Address https://gelex.eu/eli/EU/regulation/2021/451@2020-12-17/en

Contents

1. Preamble
2. 1. Article 1 Subject matter and scope
   2. Article 2 Reporting reference dates
   3. Article 3 Reporting remittance dates
   4. Article 4 Reporting thresholds – entry and exit criteria
   5. Article 5 Reporting on own funds and own funds requirements on an individual basis – quarterly reporting
   6. Article 6 Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting
   7. Article 7 Reporting on own funds and own funds requirements on a consolidated basis
   8. Article 8 Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis
   9. Article 9 Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis
   10. Article 10 Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis
   11. Article 11 Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council
   12. Article 12 Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks
   13. Article 13 Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis
   14. Article 14 Reporting on large exposures on an individual and a consolidated basis
   15. Article 15 Reporting on leverage ratio on an individual and a consolidated basis
   16. Article 16 Reporting on the liquidity coverage requirement on an individual and a consolidated basis
   17. Article 17 Reporting on stable funding on an individual and a consolidated basis
   18. Article 18 Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis
   19. Article 19 Reporting on asset encumbrance on an individual and a consolidated basis
   20. Article 20 Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates
   21. Article 21 Data exchange formats and information accompanying submissions
   22. Article 22 Repeal of Implementing Regulation (EU) No 680/2014
   23. Article 23 Entry into force and application
3. ANNEX
4. ANNEX I C 01.00 - OWN FUNDS (CA1) C 02.00 - OWN FUNDS REQUIREMENTS (CA2) C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) C 04.00 - MEMORANDUM ITEMS (CA4) C 05.01 - TRANSITIONAL PROVISIONS (CA5.1) C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) C 06.01 - 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 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3) C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4) C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5) C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7) 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 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC) C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach) C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1) C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2) C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3) C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4) C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5) C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6) C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7) C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8) C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9) C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10) (i)(ii)(iii)(iv)(i)(ii)(iii)(iv) C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11) 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) 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 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1) C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3) C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV) C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1) C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2) C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3) REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS SA Exposure class IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: Type of specialised lending: Country: Country: Country: Approach: Exposures CCR approach IRB Exposure class Own estimates of LGD and/or conversion factors: Currency: National market: Country:
5. ANNEX II INSTRUCTIONS FOR REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS
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. 1.1.11.12.13.14.15.
13. 1.1.11.
14. 1.1.11.12.13.14.
15. 1.2.
16. 1.3.
17. 1.4.
18. 1.4.1.
19. 1.5.
20. 1.5.1. a)
21. 1.6.
22. 1.6.1.16.17.18.19.20.
23. 1.6.1.16.17.
24. 1.6.2.21.22.23.24.25.
25. 1.6.3.26.
26. 1.6.3.1.2.2.2.3.
27. 2.
28. 2.1.27.(a)(b)(c)(d)28.29.
29. 2.3.32.33.34.35.36.37.38.
30. 2.5.
31. 3.
32. 3.1.39.
33. 3.1.1.40.41.42.43.
34. 3.2.
35. 3.2.1.45. a)
36. 3.2.2.46.47.48.49.50.51.52.53.54.55.
37. 3.2.2.46.47.48.
38. 3.2.2.46.47.48.49.
39. 3.2.2.46.47.48.49.50.51.52.
40. 3.2.3.56.57.58.59.60.61.62.63.64.65.
41. 3.2.3.56.
42. 3.2.3.56.57.58.59.60.61.62.
43. 3.2.4.
44. 3.2.4.1.66.67.68.
45. 3.2.4.2.69.70.
46. 3.2.5.
47. 3.3.
48. 3.3.1.72.73.74.75.
49. 3.3.1.72. i.
50. 3.3.1.72.73.74. i.
51. 3.3.2.76.
52. 3.3.3.
53. 3.3.1.
54. 3.3.2.
