall mean repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction as referred to in Regulation (EU) No 575/2013;

c.

CRM, which is an abbreviation for Credit Risk Mitigation.

1.4.9. Sign convention All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.

PART II TEMPLATE RELATED INSTRUCTIONS

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;060;010LRCalc;070;010LRCalc;080;010LRCalc;090;010LRCalc;100;010LRCalc;110;010LRCalc;120;010LRCalc;130;010LRCalc;140;010Total exposure measure. Where total exposure measure is equal to: {LRCalc;290;010}. Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report. Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met: Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11. Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met: The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}. The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}.

C 47.00 – Leverage ratio calculation (LRCalc) This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value at reporting reference date shall be the value at the last calendar day of the third month of the respective quarter. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply. Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure 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. Legal references and instructions Row and column Exposure Values {010;010} {020;010} {030;010} {040;010} {050;010} {060;010} {070;010} {080;010} {090;010} {100;010} {110;010} {120;010} {130;010} {140;010} {150;010} {160;010} {170;010} {180;010} {190;010} {200;010} {210;010} {220;010} {230;010} {240;010} {250;010} {260;010} {270;010} {280;010} {290;010} {300;010} Row and column Capital {310;010} {320;010} Row and column Leverage Ratio {330;010} {340;010}

SFTs: Exposure in accordance with Articles 429(5) and 429(8) of the CRR

SFTs: Add-on for counterparty credit risk

Derogation for SFTs: Add-on in accordance with Articles 429b(4) and 222 of the CRR

Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR

Article 429b(6)(a), (2) and (3) of the CRR The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b(2) or (3) of the CRR, as applicable. Institutions shall not include in this cell transactions in accordance with Article 429b(6)(c). Institutions shall instead include those items in {010;010} and {020;010} or {010;010} and {030;010}, as applicable.

(-) Exempted CCP leg of client-cleared SFT exposures

Derivatives: Current replacement cost

(-) Eligible cash variation margin received offset against derivatives market value

(-) Exempted CCP leg of client-cleared trade exposures (replacement costs)

Derivatives: Add-on under the mark-to-market method

(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure)

Derogation for derivatives: original exposure method

(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)

Capped notional amount of written credit derivatives

(-) Eligible purchased credit derivatives offset against written credit derivatives

Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(d) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(d) of the CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(c) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(c) of the CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR

Articles 429(10), 111(1)(b) and 166(9) of the CRR The exposure value, in accordance with Articles 429(10) and 111(1)(b) of the CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the CRR is 50 % regardless of the maturity. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

Off-balance sheet items with a 100 % CCF in accordance with CRR 429 (10)

Other assets

Gross-up for derivatives collateral provided

(-) Receivables for cash variation margin provided in derivatives transactions

(-) Exempted CCP leg of client-cleared trade exposures (initial margin)

Adjustments for SFT sales accounting transactions

(-) Fiduciary assets

Article 429(13) of the CRR The value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429(13) of the CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). The amount reported shall also be included in the other assets reported in {190, 010}.

(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR

Articles 429(7) and 113(6) of the CRR Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) of the CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Exposures exempted in accordance with Article 429(14) of the CRR

Article 429(14) of the CRR Exposures exempted in accordance with 429(14) of the CRR subject to the therein stated conditions being met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Asset amount deducted — Tier 1 capital — fully phased-in definition

(-) Asset amount deducted — Tier 1 capital — transitional definition

Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital

Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital

Articles 429(3) and 499(1) of the CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.

capital — transitional definition

Leverage Ratio – using a fully phased-in definition of Tier 1 capital

Leverage Ratio – using a transitional definition of Tier 1 capital

This is the sum of {020;010}, {050;010} and {060;010}.

Derivatives – Accounting value assuming no netting or other CRM

Derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM)

Derivatives – Notional amount

Credit derivatives (protection sold) – Accounting balance sheet value

Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM

Credit derivatives (protection sold) – Add-on under the mark-to-market method (assuming no netting or other CRM)

Credit derivatives (protection sold) – Notional amount

Credit derivatives (protection sold) – Capped notional amount

Credit derivatives (protection sold), which are subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM)

Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount

Credit derivatives (protection sold), which are not subject to a close-out clause – Add-on under the mark-to-market method (assuming no netting or other CRM)

Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount

Credit derivatives (protection bought) – Accounting balance sheet value

Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM

Credit derivatives (protection bought) – Add-on under the mark-to-market method (assuming no netting or other CRM)

Credit derivatives (protection bought) – Notional amount

Credit derivatives (protection bought) – Capped notional amount

Credit derivatives (protection bought) – Capped notional amount (same reference name)

Financial derivatives – Accounting balance sheet value

Financial derivatives – Accounting value assuming no netting or other CRM

Financial derivatives – Add-on under the mark-to-market method (assuming no netting or other CRM)

Financial derivatives — Notional amount

SFTs covered by a master netting agreement – Accounting balance sheet value

SFTs covered by a master netting agreement – Accounting value assuming no netting or other CRM

Securities financing transactions covered by a master netting agreement – Add-on for SFT

SFTs not covered by a master netting agreement – Accounting balance sheet value

SFTs not covered by a master netting agreement — Accounting value assuming no netting or other CRM

SFTs not covered by a master netting agreement – Add-on for SFT

Other assets – Accounting balance sheet value

Other assets – Accounting value assuming no netting or other CRM

Low risk off-balance sheet items in the RSA; of which – nominal value

Revolving retail exposures; of which – Nominal value

Unconditionally cancellable credit cards commitments – Nominal value

Non revolving unconditionally cancellable commitments – Nominal value

Medium/low risk off-balance sheet items under the RSA – Nominal value

Medium risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

Full risk off-balance sheet items under the RSA – Nominal value

Article 111 of the CRR This cell 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. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.

(memo item) Drawn amounts of revolving retail exposures – Nominal value

(memo item) Drawn amounts on unconditionally cancellable credit card commitments – Nominal value

(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments – Nominal value

Cash collateral received in derivatives transactions – Accounting value assuming no netting or other CRM

Receivables for cash collateral posted in derivatives transactions – Accounting value assuming no netting or other CRM

Securities received in an SFT that are recognised as an asset – Accounting value assuming no netting or other CRM

SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or other CRM

Exposures that can benefit from treatment under Article 113(6) of the CRR – Leverage ratio exposure amount hypothetically exempted

The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures for which all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and for which approval laid down in Article 113(6) of the CRR has been provided. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;250;010}.

Exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR – Leverage ratio exposure amount hypothetically exempted

The amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;260;010}.

This is the sum of {020:*} to {100;*}.

Exposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.

Exposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.

Exposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.

Exposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.

Exposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.

Exposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.

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

(memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio

On- and off-balance sheet exposures (SA exposures)

On and off-balance sheet exposures (IRB exposures)

Nominal value

Article 50 of the CRR This is the amount of CET1 capital as defined in 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 1 capital – transitional definition

Total own funds – fully phased-in definition

Total own funds – transitional definition

Asset amount deducted – from CET1 items – fully phased-in definition

Asset amount deducted – from CET1 items – transitional definition

Asset amount deducted – from own funds items – fully phased-in definition

Asset amount deducted – from own funds items – transitional definition

The leverage ratio exposure value calculated as the sum of {LRCalc;150;010}, {LRCalc;160;010}, {LRCalc;170;010} and {LRCalc;180;010} excluding the respective intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR.

Off-balance sheet items; of which – RWA

Trade Finance; of which – Leverage Ratio Exposure Value

Trade Finance; of which – RWA

Under official export credit insurance scheme – Leverage Ratio Exposure Value

Under official export credit insurance scheme – RWA

Derivatives and SFTs subject to a cross-product netting agreement – Leverage Ratio Exposure Value

Derivatives and SFTs subject to a cross-product netting agreement – RWA

Derivatives not subject to a cross-product netting agreement – Leverage Ratio Exposure Value

Derivatives not subject to a cross-product netting agreement – RWA

SFTs not subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of exposures of SFTs 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 – RWA

The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of 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.

Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value

Other assets belonging to the trading book – Leverage Ratio Exposure Value

Other assets belonging to the trading book – RWA

Covered bonds – Leverage Ratio Exposure Value – SA exposures

Covered bonds – Leverage Ratio Exposure Value – IRB exposures

Covered bonds – RWA – SA exposures

Covered bonds – RWA – IRB exposures

Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

Exposures treated as sovereigns – RWA – SA exposures

Exposures treated as sovereigns – RWA – IRB exposures

Central governments and central banks – Leverage Ratio Exposure Value – SA exposures

Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures

Central governments and central banks – RWA – SA exposures

Central governments and central banks – RWA – IRB exposures

Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

Regional governments and local authorities treated as sovereigns – RWA – SA exposures

Regional governments and local authorities treated as sovereigns – RWA – IRB exposures

MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

MDBs and international organisations treated as sovereigns – RWA – SA exposures

MDBs and international organisations treated as sovereigns – RWA – IRB exposures

PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. Institutions shall report net of defaulted exposures.

PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures.

PSEs treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR. Institutions shall report net of defaulted exposures.

PSEs treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR. Institutions shall report net of defaulted exposures.

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – SA exposures

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWA – IRB exposures

Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

Regional governments and local authorities not treated as sovereigns – RWA – SA exposures

Regional governments and local authorities not treated as sovereigns – RWA – IRB exposures

MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

MDBs not treated as sovereigns – RWA – SA exposures

MDBs not treated as sovereigns – RWA – IRB exposures

PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

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. Institutions shall report net of defaulted exposures.

PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR. Institutions shall report net of defaulted exposures.

PSEs not treated as sovereigns – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR. Institutions shall report net of defaulted exposures.

PSEs not treated as sovereigns – RWA – IRB exposures

The risk-weighted exposure amount assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR. Institutions shall report net of defaulted exposures.

Institutions – Leverage Ratio Exposure Value – SA exposures

Institutions – Leverage Ratio Exposure Value – IRB exposures

Institutions – RWA – SA exposures

Institutions – RWA – IRB exposures

Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – SA exposures

Secured by mortgages on immovable properties; of which – Leverage Ratio Exposure Value – IRB exposures

Secured by mortgages on immovable properties; of which – RWA – SA exposures

Secured by mortgages on immovable properties; of which – RWA – IRB exposures

Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures

Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures

Secured by mortgages of residential properties – RWA – SA exposures

Secured by mortgages of residential properties – RWA – IRB exposures

Retail exposures; of which – Leverage Ratio Exposure Value – SA exposures

Retail exposures; of which – Leverage Ratio Exposure Value – IRB exposures

Retail exposures; of which – RWA – SA exposures

Retail exposures; of which – RWA – IRB exposures

Retail SME – Leverage Ratio Exposure Value – SA exposures

Retail SME – Leverage Ratio Exposure Value – IRB exposures

Retail SME – RWA – SA exposures

Retail SME – RWA – IRB exposures

Corporate; of which – Leverage Ratio Exposure Value – SA exposures

Corporate; of which – Leverage Ratio Exposure Value – IRB exposures

Corporate; of which – RWA – SA exposures

Corporate; of which – RWA – IRB exposures

Financial – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures.

Financial – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures.

Financial – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures.

Financial – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}. Institutions shall report net of defaulted exposures.

Non-financial; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR. This is the sum of {260,010} and {270,010}. Institutions shall report net of defaulted exposures.

Non-financial; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. This is the sum of {260,020} and {270,020}. Institutions shall report net of defaulted exposures.

Non-financial; of which – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR. This is the sum of {260,030} and {270,030}. Institutions shall report net of defaulted exposures.

Non-financial; of which – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. This is the sum of {260,040} and {270,040}. Institutions shall report net of defaulted exposures.

SME exposures – Leverage Ratio Exposure Value – SA exposures

SME exposures – Leverage Ratio Exposure Value – IRB exposures

SME exposures – RWA – SA exposures

SME exposures – RWA – IRB exposures

Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures

Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures

Exposures other than SME exposures – RWA – SA exposures

Exposures other than SME exposures – RWA – IRB exposures

Exposures in default – Leverage Ratio Exposure Value – SA exposures

Exposures in default – Leverage Ratio Exposure Value – IRB exposures

Exposures in default – RWA – SA exposures

Exposures in default – RWA – IRB exposures

Other exposures; of which – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}. Institutions shall report net of defaulted exposures.

Other exposures; of which – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}. Institutions shall report net of defaulted exposures.

Other exposures; of which – RWA – SA exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR. Institutions shall report net of defaulted exposures.

Other exposures; of which – RWA – IRB exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR. Institutions shall report net of defaulted exposures.

Securitisation exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. Institutions shall report net of defaulted exposures.

Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. Institutions shall report net of defaulted exposures.

Securitisation exposures – RWA – SA exposures

The risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR. Institutions shall report net of defaulted exposures.

Securitisation exposures – RWA – IRB exposures

The risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR. Institutions shall report net of defaulted exposures.

Trade finance (memo item); of which – Leverage Ratio Exposure Value – SA exposures

Trade finance (memo item); of which – Leverage Ratio Exposure Value – IRB exposures

Trade finance (memo item); of which – RWA – SA exposures

Trade finance (memo item); of which – RWA – IRB exposures

Under official export credit insurance scheme – Leverage Ratio Exposure Value – SA exposures

Under official export credit insurance scheme – Leverage Ratio Exposure Value – IRB exposures

Under official export credit insurance scheme – RWA – SA exposures

Under official export credit insurance scheme – RWA – IRB exposures

The institution shall classify its company structure in accordance with the categories given below:

Derivatives treatment

Institution type

ANNEX V

ANNEX XIV Single Data Point Model

All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities. The single data point model shall meet the following criteria:

(a) provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;

(b) identify all the business concepts set out in Annexes I to XIII, XVI and XVII;

(c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;

(d) provide metrics which define the property or amount of data points;

(e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;

(f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.

ANNEX VI

ANNEX XV Validation Rules

The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency. The validation rules shall meet the following criteria:

(a) define the logical relationships between relevant data points;

(b) include filters and preconditions that define a set of data to which a validation rule applies;

(c) check the consistency of the reported data;

(d) check the accuracy of the reported data;

(e) set default values which shall be applied where the relevant information has not been reported.

ANNEX VII

ANNEX XVIII C 67.00 — CONCENTRATION OF FUNDING BY COUNTERPARTY 1.2. C 68.00 — CONCENTRATION OF FUNDING BY PRODUCT TYPE C 69.00 — PRICES FOR VARIOUS LENGTHS OF FUNDING C 70.00 — ROLL-OVER OF FUNDING

AMM TEMPLATES Template number Template code Name of the template/group of templates ADDITIONAL MONITORING TOOLS TEMPLATES 67 C 67.00 CONCENTRATION OF FUNDING BY COUNTERPARTY 68 C 68.00 CONCENTRATION OF FUNDING BY PRODUCT TYPE 69 C 69.00 PRICES FOR VARIOUS LENGTHS OF FUNDING 70 C 70.00 ROLL-OVER OF FUNDING Total and significant currencies Concentration of funding by counterparty Counterparty Name LEI Code Counterparty Sector Residence of Counterparty Product Type Amount Received Weighted average original maturity Weighted average residual maturity Row ID 010 020 030 040 050 060 070 080 010 TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES 020 1,01 030 1,02 040 1,03 050 1,04 060 1,05 070 1,06 080 1,07 090 1,08 100 1,09 110 1,10 120 ALL OTHER FUNDING Total and significant currencies Concentration of funding by product type Row ID Product Name Carrying amount received Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Weighted average original maturity Weighted average residual maturity 010 020 030 040 050 PRODUCTS GREATER THAN 1 % OF TOTAL LIABILITIES 010 1 RETAIL FUNDING 020 1.1 of which sight deposits 031 1.2 of which term deposits not withdrawable within the following 30 days 041 1.3 of which term deposits withdrawable within the following 30 days 070 1.4 Savings accounts 080 1.4.1 with a notice period for withdrawal greater than 30 days 090 1.4.2 without a notice period for withdrawal greater than 30 days 100 2 WHOLESALE FUNDING 110 2.1 Unsecured wholesale funding 120 2.1.1 of which loans and deposits from financial customers 130 2.1.2 of which loans and deposits from non financial customers 140 2.1.3 of which loans and deposits from intra-group entities 150 2.2 Secured wholesale funding 160 2.2.1 of which SFTs 170 2.2.2 of which covered bond issuance 180 2.2.3 of which asset backed security issuance 190 2.2.4 of which loans and deposits from intra-group entities Total and significant currencies Prices for various lengths of funding Overnight 1 week 1 month 3 months 6 months 1 year 2 years 5 years 10 years Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Row ID Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 010 1 Total Funding 020 1.1 of which: Retail funding 030 1.2 of which: Unsecured wholesale funding 040 1.3 of which: Secured funding 050 1.4 of which: Senior unsecured securities 060 1.5 of which: Covered bonds 070 1.6 of which: Asset backed securities including ABCP Total and significant currencies Roll-over of funding Overnight > 1 day ≤ 7 days > 7 days ≤ 14 days > 14 days ≤ 1 month > 1 Month ≤ 3 Months > 3 Months ≤ 6 Months > 6 Months Total net cashflows Average Term (days) Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Funds Term Roll-over Funds Term New Funds Term Row ID Day Item 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 010 1.1 1 Total funding 020 1.1.1 Retail funding 030 1.1.2 Unsecured wholesale funding 040 1.1.3 Secured funding 050 1.2 2 Total funding 060 1.2.1 Retail funding 070 1.2.2 Unsecured wholesale funding 080 1.2.3 Secured funding 090 1.3 3 Total funding 100 1.3.1 Retail funding 110 1.3.2 Unsecured wholesale funding 120 1.3.3 Secured funding 130 1.4 4 Total funding 140 1.4.1 Retail funding 150 1.4.2 Unsecured wholesale funding 160 1.4.3 Secured funding 170 1.5 5 Total funding 180 1.5.1 Retail funding 190 1.5.2 Unsecured wholesale funding 200 1.5.3 Secured funding 210 1.6 6 Total funding 220 1.6.1 Retail funding 230 1.6.2 Unsecured wholesale funding 240 1.6.3 Secured funding 250 1.7 7 Total funding 260 1.7.1 Retail funding 270 1.7.2 Unsecured wholesale funding 280 1.7.3 Secured funding 290 1.8 8 Total funding 300 1.8.1 Retail funding 310 1.8.2 Unsecured wholesale funding 320 1.8.3 Secured funding 330 1.9 9 Total funding 340 1.9.1 Retail funding 350 1.9.2 Unsecured wholesale funding 360 1.9.3 Secured funding 370 1.10 10 Total funding 380 1.10.1 Retail funding 390 1.10.2 Unsecured wholesale funding 400 1.10.3 Secured funding 410 1.11 11 Total funding 420 1.11.1 Retail funding 430 1.11.2 Unsecured wholesale funding 440 1.11.3 Secured funding 450 1.12 12 Total funding 460 1.12.1 Retail funding 470 1.12.2 Unsecured wholesale funding 480 1.12.3 Secured funding 490 1.13 13 Total funding 500 1.13.1 Retail funding 510 1.13.2 Unsecured wholesale funding 520 1.13.3 Secured funding 530 1.14 14 Total funding 540 1.14.1 Retail funding 550 1.14.2 Unsecured wholesale funding 560 1.14.3 Secured funding 570 1.15 15 Total funding 580 1.15.1 Retail funding 590 1.15.2 Unsecured wholesale funding 600 1.15.3 Secured funding 610 1.16 16 Total funding 620 1.16.1 Retail funding 630 1.16.2 Unsecured wholesale funding 640 1.16.3 Secured funding 650 1.17 17 Total funding 660 1.17.1 Retail funding 670 1.17.2 Unsecured wholesale funding 680 1.17.3 Secured funding 690 1.18 18 Total funding 700 1.18.1 Retail funding 710 1.18.2 Unsecured wholesale funding 720 1.18.3 Secured funding 730 1.19 19 Total funding 740 1.19.1 Retail funding 750 1.19.2 Unsecured wholesale funding 760 1.19.3 Secured funding 770 1.20 20 Total funding 780 1.20.1 Retail funding 790 1.20.2 Unsecured wholesale funding 800 1.20.3 Secured funding 810 1.21 21 Total funding 820 1.21.1 Retail funding 830 1.21.2 Unsecured wholesale funding 840 1.21.3 Secured funding 850 1.22 22 Total funding 860 1.22.1 Retail funding 870 1.22.2 Unsecured wholesale funding 880 1.22.3 Secured funding 890 1.23 23 Total funding 900 1.23.1 Retail funding 910 1.23.2 Unsecured wholesale funding 920 1.23.3 Secured funding 930 1.24 24 Total funding 940 1.24.1 Retail funding 950 1.24.2 Unsecured wholesale funding 960 1.24.3 Secured funding 970 1.25 25 Total funding 980 1.25.1 Retail funding 990 1.25.2 Unsecured wholesale funding 1000 1.25.3 Secured funding 1010 1.26 26 Total funding 1020 1.26.1 Retail funding 1030 1.26.2 Unsecured wholesale funding 1040 1.26.3 Secured funding 1050 1.27 27 Total funding 1060 1.27.1 Retail funding 1070 1.27.2 Unsecured wholesale funding 1080 1.27.3 Secured funding 1090 1.28 28 Total funding 1100 1.28.1 Retail funding 1110 1.28.2 Unsecured wholesale funding 1120 1.28.3 Secured funding 1130 1.29 29 Total funding 1140 1.29.1 Retail funding 1150 1.29.2 Unsecured wholesale funding 1160 1.29.3 Secured funding 1170 1.30 30 Total funding 1180 1.30.1 Retail funding 1190 1.30.2 Unsecured wholesale funding 1200 1.30.3 Secured funding 1210 1,31 31 Total funding 1220 1.31.1 Retail funding 1230 1.31.2 Unsecured wholesale funding 1240 1.31.3 Secured funding

ANNEX VIII

ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII

1. Additional Monitoring Tools

1.

1.1.1.2.3.4.5.6.7.8.9.

General In order to monitor an institution's liquidity risk that falls outside of the scope of the reports on Liquidity Coverage and Stable Funding, institutions shall complete the template in Annex XVIII in accordance with the instructions in this Annex. Total funding shall be all financial liabilities other than derivatives and short positions; Funding with open maturity including on sight deposits shall be considered as maturing overnight. Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. This means that in case of optionality such as in the case of paragraph 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with paragraph 12 of Annex XXIII. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight shall be considered to have a one day maturity. For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution's counterparty, a withdrawal at the first possible date shall be assumed. For perpetual liabilities, except where subject to optionality as referred to in paragraph 12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed. For calculating the threshold according to reporting templates C 67.00 and C 68.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.

1.2.1.2.3.4.5.6.7.8.

Concentration of funding by counterparty (C 67.00) In order to collect information about the reporting institutions' concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this section. Institutions shall report the top ten largest counterparties or a group of connected clients according to Article 4(39) of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in the sublines of section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients which is above the 1 % threshold as at the reporting date; item 1.02 shall be the second largest above the 1 % threshold; and similarly with the remaining items. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding. Institutions shall report the total of all other remaining funding in section 2. The totals of section 1 and section 2 shall equal an institution's total funding as per its balance sheet reported under the financial reporting framework (FINREP). For each counterparty, institutions shall report all of the columns 010 to 080. Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported. Instructions concerning specific columns: Column Legal references and instructions 010 020 030 040 050 060 070 080

Counterparty Name

The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 010 in descending order, that is, in the order of the size of funding obtained. The counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law.

LEI Code

The legal entity identifier code of the counterparty.