55. 3.3.2.1.78.79.
56. 3.3.3.2.
57. 3.3.4.
58. 3.3.5.
59. 3.3.5.1.82.
60. 3.3.6.
61. 3.3.6.1.83.84.
62. 3.4.85.86.87.
63. 3.4.1.
64. 3.4.2.
65. 3.4.3.
66. 3.4.3.1.88.89.90.91.
67. 3.4.3.2.
68. 3.5.
69. 3.5.1.92.93.94.95.96.97.
70. 3.5.1.92.93.94.
71. 3.6.
72. 3.6.1.99.100.101.102.103.104.105.
73. 3.7.
74. 3.7.1.106.107.108.
75. 3.7.2.109.110.
76. 3.7.2.
77. 3.8.
78. 3.8.1.111.112.113.114.115.
79. 3.8.1.111.112. a.
80. 3.8.2116.117.
81. 3.8.3
82. 3.8.4.118.
83. 3.9.
84. 3.9.1.119.120.121.
85. 3.9.2.
86. 3.9.2.1.122.123.
87. 3.9.3.
88. 3.9.4.
89. 3.9.5.
90. 3.9.6.
91. 3.9.7.
92. 3.9.7.1.126.127.
93. 3.9.7.2.
94. 3.9.8.
95. 3.9.8.1.128.129.130.
96. 3.9.9.
97. 3.9.10.
98. 3.9.11.
99. 3.9.11.1.132.
100. 3.9.12.
101. 3.9.12.1.133.134.135.
102. 4.
103. 4.1.
104. 4.1.1.136.137.138.139.140.141.
105. 4.2.
106. 4.2.1.142.143.144.145.146.147.148.149.150.
107. 4.2.2.
108. 4.2.2.1.151.152.153.154.
109. 4.2.2.2.
110. 4.2.3.
111. 4.2.3.1.155.156.157.
112. 4.2.3.1.155.156.
113. 5.158.159.
114. 5.1.
115. 5.1.1.160.161.
116. 5.2.
117. 5.2.1.162.163.164.
118. 5.3.
119. 5.3.1.165.166.167.168.
120. 5.4.
121. 5.4.1.169.170.
122. 5.5.
123. 5.5.1.171.172.
124. 5.5.2.
125. 5.6.
126. 5.7.
127. 5.7.1.174.175.
128. 5.8.
129. 6.
130. 6.1.
131. 6.1.1.176.177.
132. 6.2.
133. 6.2.1.178.179.180.
134. 6.2.1.178.179.
135. 6.3.
136. 6.3.1.181.182.183.184.185.
137. 6.4.
138. 6.4.1.186.187.188.189.190.
139. 7.
140. 7.1.191.192.193.194.195.196.
141. 7.2.197.198.199.
142. 8.
143. 8.1.200.201.202.203.204.205.
144. 8.1.200.201. a)
145. 8.2.
146. 8.3.
147. 8.4.
148. ANNEX III REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS
149. 1.
150. 4.
151. 5.
152. 6.
153. 7.
154. 8.
155. 9.
156. 11.
157. 12.
158. 13.
159. 16.
160. 16.4
161. 17.
162. 18.
163. 20.
164. 20.4 z-axis Country of residence of the counterparty
165. 20.5 z-axis Country of residence of the counterparty
166. 20.6 z-axis Country of residence of the counterparty
167. 20.7.1 z-axis Country of residence of the counterparty
168. 22.
169. 23.
170. 24.
171. 25.
172. 30.
173. 31.
174. 40.
175. 41.
176. 44.
177. 45
178. ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS
179. 1.
180. 4.
181. 5.
182. 6.
183. 7.
184. 8.
185. 9.
186. 11.
187. 12.
188. 13.
189. 16.
190. 17.
191. 18
192. 20.
193. 20.4 Country of residence of the counterparty:
194. 20.5 Country of residence of the counterparty:
195. 20.6 Country of residence of the counterparty:
196. 20.7.1 Country of residence of the counterparty:
197. 22.
198. 23.
199. 24.
200. 25.
201. 30.
202. 31.
203. 40.
204. 41.
205. 44
206. 45
207. ANNEX V INSTRUCTIONS FOR REPORTING ON FINANCIAL INFORMATION
208. PART 1 GENERAL INSTRUCTIONS
209. 1.1.2.3.4.
210. 1.1.2.3.4.5.
211. 2.6.7.8.9.10.11. Table 1 Credit/debit convention, positive and negative signs
212. 3.12.
213. 4.13.14.
214. 4.1.15.16.17.18.19.20.21.22.
215. 4.1.15.
216. 4.1.15.16.
217. 4.2.23.24.25.26.
218. 4.2.23.
219. 4.2.23.24.
220. 5.27.28.29.
221. 5.1.30.31.32.33.
222. 5.2.34.
223. 5.3.35.36.37.38.39.40.41.
224. 6.42.
225. 6.42.43.44.
226. PART 2 TEMPLATE RELATED INSTRUCTIONS
227. 1.
228. 1.1.1.2.3.4.5.6.7.
229. 1.2.8.9.10.11.12.13.14.15.
230. 1.3.16.17.18.19.20.21.22.23.24.25.26.27.28.29.30.
231. 1.3.16.17.18.19.20.21.22.23.24.25.26.27.
232. 2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.47.48.48i.49.50.51.52.53.54.55.56.
233. 2.31.32.
234. 2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.
235. 3.57.58.59.60.61.62.63.64.65.66.
236. 3.57.58.59.60.
237. 4.67.68.69.70.71.72.73.74.75.76.78.79.80.81.82.
238. 4.67.68.69.70.
239. 5.83.84.85.86.87.88.89.
240. 5.83.84.85.
241. 5.83.84.85.86.
242. 5.83.84.85.86.87.88.
243. 6.90.91.92.93.
244. 8.97.98.99.100.101.
245. 8.97.98.
246. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.117.118.119.
247. 9.102.103.104.105.
248. 9.102.103.104.105.106.107.108.109.110.111.112.113.
249. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.
250. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.
251. 9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.
252. 10.120.121.122.123.124.125.126.127.128.
253. 10.1.129.130.
254. 10.1.129.
255. 10.2.131.132.133.134.135.136.
256. 10.2.131.132.133.
257. 10.3.137.138.139.140.
258. 10.3.137.
259. 10.4.141.142.
260. 10.4.141.
261. 10.5.143.144.
262. 10.7.146.147.148.149.150.151.152.
263. 11.
264. 11.1.153.154.155.
265. 11.2.156.157.158.159.160.161.162.163.164.165.166.166i.
266. 11.2.156.157.158.159.160.161.162.163.164.
267. 11.2.156.157.158.159.160.161.162.163.164.165.
268. 11.3.167.168.169.170.
269. 12.
270. 12.1.171.172.173.174.
271. 12.1.171.172.173.
272. 12.2.175.175i.175ii.
273. 13.177.178.179.
274. 14.180.181.182.183.184.185.
275. 14.180.181.182.183.
276. 15.186.
277. 15.1.187.188.189.190.191.192.193.194.194i.194ii.
278. 15.1.187.
279. 15.1.187.188.
280. 15.2.195.196.
281. 15.3.197.198.199.
282. 15.4.200.
283. 15.5.201.202.
284. 15.6.203.204.
285. 15.7.205.206.207.
286. 15.9.208i.208ii.208iii.208iv.208v.208vi.208vii.208viii.208ix.208x.
287. 16.209.210.211.212.
288. 17.
289. 17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.234.234i.235.236.237.238.239.
290. 17.1.213.215.216.217.218.219.
291. 17.1.213.215.216.217.218.219.220.221.222.223.226.
292. 17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.
293. 17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.234.234i.
294. 17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.234.234i.235.236.237.
295. 17.2.239i.239ii.239iii.239iv.239v.239vi.239vii.
296. 17.2.239i.239ii.239iii.239iv.239v.
297. 17.3.239viii.239ix.239x.239xi.
298. 18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.260.261.262.263.264.265.266.267.268.
299. 18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.
300. 18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.260.261.262.
301. 18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.260.261.262.263.264.
302. 19.269.
303. 19.2.271.272.273.274.275.276.277.
304. 21.280.
305. 21.1.281.282.283.284.
306. 21.1.281.
307. 21.2.285.
308. 23.288.289.
309. 23.1.290.291.
310. 23.2.292.293.
311. 23.2.292.
312. 24.294.295.
313. 24.1.296.
314. 24.2.297.
315. 25.
316. 25.2.299.300.301.
317. 26.302.303.303i.
318. 28.306.
319. 28.1.307.308.
320. 28.2.309.310.
321. 28.3.311.
322. 28.4.311i.311ii.
323. 28.4.311i.
324. 29.
325. 29.3.314.315.316.
326. 31.319.320.321.322.323.324.325.326.327.
327. 32.
328. 32.1.328.329.330.331.332.333.334.
329. 32.1.328.329.
330. 32.1.328.329.330.
331. 32.2.335.336.337.338.339.
332. 32.2.335.336.
333. 32.2.335.336.337.338.
334. 33.341.
335. 33.1.342.343.344.345.346.347.348.349.
336. 33.1.342.343.344.345. a)
337. 33.1.342.343.344.345.346. a)
338. 33.2.350.351.352.
339. 33.3.353.354.
340. 34.355.356.357.358.359.360.361.
341. 34.355.356.357.358.
342. 34.355.356.357.358.359.360.
343. 35.362.363.364.
344. PART 3 1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a)(b)(c)(d)(e)(f)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach
345. ANNEX VI REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES) Country:
346. ANNEX VII INSTRUCTIONS FOR REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY 1.2.
347. 3.10. a)
348. 4.11.12.13.14.15.
349. 4.11.12.13. a)
350. 5. Sum of losses stemming from lending up to the reference percentages
351. ANNEX VIII C 26.00 — Large Exposures limits (LE Limits) C 27.00 — Identification of the counterparty (LE 1) C 28.00 — Exposures in the non-trading and trading book (LE 2) C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3) TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK
352. ANNEX IX INSTRUCTIONS FOR REPORTING ON LARGE EXPOSURES AND CONCENTRATION RISK
353. PART I GENERAL INSTRUCTIONS
354. 1.1.2.3.4.5.6.
355. 1.1.
356. PART II TEMPLATE RELATED INSTRUCTIONS
357. 1.1.2.3.4.5.6.7.8.
358. 2.9.10.
359. 3.11.12.13.14.15.16.17.18.19.20.
360. 3.11.12.13.14.15.
361. 4.
362. 4.1. Non institutions
363. 5.
364. 5.1. Counterparty Identification:
365. 6.
366. 6.1. Code
367. 7.
368. 7.1. Code
369. ANNEX X C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) C 44.00 — GENERAL INFORMATION (LR5) C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc) C 48.01 — Leverage ratio volatility: Mean value for the reporting period (LR6.1) C 48.02 — Leverage ratio volatility: daily values for the reporting period (LR6.2) REPORTING ON LEVERAGE
370. ANNEX XI INSTRUCTIONS FOR REPORTING ON LEVERAGE
371. PART I GENERAL INSTRUCTIONS
372. 1.
373. 1.3.8. a.
374. 1.4.9. a.
375. PART II TEMPLATE RELATED INSTRUCTIONS
376. 2.4.5.6.7.8.9.10.11.12.13.14.
377. 2.4.5.6.7.8.9.10. a)
378. 2.4.5.6.7.8.9.10.11.12. a)
379. 3.15.16.17.18.19.
380. Tier 1 capital – fully phased-in definition
381. Pillar 2 requirement (P2R) to address risks of excessive leverage
382. Pillar 1 Leverage Ratio requirement
383. 4.20.21.22.23.
384. 5.24.25.26.27.
385. 6.28. Institution’s company structure
386. 8. Mean value for the reporting period – SFTs exposure value
387. 9.30. Reference date within reporting period
388. ANNEX XII REPORTING ON NET STABLE FUNDING RATIO C 80.00 — NSFR — REQUIRED STABLE FUNDING C 81.00 — NSFR — AVAILABLE STABLE FUNDING C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING C 84.00 — NSFR Summary Currency Currency Currency Currency Currency
389. ANNEX XIII INSTRUCTIONS FOR REPORTING ON STABLE FUNDING
390. PART I GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.
391. PART II REQUIRED STABLE FUNDING
392. 1.10.11.12.13.14.15.16.17.
393. 1.10.11.12.13. i.
394. 2. Amount of non-HQLA
395. 3.
396. PART III AVAILABLE STABLE FUNDING
397. 1.18.19.20.21.22.23.24.
398. 1.18. i.
399. 2. Amount
400. 3.
401. PART IV SIMPLIFIED REQUIRED STABLE FUNDING
402. 1.25.26.27.28.29.30.31.32.
403. 1.25.26.27.28. i.
404. 2. Amount of non-HQLA
405. 3.
406. PART V SIMPLIFIED AVAILABLE STABLE FUNDING
407. 1.33.34.35.36.37.38.39.
408. 1.33. i.
409. 2. Amount