Counterparty Sector

One sector shall be allocated to each 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.

Residence of Counterparty

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 country shall be reported.

Product Type

Counterparties reported in column 010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold:

UWF (unsecured wholesale funding obtained from financial customers including interbank money)

UWNF (unsecured wholesale funding obtained from non-financial customers)

SFT (funding obtained from repurchase agreements as defined in Article 4(1) (82) of Regulation (EU) No 575/2013)

CB (funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC)

ABS (funding obtained from asset backed security issuance including asset backed commercial paper)

IGCP (funding obtained from intragroup counterparties)

OSWF (other secured wholesale funding)

OFP (other funding products, e.g. retail funding)

Amount Received

The total amount of funding received from counterparties reported in column 010 shall be recorded in column 060 and institutions shall report carrying amounts therein.

Weighted average original maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average original maturity (in days) for that funding shall be recorded in column 070. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

Weighted average residual maturity

For the amount of funding received reported in column 060, from the counterparty reported in column 010, a weighted average residual maturity, in days, for that funding shall be recorded in column 080. The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty.

1.3.1.2.3.4.5.6.

Concentration of funding by product type (C 68.00) This template seeks to collect information about the reporting institutions' concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows: Row Legal references and instructions 010 020 031 041 070 080 090 100 110 120 130 140 150 160 170 180 190 For the purpose of completing this template institutions shall report the total amount of funding received from each product category, which exceeds a threshold of 1 % of total liabilities. For each product type, institutions shall report all of the columns 010 to 050. The 1 % of total liabilities threshold shall be used to determine those product types from which funding has been obtained in accordance with the following: The figures reported in rows 1. Retail, 2.1 Unsecured wholesale funding, 2.2 Secured wholesale funding can include broader product types than the underlying of which items. Instructions concerning specific columns: Column Legal references and instructions 010 020 030 040 050

1.3.1.

1. Retail funding Retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61

1.1. of which sight deposits; Of the retail funding of row 010 those that are sight deposits.

1.2. of which term deposits not withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits not withdrawable within the following 30 days

1.3. of which term deposits withdrawable within the following 30 days; Of the retail funding of row 010 those that are term deposits withdrawable within the following 30 days

1.4. of which savings accounts with either of the following characteristics: Of the retail funding of row 010 those that are savings accounts with either of the following characteristics: This row shall not be reported.

with a notice period for withdrawal greater than 30 days

without a notice period for withdrawal which is greater than 30 days covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

1.4.1. with a notice period for withdrawal greater than 30 days; Of the retail funding of row 010 those that are savings accounts with a notice period for withdrawal greater than 30 days

1.4.2. without a notice period for withdrawal which is greater than 30 days Of the retail funding of row 010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country.

2. Wholesale funding shall be considered to consist of any of the following: All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61. This row shall not be reported.

2.1. unsecured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is unsecured.

2.1.1. of which loans and deposits from financial customers; Of the funding in row 110, those that consist of loans and deposits from financial customers. Funding from central banks shall be excluded from this row.

2.1.2. of which loans and deposits from non-financial customers; Of the funding in row 110, those that consist of loans and deposits from non-financial customers. Funding from central banks shall be excluded from this row.

2.1.3. of which loans and deposits from intra-group entities; Of the funding in row 110, those that consist of loans and deposits from intra-group entities. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

2.2. secured wholesale funding; All counterparties other than those of retail deposits as defined in Article 3(8) of Delegated Regulation (EC) No 2015/61 where the funding is secured.

2.2.1. of which Securities Financing Transactions; Of the funding in row 150, that which is funding obtained from repurchase agreements as defined in Article 4(1) (82) of Regulation (EU) No 575/2013.

2.2.2. of which covered bond issuances; Of the funding in row 150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013or Article 52(4) of Directive 2009/65/EC

2.2.3. of which asset backed security issuances; Of the funding in row 150, that which is funding obtained from asset backed security issuance including asset backed commercial paper

2.2.4. of which loans and deposits from intra-group entities. Of the funding in row 150, that which is funding obtained from intra-group entities Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis.

1.3.1.2.3.4.

(a) the 1 % of total liabilities threshold shall be applied for the product types referred to in all of the following rows: 1.1 Sight deposit; 1.2 Term deposits not withdrawable within the following 30 days; 1.3 Term deposits within the following 30 days; 1.4 Saving accounts; 2.1 Unsecured wholesale funding; 2.2 Secured wholesale funding;

(b) with regard to the calculation of the 1 % of total liabilities threshold for row 1.4 Saving accounts the threshold shall apply on the sum of 1.4.1 and 1.4.2;

(c) for rows 1. Retail Funding and 2. Wholesale Funding the 1 % of total liabilities threshold applies on aggregated level only.

1.3.1.2.3.4.5.6. Carrying amount received

Carrying amount of funding received for each of the product categories listed in the Product name column shall be reported in column 010 of the template

Amount covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product categories listed in the Product name column reported in column 010, the amount which is covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the Product name column, shall be equal to the total amount received reported in column 010.

Amount not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country

Of the total amount of funding received for each of the product categories listed in the Product name column reported in column 010, the amount which is not covered by a Deposit Guarantee Scheme according to Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 020 and column 030, for each of the product categories listed in the Product name column, shall be equal to the total amount received reported in column 010.

Weighted average original maturity

For the amount of funding received reported in column 010, from the product categories listed in the Product name column, a weighted average original maturity (in days) for that funding shall be recorded in column 040. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

Weighted average residual maturity

For the amount of funding received reported in column 010, from the product categories listed in the Product name column, a weighted average residual maturity (in days) for that funding shall be recorded in column 050. The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

1.4.1.2.3.4.5.6.7.8.9.10.11.12.13.

Prices for Various Lengths of Funding (C 69.00) Institutions shall report the information in template C 69.00, about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period, in accordance with the following original maturities: For the purpose of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three month liability settling in two weeks' time shall be reported in the 3 months maturity (columns 070 and 080). The spread reported in the left hand column of each time bucket shall be one of the following: Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate. The amount of funding obtained for the funding categories listed in the Item column shall be reported in the volume column of the applicable time bucket. In the column volume institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket according to original maturity. As for all items, also for off-balance sheet commitments, institutions shall only report on-balance sheet items. An off-balance sheet commitment provided to the institution shall only be reported in C69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported. Deposits placed by retail customers shall consist of the deposits as defined by Article 3(8) Delegated Regulation (EC) No 2015/61. For funding that has rolled-over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C69.00, funding that rolled-over and is still there at the end of the reporting period shall be considered to represent new funding. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period. Where there is nothing to report, cells relating to spreads shall be left empty. Instructions concerning specific rows: Row Legal references and instructions 010 020 030 040 050 060 070

1.4.1.

(a) overnight in columns 010 and 020;

(b) greater than overnight and less than or equal to 1 week (columns 030 and 040)

(c) greater than 1 week and less than or equal to 1 month in columns 050 and 060;

(d) greater than 1 month and less than or equal to 3 months in columns 070 and 080;

(e) greater than 3 months and less than or equal to 6 months in columns 090 and 100;

(f) greater than 6 months and less than or equal to 1 year in columns 110 and 120;

(g) greater than 1 year and less than or equal to 2 years in columns 130 and 140;

(h) greater than 2 years and less than or equal to 5 years in columns 150 and 160;

(i) greater than 5 years and less than or equal to 10 years in columns 170 and 180.

1.4.1.2.3.

(a) the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction;

(b) the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant benchmark index for the appropriate currency which is three month EURIBOR for EUR or LIBOR for GBP and USD, no later than close of business on the day of the transaction. Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate.

1.4.1.2.3.4.5.6.7.8.9.10.11.12.13.