THE EUROPEAN COMMISSION,

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

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, and in particular the first subparagraph of Article 415(3), the first subparagraph of Article 415(3a), the first subparagraph of Article 430(7) and the second subparagraph of Article 430(9) thereof,

Whereas:

(1) Without prejudice to the powers of competent authorities under Article 104(1), point (j), of Directive 2013/36/EU of the European Parliament and of the Council Commission Implementing Regulation (EU) No 680/2014 lays down, on the basis of Article 430 of Regulation (EU) No 575/2013, a coherent reporting framework. Implementing Regulation (EU) No 680/2014 has been amended several times following the amendments of Regulation (EU) No 575/2013 adopted to introduce, further develop or adapt prudential elements.

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

(3) Taking into account the international standards of the Basel Committee on Banking Supervision, Regulation (EU) 2019/876 of the European Parliament and of the Council amended Regulation (EU) No 575/2013 in a number of aspects, such as the leverage ratio, the net stable funding requirement, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, and reporting and disclosure requirements. The reporting framework laid down in Implementing Regulation (EU) No 680/2014 should therefore be revised and the set of templates for the collection of information for supervisory reporting purposes should be updated.

(4) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a Tier 1 capital leverage ratio requirement calibrated at 3 %, a range of adjustments to the calculation of leverage ratio exposure, and a leverage ratio buffer requirement for institutions identified as global systemically important institutions (G-SIIs) in accordance with Directive 2013/36/EU. The leverage ratio reporting should therefore be updated to reflect those requirements and adjustments in the exposure calculation.

(5) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 net stable funding ratio (NSFR) reporting requirements, including simplified requirements. It is therefore necessary to lay down a new set of reporting templates and instructions.

(6) Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a new supporting factor to be applied to infrastructure projects’ exposures and updated approaches to calculating risk-weighted exposure amounts for collective investment undertakings. It is therefore necessary to lay down, also in accordance with the disclosures framework, new templates and instructions for reporting on credit risk and update the current instructions.

(7) Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the standardised approach with a more risk sensitive standardised approach for counterparty credit risk (SA-CCR) and a simplified version (the simplified SA-CCR) for institutions that meet predefined eligibility criteria. The original exposure method, though revised, remains available for institutions meeting predefined criteria. It is therefore necessary to add new templates and instructions for reporting on counterparty credit risk and update the current instructions.

(8) Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the references to eligible capital in the calculation of large exposures with references to Tier 1 capital and introduced another threshold for reporting of large exposures on a consolidated basis. The large exposures reporting should therefore be updated.

(9) Regulation (EU) 2019/630 of the European Parliament and of the Council introduced in Regulation (EU) No 575/2013 a prudential backstop for non-performing exposures (NPEs) imposing a deduction from institutions’ own funds where NPEs are not sufficiently covered by provisions or other adjustments, following a predefined calendar to build up a full coverage over time. That prudential backstop is based on the definitions of non-performing exposure and forbearance measures laid down in Implementing Regulation (EU) No 680/2014. It is therefore necessary to amend templates and instructions to ensure that there is a single definition of non-performing exposure and forbearance measures for both reporting and prudential backstop purposes. New templates are also necessary for the collection of information for the backstop calculation.

(10) Regulation (EU) 2019/2033 of the European Parliament and of the Council repeals with effect from 26 June 2026 Chapter 1 of Title I of Part Three, Section 2 (Articles 95 to 98), of Regulation (EU) No 575/2013. For this reason, provisions on reporting for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis or a consolidated basis should cease to apply on 26 June 2026.

(11) In view of the scope of those amendments and for the sake of clarity, it is appropriate to repeal Implementing Regulation (EU) No 680/2014 and replace it with this Regulation.

(12) Regulation (EU) 2020/873 of the European Parliament and of the Council is part of a series of measures to mitigate the impact of the COVID-19 pandemic on institutions across the Union. That Regulation introduced certain amendments to Regulations (EU) No 575/2013 and (EU) 2019/876 that have an impact on supervisory reporting. Those amendments should therefore be reflected in the reporting framework.

(13) Institutions should start supervisory reporting for the end of second quarter of 2021. However, reporting for the leverage ratio buffer should start from January 2023 as the application of the leverage buffer requirements was postponed to January 2023 by Regulation (EU) 2020/873.

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

(15) The EBA 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 advice 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, with the exception of the provisions reflecting the amendments of Regulation (EU) No 575/2013 by Regulation (EU) 2020/873. The EBA decided that it would have been highly disproportionate to carry out public consultations or a cost-benefit analysis on those provisions as they concern very few rows in reporting templates on solvency and leverage and are not likely to materially affect the costs of reporting. In addition, such public consultation or a cost-benefit analysis would prevent supervisors from the timely collection of relevant data in a coherent and regular manner.

(16) To provide institutions with sufficient time to prepare for reporting in accordance with this Regulation, it should enter into force on the day following the date of its publication in the Official Journal of the European Union,

HAS ADOPTED THIS REGULATION:

Article 1 Subject matter and scope

This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.

Article 2 Reporting reference dates

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

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

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

(c) semi-annual reporting: 30 June and 31 December;

(d) annual reporting: 31 December.

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

3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end, which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.

Article 3 Reporting remittance dates

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

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

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

(c) semi-annual reporting: 11 August and 11 February;

(d) annual reporting: 11 February.

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

3. Where institutions report their financial information or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.

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

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

Article 4 Reporting thresholds – entry and exit criteria

1. Institutions that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.

2. Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.

3. Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

Article 5 Reporting on own funds and own funds requirements on an individual basis – quarterly reporting

1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.

2. Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.

3. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.

4. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.

5. Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4. Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established. The entry and exit criteria set out in Article 4 shall apply.

6. Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.

7. Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

8. Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.

9. Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6.

10. Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7.

11. Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.

12. Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.

13. Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.

14. Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance with the instructions in Annex II, Part II, point 6, as follows: For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.

(a) all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in Annex II, Part II, point 6;

(b) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6;

(c) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6.

15. Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.

Article 6 Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting

1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.

2. Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.

3. Institutions shall submit information on sovereign exposures as follows: The entry and exit criteria of Article 4(3) shall apply.

(a) where the aggregate carrying amount of financial assets from the counterparty sector General governments is equal to or higher than 1 % of the sum of total carrying amount for Debt securities and Loans and advances institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values;

(b) where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown;

(c) institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at:

(i) total level; and

(ii) domestic level.

4. Information on material losses regarding operational risk shall be reported as follows: The entry and exit criteria of Article 4(3) shall apply.