1 Total Funding Total volume and weighted average spread of all funding shall be obtained for all of the following lengths of time in accordance as follows:

1

(a) overnight in columns 010 and 020;

(b) greater than overnight and less than or equal to 1 week in columns 030 and 040;

(c) greater than 1 week and less than or equal to 1 month in columns 050 and 060;

(d) greater than 1 month and less than or equal to 3 months in columns 070 and 080;

(e) greater than 3 months and less than or equal to 6 months in columns 090 and 100;

(f) greater than 6 months and less than or equal to 1 year in columns 110 and 120;

(g) greater than 1 year and less than or equal to 2 years in columns 130 and 140;

(h) greater than 2 years and less than or equal to 5 years in columns 150 and 160;

(i) greater than 5 years and less than or equal to 10 years in columns 170 and 180.

1.1 of which: Retail funding Of the total funding reported in item 1, the total volume and weighted average spread of retail funding obtained.

1.2 of which: Unsecured wholesale funding Of the total funding in item 1, the total volume and weighted average spread of unsecured wholesale funding obtained.

1.3 of which: Secured funding Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained.

1.4 of which: Senior unsecured securities Of the total funding reported in item 1, the total volume and weighted average spread of senior unsecured securities obtained.

1.5 of which: Covered bonds Of the total funding reported in item 1, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.

1.6 of which: Asset backed securities including ABCP Of the total funding reported in item 1, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

1.5.1.2.3.4.5.6.7.8.9.10.11.12.

Roll-over of funding (C 70.00) This template seeks to collect information about the volume of funds maturing and new funding obtained i.e. roll-over of funding on a daily basis over the month preceding the reporting date. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets according to the original maturity: For each time bucket described in paragraph 2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the Roll over column, new funds obtained shall be reported in the New Funds column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column. Total net cash flows shall be reported in column 290 and shall equal the sum of all Net columns numbered 040, 080, 120, 160, 200, 240 and 280. The average term of funding, in days, for maturing term funds shall be reported in column 300. The average term of funding, in days, of funds rolled over shall be reported in column 310 The average term of funding, in days, for new term funds shall be reported in column 320. The Maturing amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign. The Roll-over amount shall comprise the maturing amount as defined in paragraphs 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the roll-over amount shall be reported in a time bucket according to the new maturity. The New funds amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign. The Net amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the net column the new funds plus the roll over funds minus the maturing funds. Instructions concerning specific columns: Column Legal references and instructions 010 to 040 050 to 080 090 to 120 130 to 160 170 to 200 210 to 240 250 to 280 290 300 to 320

1.5.1.2.

(a) overnight in columns 010 to 040);

(b) between 1 and 7 days in columns 050 to 080);

(c) between 7 and 14 days in columns 090 to 120);

(d) between 14 and 1 month in columns 130 to 160);

(e) between 1 and 3 months in columns 170 to 200);

(f) between 3 and 6 months in columns 210 to 240);

(g) in more than 6 months in columns 250 to 280).

1.5.1.2.3.4.5.6.7.8.9.10.11.12. Overnight

The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 020 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 030 of line item 1.1-1.31. The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 040 of line item 1.1-1.31.

> 1 day ≤ 7 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 060 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 70 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 080 of line item 1.1-1.31.

> 7days ≤ 14 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 100 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 110 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 120 of line item 1.1-1.31.

> 14 days ≤ 1 month

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 140 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 150 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 160 of line item 1.1-1.31.

> 1 Month ≤ 3 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 180 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 190 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 200 of line item 1.1-1.31.

> 3 Months ≤ 6 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 220 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 230 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 240 of line item 1.1-1.31.

> 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 260 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 270 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 280 of line item 1.1-1.31.

Total net cash flows

The total net cash flows equal to the sum of all Net columns numbered 040, 080, 120, 160, 200, 240, 280, shall be reported in column 290.

Average Term (days)

The weighted average term, in days, of all funds maturing shall be reported in column 300. The weighted average term, in days, of all funds rolled over shall be reported in column 310, the weighted average term, in days, of all new funds shall be reported in column 320.

ANNEX IX

ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY C 71.00 — CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER 1.2.

AMM TEMPLATES Template number Template code Name of the template/group of templates CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES 71 C 71.00 CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER Total and significant currencies Concentration of counterbalancing capacity by issuer Issuer LEI code Issuer Sector Residence of Issuer Product Type Currency Credit quality step MtM value/nominal Collateral value CB-eligible Row ID 010 020 030 040 050 060 070 080 090 010 TOP TEN ISSUERS 020 1,01 030 1,02 040 1,03 050 1,04 060 1,05 070 1,06 080 1,07 090 1,08 100 1,09 110 1,10 120 ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY

ANNEX X

ANNEX XXI Instructions for completing the Concentration of Counterbalancing Capacity Template (C 71.00) of Annex XX

Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00) 1.2.3.4.5.6.

In order to collect information about the reporting institutions' concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, institutions shall apply the instructions contained in this Annex. Wherean issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration. The counterbalancing capacity in C71.00 shall be the same as that in C66.00 with the qualification that the assets reported as counterbalancing capacity for the purposes of C71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date. For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies. When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration. Except for row 120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. Column Legal references and instructions 010 020 030 040 050 060 070 080 090

Issuer Name

The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed liquidity lines granted to the institution shall be recorded in column 010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law.

LEI code

The legal entity identifier code of the counterparty.

Issuer Sector

One sector shall be allocated to each issuer or counterparty on the basis of FINREP economic sector classes: (i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households. For groups of connected clients, no sector shall be reported.

Residence of Issuer

ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or 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 country shall be reported.

Product Type

Issuers/Counterparties recorded in column 010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facilityhas been received, using the following codes indicated in bold:

SrB (Senior Bond)

SubB (Subordinated Bond)

CP (Commercial Paper)

CB (Covered Bonds)

US (UCITS-security, i.e. financial instruments representing a share in or asecurity issued by an Undertaking for Collective Investments of transferable securities)

ABS (Asset Backed Security)

CrCl (Credit Claim)

Eq (Equity)

Gold (if physical gold, which can be treated as a single counterparty)

LiqL (Undrawn committed liquidity line granted to the institution)

OPT (Other product type)

Currency

Issuer or counterparties recorded in column 010 shall be assigned a currency ISO code in column 060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution.The three-letter currency unit code according to ISO 4217 shall be reported. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration.

Credit quality step

The appropriate credit quality step shall be assigned in accordance with Regulation (EU) No 575/2013, which shall be the same as that of the items reported in the maturity ladder. Where there is no rating, the step of non-rated shall be assigned.

MtM value/nominal

The market value or fair value of the assets, or, where applicable,the nominal value of the undrawn liquidity line granted to the institution.

Collateral value CB-eligible

The collateral value according to the central bank rules for standing facilities for the specific assets. For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