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

(b) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(c) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information:

(i) the information as specified in Annex I, template 17.01, column 0080 for the following rows:

number of events (new events) (row 0910),

gross loss amount (new events) (row 0920),

number of events subject to loss adjustments (row 0930),

loss adjustments relating to previous reporting periods (row 0940),

maximum single loss (row 0950),

sum of the five largest losses (row 0960),

total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970),

total recoveries from insurance and other risk transfer mechanisms (row 0980);

(ii) the information as specified in Annex I, template 17.02.

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

(e) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2;

(f) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2.

5. Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

Article 7 Reporting on own funds and own funds requirements on a consolidated basis

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:

(a) Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and

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

Article 8 Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis

1. Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.

2. Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.

Article 9 Reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on an individual basis

1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.

2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.

3. In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.

Article 10 Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis

1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.

2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

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

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

3. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis:

(a) the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation with the frequency laid down in those Articles;

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

Article 11 Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council

1. In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.

2. The information referred to in paragraph 1 shall be submitted as follows: For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator. For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

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

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

(c) the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an annual frequency;

(d) the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1;

(f) the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2;

(g) the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:

(i) the institution is not a small and non-complex institution;

(ii) the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of that Regulation is equal to or higher than 5 %;

(h) the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

Article 12 Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks

1. Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.

2. The information referred to in paragraph 1 shall be submitted as follows: For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

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

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

(c) the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an annual frequency;

(d) the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph;

(e) the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1;

(f) the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2;

(g) the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled:

(i) the institution is not a small and non-complex;

(ii) the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %;

(h) the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

Article 13 Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis

1. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a consolidated basis with an annual frequency.

2. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a individual basis with an annual frequency.

3. Where an institution has a branch in another Member State, that branch shall submit to the competent authority of the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions in Annex VII, with an annual frequency.

Article 14 Reporting on large exposures on an individual and a consolidated basis

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

2. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

3. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

4. In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

Article 15 Reporting on leverage ratio on an individual and a consolidated basis

1. In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.

2. The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by:

(a) large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency;

(b) large institutions other than G-SIIs that are not listed institutions with an annual frequency;

(c) institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.

3. Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.

4. Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met: If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

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

(b) the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.

5. Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10000 million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article. For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

6. Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met: If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

(a) the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million;

(b) the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.

Article 16 Reporting on the liquidity coverage requirement on an individual and a consolidated basis

1. In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;

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

Article 17 Reporting on stable funding on an individual and a consolidated basis

In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:

(a) small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation;

(b) institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII;

(c) all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.

Article 18 Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

1. In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency:

(a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX;

(b) the information specified in Annex XX in accordance with the instructions in Annex XXI;

(c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.

2. By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.

Article 19 Reporting on asset encumbrance on an individual and a consolidated basis

1. In order to report information on asset encumbrance in accordance with Article 430(1), point (g), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation, in accordance with the instructions set out in Annex XVII to this Regulation.

2. The information referred to in paragraph 1 shall be submitted as follows:

(a) the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;

(b) the information specified in Annex XVI, Part C, with an annual frequency;

(c) the information specified in Annex XVI, Part E, with a semi-annual frequency.

3. Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met: The entry and exit criteria of Article 4(3) shall apply.

(a) the institution is not considered a large institution;

(b) the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %.

4. Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council. The entry and exit criteria of Article 4(3) shall apply.

Article 20 Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1. In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.

2. EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, where both of the following conditions are met:

(a) the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125000 million;

(b) the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council.

3. By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.

4. By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, point (a), of this Article:

(a) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates;

(b) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

Article 21 Data exchange formats and information accompanying submissions

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

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

(b) numerical values shall be submitted as follows:

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

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

(iii) data points with the data type Integer shall be reported using no decimals and a precision equivalent to units;

(c) institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI);

(d) legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.

2. Institutions shall accompany the submitted data by the following information:

(a) reporting reference date and reference period;

(b) reporting currency;

(c) accounting standard;

(d) Legal Entity Identifier (LEI) of the reporting institution;

(e) scope of consolidation.

Article 22 Repeal of Implementing Regulation (EU) No 680/2014

Implementing Regulation (EU) No 680/2014 is repealed. References to the repealed Regulation shall be construed as references to this Regulation.

Article 23 Entry into force and application

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from 28 June 2021. Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023. Articles 9 and 10 shall cease to apply on 26 June 2026.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 17 December 2020. For the Commission The President Ursula VON DER LEYEN

ANNEX

ANNEX I C 01.00 - OWN FUNDS (CA1) C 02.00 - OWN FUNDS REQUIREMENTS (CA2) C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) C 04.00 - MEMORANDUM ITEMS (CA4) C 05.01 - TRANSITIONAL PROVISIONS (CA5.1) C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) C 06.01 - 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 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3) C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4) C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5) C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7) 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 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC) C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach) C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1) C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2) C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3) C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4) C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5) C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6) C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7) C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8) C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9) C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10) (i)(ii)(iii)(iv)(i)(ii)(iii)(iv) C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11) 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) 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 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1) C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2) C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3) C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV) C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1) C 35.02 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2) C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3) REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS SA Exposure class IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: IRB Exposure class: Own estimates of LGD and/or conversion factors: Type of specialised lending: Country: Country: Country: Approach: Exposures CCR approach IRB Exposure class Own estimates of LGD and/or conversion factors: Currency: National market: Country:

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 8.3 C 08.03 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES CR IRB 3 8.4 C 08.04 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS CR IRB 4 8.5 C 08.05 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD CR IRB 5 8.5.1 C 08.05.1 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) 8.6 C 08.06 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH CR IRB 6 8.7 C 08.07 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES CR IRB 7 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 13.1 C 13.01 CREDIT RISK: SECURITISATIONS CR SEC 14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details 14.1 C 14.01 DETAILED INFORMATION ON SECURITISATIONS BY APPROACH CR SEC Details 2 COUNTERPARTY CREDIT RISK CCR 34.01 C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS CCR 1 34.02 C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH CCR 2 34.03 C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR CCR 3 34.04 C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM) CCR 4 34.05 C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) CCR 5 34.06 C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES CCR 6 34.07 C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE CCR 7 34.08 C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES CCR 8 34.09 C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES CCR 9 34.10 C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs CCR 10 34.11 C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM CCR 11 OPERATIONAL RISK OPR 16 C 16.00 OPERATIONAL RISK OPR OPERATIONAL RISK: LOSSES AND RECOVERIES 17.1 C 17.01 OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR OPR DETAILS 1 17.2 C 17.02 OPERATIONAL RISK: LARGE LOSS EVENTS OPR DETAILS 2 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 PRUDENT VALUATION MKR 32.1 C 32.01 PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES PRUVAL 1 32.2 C 32.02 PRUDENT VALUATION: CORE APPROACH PRUVAL 2 32.3 C 32.03 PRUDENT VALUATION: MODEL RISK AVA PRUVAL 3 32.4 C 32.04 PRUDENT VALUATION: CONCENTRATED POSITIONS AVA PRUVAL 4 GENERAL GOVERNMENTS EXPOSURES MKR 33 C 33.00 GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY GOV NPE LOSS COVERAGE NPE LC 35.1 C 35.01 NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES NPE LC1 35.2 C 35.02 NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR NPE LC2 35.3 C 35.03 NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR NPE LC3 Rows ID Item Amount 0010 1 OWN FUNDS 0015 1.1 TIER 1 CAPITAL 0020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 0030 1.1.1.1 Capital instruments eligible as CET1 Capital 0040 1.1.1.1.1 Fully paid up capital instruments 0045 1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations 0050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 0060 1.1.1.1.3 Share premium 0070 1.1.1.1.4 (-) Own CET1 instruments 0080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 0090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 0091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 0092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 0130 1.1.1.2 Retained earnings 0140 1.1.1.2.1 Previous years retained earnings 0150 1.1.1.2.2 Profit or loss eligible 0160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 0170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 0180 1.1.1.3 Accumulated other comprehensive income 0200 1.1.1.4 Other reserves 0210 1.1.1.5 Funds for general banking risk 0220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 0230 1.1.1.7 Minority interest given recognition in CET1 capital 0240 1.1.1.8 Transitional adjustments due to additional minority interests 0250 1.1.1.9 Adjustments to CET1 due to prudential filters 0260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 0270 1.1.1.9.2 Cash flow hedge reserve 0280 1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 0285 1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities 0290 1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation 0300 1.1.1.10 (-) Goodwill 0310 1.1.1.10.1 (-) Goodwill accounted for as intangible asset 0320 1.1.1.10.2 (-) Goodwill included in the valuation of significant investments 0330 1.1.1.10.3 Deferred tax liabilities associated to goodwill 0335 1.1.1.10.4 Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons 0340 1.1.1.11 (-) Other intangible assets 0350 1.1.1.11.1 (-) Other intangible assets before deduction of deferred tax liabilities 0360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 0365 1.1.1.11.3 Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons 0370 1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 0380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses 0390 1.1.1.14 (-) Defined benefit pension fund assets 0400 1.1.1.14.1 (-) Defined benefit pension fund assets 0410 1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets 0420 1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use 0430 1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital 0440 1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital 0450 1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight 0460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight 0470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1250 % risk weight 0471 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 0472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight 0480 1.1.1.22 (-) CET1 instruments of financial sector entites where the institution does not have a significant investment 