ANNEX XI

ANNEX XXII REPORTING ON AMM MATURITY LADDER C 66.00 - MATURITY LADDER

AMM TEMPLATES Template number Template code Name of the template/group of templates MATURITY LADDER TEMPLATE 66 C 66.00 MATURITY LADDER TEMPLATE Total and significant currencies Code ID Item Contractual Flow Maturity 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 010-380 1 OUTFLOWS Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 010 1.1 Liabilities resulting from securities issued (if not treated as retail deposits) 020 1.1.1 unsecured bonds due 030 1.1.2 regulated covered bonds 040 1.1.3 securitisations due 050 1.1.4 other 060 1.2 Liabilities resulting from secured lending and capital market driven transactions collateralised by: 070 1.2.1 Level 1 tradable assets 080 1.2.1.1 Level 1 excluding covered bonds 090 1.2.1.1.1 Level 1 central bank 100 1.2.1.1.2 Level 1 (CQS 1) 110 1.2.1.1.3 Level 1 (CQS2, CQS3) 120 1.2.1.1.4 Level 1 (CQS4+) 130 1.2.1.2 Level 1 covered bonds (CQS1) 140 1.2.2 Level 2A tradable assets 150 1.2.2.1 Level 2A corporate bonds (CQS1) 160 1.2.2.2 Level 2A covered bonds (CQS1, CQS2) 170 1.2.2.3 Level 2A public sector (CQS1, CQS2) 180 1.2.3 Level 2B tradable assets 190 1.2.3.1 Level 2B Asset Backed Securities (ABS) (CQS1) 200 1.2.3.2 Level 2B covered bonds (CQS1-6) 210 1.2.3.3 Level 2B: corporate bonds (CQ1-3) 220 1.2.3.4 Level 2B shares 230 1.2.3.5 Level 2B public sector (CQS 3-5) 240 1.2.4 other tradable assets 250 1.2.5 other assets 260 1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) 270 1.3.1 stable retail deposits 280 1.3.2 other retail deposits 290 1.3.3 operational deposits 300 1.3.4 non-operational deposits from credit institutions 310 1.3.5 non-operational deposits from other financial customers 320 1.3.6 non-operational deposits from central banks 330 1.3.7 non-operational deposits from non-financial corporates 340 1.3.8 non-operational deposits from other counterparties 350 1.4 FX-swaps maturing 360 1.5 Derivatives amount payables other than those reported in 1.4 370 1.6 Other outflows 380 1.7 Total outflows 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 390-720 2 INFLOWS Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 390 2.1 Monies due from secured lending and capital market driven transactions collateralised by: 400 2.1.1 Level 1 tradable assets 410 2.1.1.1 Level 1 excluding covered bonds 420 2.1.1.1.1 Level 1 central bank 430 2.1.1.1.2 Level 1 (CQS 1) 440 2.1.1.1.3 Level 1 (CQS2, CQS3) 450 2.1.1.1.4 Level 1 (CQS4+) 460 2.1.1.2 Level 1 covered bonds (CQS1) 470 2.1.2 Level 2A tradable assets 480 2.1.2.1 Level 2A corporate bonds (CQS1) 490 2.1.2.2 Level 2A covered bonds (CQS1, CQS2) 500 2.1.2.3 Level 2A public sector (CQS1, CQS2) 510 2.1.3 Level 2B tradable assets 520 2.1.3.1 Level 2B ABS (CQS1) 530 2.1.3.2 Level 2B covered bonds (CQS1-6) 540 2.1.3.3 Level 2B: corporate bonds (CQ1-3) 550 2.1.3.4 Level 2B shares 560 2.1.3.5 Level 2B public sector (CQS 3-5) 570 2.1.4 other tradable assets 580 2.1.5 other assets 590 2.2 Monies due not reported in 2.1 resulting from loans and advances granted to: 600 2.2.1 retail customers 610 2.2.2 non-financial corporates 620 2.2.3 credit institutions 630 2.2.4 other financial customers 640 2.2.5 central banks 650 2.2.6 other counterparties 660 2.3 FX-swaps maturing 670 2.4 Derivatives amount receivables other than those reported in 2.3 680 2.5 Paper in own portfolio maturing 690 2.6 Other inflows 700 2.7 Total inflows 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 710 2.8 Net contractual gap 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 720 2.9 Cumulated net contractual gap 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 730-1080 3 COUNTERBALANCING CAPACITY Initial stock Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 730 3.1 coins and bank notes 740 3.2 Withdrawable central bank reserves 750 3.3 Level 1 tradable assets 760 3.3.1 Level 1 excluding covered bonds 770 3.3.1.1 Level 1 central bank 780 3.3.1.2 Level 1 (CQS 1) 790 3.3.1.3 Level 1 (CQS2, CQS3) 800 3.3.1.4 Level 1 (CQS4+) 810 3.3.2 Level 1 covered bonds (CQS1) 820 3.4 Level 2A tradable assets 830 3.4.1 Level 2A corporate bonds (CQS1) 840 3.4.3 Level 2A covered bonds (CQS1, CQS2) 850 3.4.4 Level 2A public sector (CQS1, CQS2) 860 3.5 Level 2B tradable assets 870 3.5.1 Level 2B ABS (CQS1) 880 3.5.2 Level 2B covered bonds (CQS1-6) 890 3.5.3 Level 2B corporate bonds (CQ1-3) 900 3.5.4 Level 2B shares 910 3.5.5 Level 2B public sector (CQS 3-5) 920 3.6 other tradable assets 930 3.6.1 central government (CQS1) 940 3.6.2 central government (CQS 2 & 3) 950 3.6.3 shares 960 3.6.4 covered bonds 970 3.6.5 ABS 980 3.6.6 other tradable assets 990 3.7 non tradable assets eligible for central banks 1000 3.8 undrawn committed facilities received 1010 3.8.1 Level 1 facilities 1020 3.8.2 Level 2B restricted use facilities 1030 3.8.3 Level 2B IPS facilities 1040 3.8.4 other facilities 1050 3.8.4.1 from intragroup counterparties 1060 3.8.4.2 from other counterparties 1070 3.9 Net change of Counterbalancing Capacity 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1080 3.10 Cumulated Counterbalancing Capacity 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1090-1130 4 CONTINGENCIES Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 1090 4.1 Outflows from committed facilities 1100 4.1.1 Committed credit facilities 1110 4.1.1.1 considered as Level 2B by the receiver 1120 4.1.1.2 other 1130 4.1.2 Liquidity facilities 1140 4.2 Outflows due to downgrade triggers 1150-1290 MEMORANDUM ITEMS Initial stock Overnight Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks 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 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years 1200 10 Intragroup or IPS outflows (excluding FX) 1210 11 Intragroup or IPS inflows (excluding FX and maturing securities) 1220 12 Intragroup or IPS inflows from maturing securities 1230 13 HQLA central bank eligible 1240 14 non-HQLA central bank eligible 1270 17 Behavioural outflows from deposits 1280 18 Behavioural inflows from loans and advances 1290 19 Behavioural draw-downs of committed facilities

ANNEX XII

ANNEX XXIII INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII

PART I GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.18.19.

In order to capture the maturity mismatch of an institution's activities (maturity ladder) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex. The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported according to the provisions of those legal agreements. Institutions shall not double count inflows. In the column initial stock, the stock of items at the reporting date shall be reported. Only the blank white cells of the template in Annex XXII shall be completed. The section of the maturity ladder template entitled Outflows and inflows shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported. The section of the maturity ladder template entitled Counterbalancing capacity shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported. Cash outflows and inflows in the respective sections outflows and inflows shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections. For the section of the maturity ladder template entitled counterbalancing capacity outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts. Contractual flows shall be allocated across the twenty-two time buckets according to their residual maturity, with days referring to calender days. All contractual flows shall be reported, including all material cash-flows from non-financial activities such as taxes, bonuses, dividends and rents. In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following: Interest outflows and inflows from all on and off balance sheet instruments shall be included in all relevant items of the outflows and inflows sections. Foreign Exchange (FX) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template. Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets. Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank. Past due items and items for which the institution has a reason to expect non- performance shall not be reported. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket according to the maturity of the transaction that generated the reception of the collateral. Intragroup items shall not affect the reporting on a consolidated basis

GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.10.11.12.

(a) where an option to defer payment or receive an advance payment exists, the option shall be presumed to be exercised where it would advance outflows from the institution or defer inflows to the institution;

(b) where the option to advance outflows from the institution is solely at the discretion of the institution, the option shall be presumed to be exercised only where there is a market expectation that the institution will do so. The option shall be presumed not to be exercised where it would advance inflows to the institution or defer outflows from the institution. Any cash outflow that would be contractually triggered by this inflow – as in pass-through financing – shall be reported at the same date as this inflow;

(c) all sight and non-maturing deposits shall be reported as overnight in column 020;

(d) open repos or reverse repos and similar transactions which can be terminated by either party on any day shall be considered to mature overnight unless the notice period is longer than one day in which case they shall be reported in the relevant time bucket according to the notice period;

(e) retail term deposits with an early withdrawal option shall be considered to mature in the time period during which the early withdrawal of the deposit would not incur a penalty according to Article 25 (4) (b) of Regulation (EU) 2015/61.

(f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 220.

PART II INSTRUCTIONS CONCERNING SPECIFIC ROWS

1 OUTFLOWS The total amount of cash outflows shall be reported in the following sub- categories below:

1.1 Liabilities resulting from securities issued Cash outflows arising from debt securities issued by the reporting institution i.e. own issuances.

1.1.1 unsecured bonds due The amount of cash outflows resulting from securities issued reported in line 1.1, which is unsecured debt issued by the reporting institution to third parties.

1.1.2 regulated covered bonds The amount of cash outflows resulting from securities issued, reported in line 1.1, which is bonds eligible for the treatment set out in Article 129(4) or (5) of Regulation (EU) No 575/2013 or Art. 52(4) of Directive 2009/65/EC.

1.1.3 securitisations due The amount of cash outflows resulting from securities issued, reported in line 1.1, which is securitisation transactions with third parties, in accordance with Article 4 (1) point 61 of Regulation (EU) No 575/2013.

1.1.4 other The amount of cash outflows resulting from securities issued reported in line 1.1, other than those reported in the above subcategories.

1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by: Total amount of all cash outflows arising from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013. Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the counterbalancing capacity section.

1.2.1 Level 1 tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 10 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

1.2.1.1 Level 1 excluding covered bonds The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are not covered bonds.

1.2.1.1.1 Level 1 central bank The amount of cash outflows reported in item 1.2.1.1 which is collateralised by assets representing claims on or guaranteed by central banks.

1.2.1.1.2 Level 1 (CQS 1) The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

1.2.1.1.3 Level 1 (CQS 2, CQS3) The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

1.2.1.1.4 Level 1 (CQS 4+) The amount of cash outflows reported in item 1.2.1.1 other than those reported in item 1.2.1.1.1 which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

1.2.1.2 Level 1 covered bonds (CQS1) The amount of cash outflows reported in item 1.2.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

1.2.2 Level 2A tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

1.2.2.1 Level 2A corporate bond (CQS 1) The amount of cash outflows reported in item 1.2.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

1.2.2.2 Level 2A covered bonds (CQS1, CQS2) The amount of cash outflows reported in item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

1.2.2.3 Level 2A public sector (CQS1, CQS2) The amount of cash outflows reported in item 1.2.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.

1.2.3 Level 2B tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1) The amount of cash outflows reported in item 1.2.3 which is collateralised by asset backed securities, including RMBS. Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B shall be required to have credit quality step 1.

1.2.3.2 Level 2B covered bonds (CQS 1-6) The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds.

1.2.3.3 Level 2B corporate bonds (CQS 1-3) The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities.

1.2.3.4 Level 2B shares The amount of cash outflows reported in item 1.2.3 which is collateralised by shares.

1.2.3.5 Level 2B public sector (CQS 3-5) The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4.

1.2.4 other tradable assets The amount of cash outflows reported in item 1.2 which is collateralised by tradable assets not reported in items 1.2.1, 1.2.2 or 1.2.3.

1.2.5 other assets The amount of cash outflows reported in item 1.2 which is collateralised by assets not reported in items 1.2.1, 1.2.2. 1.2.3 or 1.2.4.

1.3 Liabilities not reported in 1.2, resulting from deposits received excluding deposits received as collateral Cash outflows arising from all deposits received with the exception of outflows reported in item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5. Deposits shall be reported according to their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (sight deposits) or non-maturity deposits shall be reported in the overnight bucket.

1.3.1 stable retail deposits The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) and Article 24 of Regulation (EU) 2015/61.

1.3.2 other retail deposits The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 3(8) of Regulation (EU) 2015/61 other than those reported in item 1.3.1.

1.3.3 operational deposits The amount of cash outflows reported in item 1.3, which derives from operational deposits in accordance with Article 27 of Regulation (EU) 2015/61.

1.3.4 non-operational deposits from credit institutions The amount of cash outflows reported in item 1.3, which derives from deposits by credit institutions other than those reported in item 1.3.3.

1.3.5 non-operational deposits from other financial customers The amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 3 (9) of Regulation (EU) 2015/61 other than those reported in item 1.3.3 and 1.3.4.

1.3.6 non-operational deposits from central banks The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by central banks.

1.3.7 non-operational deposits from non-financial corporates The amount of cash outflows reported in item 1.3, which derives from non- operational deposits placed by non-financial corporates.

1.3.8 non-operational deposits from other counterparties The amount of cash outflows reported in item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7.

1.4 FX-swaps maturing Total amount of cash outflows resulting from the maturity of FX-swap transactions such as the exchange of principal amounts at the end of the contract.

1.5 Derivatives amount payables other than those reported in 1.4 Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4. The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

1.5

1. cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the stock column of section 3 of the maturity ladder covering the counterbalancing capacity, with the exception of cash and securities flows in the context of margin calls (cash or securities collateral flows) which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 derivatives cash-outflows and 2.4 derivatives cash- inflows for cash collateral and in section 3 counterbalancing capacity for securities collateral;

2. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts:

2.

(a) flows related to option-like derivatives shall be included only where the strike price is below the market price for a call, or above the market price for a put option (in the money). These flows shall be proxied by applying both of the following:

(a)

(i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder derivatives cash- inflows at the latest exercise date of the option where the bank has the right to exercise the option;

(ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder derivatives cash-outflows at the earliest exercise date of the option where the bank's counterparty has the right to exercise the option;

(b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross contractual flows of cash in the respective time buckets in lines 1.5 derivatives cash- outflows and 2.4 derivatives cash-inflows and the contractual flows of liquid securities in the counterbalancing capacity of the maturity ladder, using the current market-implied forward rates applicable on the reporting date where the amounts are not yet fixed.

1.6 Other outflows Total amount of all other cash outflows, not reported in items 1.1, 1.2, 1.3, 1.4 or 1.5. Contingent outflows shall not be reported here.

1.7 Total outflows The sum of outflows reported in items 1.1, 1.2, 1.3, 1.4, 1.5 and 1.6.

2.1 Monies due from secured lending and capital market driven transactions collateralised by: Total amount of cash inflows from secured lending and capital market driven transactions as defined in Article 192 of Regulation (EU) No 575/2013. Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the counterbalancing capacity section.

2.1.1 Level 1 tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

2.1.1.1 Level 1 excluding covered bonds The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are not covered bonds.

2.1.1.1.1 Level 1 central bank The amount of cash inflows reported in item 2.1.1.1 which is collateralised by assets representing claims on or guaranteed by central banks.

2.1.1.1.2 Level 1 (CQS 1) The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

2.1.1.1.3 Level 1 (CQS 2, CQS3) The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

2.1.1.1.4 Level 1 (CQS 4+) The amount of cash inflows reported in item 2.1.1.1 other than those reported in item 2.1.1.1.1, which is collateralised by assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

2.1.1.2 Level 1 covered bonds (CQS1) The amount of cash inflows reported in item 2.1.1 which is collateralised by assets that are covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

2.1.2 Level 2A tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

2.1.2.1 Level 2A corporate bond (CQS 1) The amount of cash inflows reported in item 2.1.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

2.1.2.2 Level 2A covered bonds (CQS1, CQS2) The amount of cash inflows reported in item 2.1.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

2.1.2.3 Level 2A public sector (CQS1, CQS2) The amount of cash inflows reported in item 2.1.2 which is collateralised by assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A shall be either credit quality step 1 or credit quality step 2.

2.1.3 Level 2B tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

2.1.3.1 Level 2B ABS (CQS 1) The amount of cash inflows reported in item 2.1.3 which is collateralised by asset backed securities, including RMBS.

2.1.3.2 Level 2B covered bonds (CQS 1-6) The amount of cash inflows reported in item 2.1.3 which is collateralised by covered bonds.

2.1.3.3 Level 2B corporate bonds (CQS 1-3) The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities.

2.1.3.4 Level 2B shares The amount of cash inflows reported in item 2.1.3 which is shares.

2.1.3.5 Level 2B public sector (CQS 3-5) The amount of cash inflows reported in item 2.1.3 which is Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4.

2.1.4 other tradable assets The amount of cash inflows reported in item 2.1 which is collateralised by tradable assets not reported in items 2.1.1, 2.1.2 or 2.1.3.

2.1.5 other assets The amount of cash inflows reported in item 2.1 which is collateralised by assets not reported in items 2.1.1, 2.1.2, 2.1.3 or 2.1.4.

2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to: Cash inflows from loans and advances. Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities.

2.2.1 retail customers The amount of cash inflows reported in item 2.2, which derives from natural persons or SMEs in accordance with Article 3(8) of Regulation (EU) 2015/61.

2.2.2 non-financial corporates The amount of cash inflows reported in item 2.2, which derives from non- financial corporates.

2.2.3 credit institutions The amount of cash inflows reported in item 2.2, which derives from credit institutions.

2.2.4 other financial customers The amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 3(9) of Regulation (EU) 2015/61 other than those reported in item 2.2.3.

2.2.5 central banks The amount of cash inflows reported in item 2.2, which derives from central banks.

2.2.6 other counterparties The amount of cash inflows reported in item 2.2, which derives from other counterparties not referred to in sections 2.2.1-2.2.5.

2.3 FX-swaps maturing Total amount of contractual cash inflows resulting from the maturity of FX Swap transactions such as the exchange of principal amounts at the end of the contract. This reflects the maturing notional value of cross-currency swaps, FX spot and forward transactions in the applicable time buckets of the template.

2.4 Derivatives amount receivables other than those reported in 2.3 Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3. The total amount shall include settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets:

2.4

1. cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from both maturity ladder templates, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. Stocks of cash and securities collateral that have already been received or provided in the context of collateralised derivatives shall not be included in the stock column of section 3 of the maturity ladder covering the counterbalancing capacity with the exception of cash and securities flows in the context of margin calls which are payable in due course but have not yet been settled. The latter shall be reflected in lines 1.5 derivatives cash-outflows and 2.4 derivatives cash- inflows for cash collateral and in section 3 counterbalancing capacity for securities collateral in the maturity ladder;

2. for cash and securities inflows and outflows related to derivatives for which there is no collateral agreement in place or where only partial collateralisation is required, a distinction shall be made between contracts that involve optionality and other contracts:

2.

(a) flows related to option-like derivatives shall be included only if they are in the money. These flows shall be proxied by applying both of the folloowing:

(a)

(i) including the current market value or net present value of the contract as inflow in line 2.4 of the maturity ladder derivatives cash-inflows at the latest exercise date of the option where the bank has the right to exercise the option;

(ii) including the current market value or net present value of the contract as outflow in line 1.5 of the maturity ladder derivatives cash-outflows at the earliest exercise date of the option where the bank's counterparty has the right to exercise the option;

(b) flows related to other contracts than those referred to in point (a) shall be included by projecting the gross buckets in lines 1.5 derivatives cash- outflows and 2.4 derivatives cash-inflows and the contractual flows of securities in the counterbalancing capacity of the maturity ladder, using the current market- implied forward rates applicable on the reporting date where the amounts are not yet fixed.

2.5 Paper in own portfolio maturing The amount of inflows which is principal repayment from own investments due taken in bonds, reported according to their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here.

2.6 Other inflows Total amount of all other cash inflows, not reported in items 2.1, 2.2, 2.3, 2.4 or 2.5 above. Contingent inflows shall not be reported here.

2.7 Total inflows Sum of inflows reported in items 2.1, 2.2, 2.3, 2.4, 2.5 and 2.6.

2.8 Net contractual gap Total Inflows reported in item 2.7 less total outflows reported in item 1.7.

2.9 Cumulated net contractual gap Cumulated net contractual gap from the reporting date to the upper limit of a relevant time bucket.

3 COUNTERBALANCING CAPACITY The Counterbalancing Capacity of the maturity ladder shall contain information on the development of an institution's holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution. For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis. Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration. Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds. Assets that the institution received as collateral in reverse repo and Secured Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution's use. In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in item 3.8. Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 010. Columns 020 to 220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket in item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature. A change to the contractually available amount of credit and liquidity lines reported in item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock in item 3.2 and as a cash outflow in the maturity bucket overnight for this item. Correspondingly, the resultant cash inflow shall be reported in item 2.2.5. Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported in item 2.5. All security values shall be reported in the relevant bucket at current market values. In item 3.8 only contractually available amounts shall be reported. To avoid double counting, cash-inflows shall not be accounted for in item 3.1 or 3.2 of the counterbalancing capacity. Items in the counterbalancing capacity shall be reported in the following sub- categories below:

3.1 Coins and bank notes Total amount of cash arising from coins and banknotes.

3.2 Withdrawable central bank reserves Total amount of reserves at central banks according to Article 10(1)(b)(iii) of Regulation (EU) 2015/61 withdrawable overnight at the latest. Securities representing claims on or guaranteed by central banks shall not be reported here.

3.3 Level 1 tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 10 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 1 assets shall be reported in the below subcategories corresponding to their underlying assets.

3.3.1 Level 1 excluding covered bonds The amount reported in item 3.3 which is not covered bonds.

3.3.1.1 Level 1 central bank The amount reported in item 3.3.1 which is assets representing claims on or guaranteed by central banks.

3.3.1.2 Level 1 (CQS 1) The amount reported in item 3.3.1 other than the amount reported in item 3.3.1.1, which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 1 by a nominated ECAI.

3.3.1.3 Level 1 (CQS 2, CQS3) The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 2 or 3 by a nominated ECAI.

3.3.1.4 Level 1 (CQS 4+) The amount reported in item 3.3.1 other than those reported in item 3.3.1.1 which is assets representing claims on or guaranteed by issuer or guarantor that is assigned credit quality step 4 or worse by a nominated ECAI.

3.3.2 Level 1 covered bonds (CQS1) The amount reported in item 3.3 which is covered bonds. Note that in accordance with Article 10(1)(f) of Regulation (EU) 2015/61 only CQS 1 covered bonds are eligible as Level 1 assets.

3.4 Level 2A tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 11 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

3.4.1 Level 2A corporate bond (CQS 1) The amount reported in item 3.4 which is corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

3.4.2 Level 2A covered bonds (CQS 1, CQS2) The amount reported in item 3.4 which is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

3.4.3 Level 2A public sector (CQS1, CQS2) The amount reported in item 3.4 which is assets representing claims on or guaranteed by central governments, central banks, regional governments, local authorities or public sector entities. Note that in accordance with Article 11(1)(a) and (b) of Regulation (EU) 2015/61 all public sector assets eligible as Level 2A must be either credit quality step 1 or credit quality step 2.

3.5 Level 2B tradable assets The market value of tradable assets in accordance with Articles 7, 8 and 12 or 13 of Regulation (EU) 2015/61. CIU shares or units in accordance with article 15 of Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

3.5.1 Level 2B ABS (CQS 1) The amount reported in item 3.5 which is asset backed securities (including RMBS). Note that in accordance with Article 13(2)(a) of Regulation (EU) 2015/61 all asset backed securities qualifying as Level 2B have credit quality step 1.

3.5.2 Level 2B covered bonds (CQS 1-6) The amount reported in item 3.5 which is covered bonds.

3.5.3 Level 2B corporate bonds (CQS 1-3) The amount reported in item 3.5 which is corporate debt securities.

3.5.4 Level 2B shares The amount reported in item 3.5 which is shares.

3.5.5 Level 2B public sector (CQS 3-5) The amount reported in 3.5 which is Level 2B assets not reported in items 3.5.1 to 3.5.4.

3.6 other tradable assets The market value of tradable assets other than those reported in items 3.3, 3.4 and 3.5. Securities and securities flows from other tradable assets in the form of intragroup or own issuances shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

3.6.1 central government (CQS1) The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 1 by a nominated ECAI.

3.6.2 central government (CQS2-3) The amount reported in item 3.6 which is an asset representing a claim on or guaranteed by a central government that is assigned credit quality step 2 or 3 by a nominated ECAI.

3.6.3 shares The amount reported in item 3.6 which is shares.

32 more provisions are not shown here; each has its own address.

Versions

  1. 2017-11-09