0490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 0500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment 0510 1.1.1.25 (-) Amount exceeding the 17.65 % threshold 0511 1.1.1.25.1 (-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment 0512 1.1.1.25.2 (-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences 0513 1.1.1.25A (-) Insufficient coverage for non-performing exposures 0514 1.1.1.25B (-) Minimum value commitment shortfalls 0515 1.1.1.25C (-) Other foreseeable tax charges 0520 1.1.1.26 Other transitional adjustments to CET1 Capital 0524 1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR 0529 1.1.1.28 CET1 capital elements or deductions - other 0530 1.1.2 ADDITIONAL TIER 1 CAPITAL 0540 1.1.2.1 Capital instruments eligible as AT1 Capital 0551 1.1.2.1.1 Fully paid up, directly issued capital instruments 0560 1.1.2.1.2* Memorandum item: Capital instruments not eligible 0571 1.1.2.1.3 Share premium 0580 1.1.2.1.4 (-) Own AT1 instruments 0590 1.1.2.1.4.1 (-) Direct holdings of AT1 instruments 0620 1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments 0621 1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments 0622 1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments 0660 1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments 0670 1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital 0680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries 0690 1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital 0700 1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment 0710 1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment 0720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital 0730 1.1.2.9 Other transitional adjustments to AT1 Capital 0740 1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 0744 1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR 0748 1.1.2.12 AT1 capital elements or deductions - other 0750 1.2 TIER 2 CAPITAL 0760 1.2.1 Capital instruments eligible as T2 Capital 0771 1.2.1.1 Fully paid up, directly issued capital instruments 0780 1.2.1.2* Memorandum item: Capital instruments not eligible 0791 1.2.1.3 Share premium 0800 1.2.1.4 (-) Own T2 instruments 0810 1.2.1.4.1 (-) Direct holdings of T2 instruments 0840 1.2.1.4.2 (-) Indirect holdings of T2 instruments 0841 1.2.1.4.3 (-) Synthetic holdings of T2 instruments 0842 1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments 0880 1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments 0890 1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital 0900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries 0910 1.2.5 IRB Excess of provisions over expected losses eligible 0920 1.2.6 SA General credit risk adjustments 0930 1.2.7 (-) Reciprocal cross holdings in T2 Capital 0940 1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment 0950 1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment 0955 1.2.9A (-) Excess of deductions from eligible liabilities over eligible liabilities 0960 1.2.10 Other transitional adjustments to T2 Capital 0970 1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 0974 1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR 0978 1.2.13 T2 capital elements or deductions - other Rows Item Label Amount 0010 1 TOTAL RISK EXPOSURE AMOUNT 0020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR 0030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR 0040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES 0050 1.1.1 Standardised approach (SA) 0051 1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR 0060 1.1.1.1 SA exposure classes excluding securitisation positions 0070 1.1.1.1.01 Central governments or central banks 0080 1.1.1.1.02 Regional governments or local authorities 0090 1.1.1.1.03 Public sector entities 0100 1.1.1.1.04 Multilateral Development Banks 0110 1.1.1.1.05 International Organisations 0120 1.1.1.1.06 Institutions 0130 1.1.1.1.07 Corporates 0140 1.1.1.1.08 Retail 0150 1.1.1.1.09 Secured by mortgages on immovable property 0160 1.1.1.1.10 Exposures in default 0170 1.1.1.1.11 Items associated with particular high risk 0180 1.1.1.1.12 Covered bonds 0190 1.1.1.1.13 Claims on institutions and corporates with a short-term credit assessment 0200 1.1.1.1.14 Collective investments undertakings (CIU) 0210 1.1.1.1.15 Equity 0211 1.1.1.1.16 Other items 0240 1.1.2 Internal ratings based Approach (IRB) 0241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR 0242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR 0250 1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used 0260 1.1.2.1.01 Central governments and central banks 0270 1.1.2.1.02 Institutions 0280 1.1.2.1.03 Corporates - SME 0290 1.1.2.1.04 Corporates - Specialised Lending 0300 1.1.2.1.05 Corporates - Other 0310 1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factors are used 0320 1.1.2.2.01 Central governments and central banks 0330 1.1.2.2.02 Institutions 0340 1.1.2.2.03 Corporates - SME 0350 1.1.2.2.04 Corporates - Specialised Lending 0360 1.1.2.2.05 Corporates - Other 0370 1.1.2.2.06 Retail - Secured by real estate SME 0380 1.1.2.2.07 Retail - Secured by real estate non-SME 0390 1.1.2.2.08 Retail - Qualifying revolving 0400 1.1.2.2.09 Retail - Other SME 0410 1.1.2.2.10 Retail - Other non-SME 0420 1.1.2.3 Equity IRB 0450 1.1.2.5 Other non credit-obligation assets 0460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP 0470 1.1.4 Securitisation positions 0490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY 0500 1.2.1 Settlement/delivery risk in the non-Trading book 0510 1.2.2 Settlement/delivery risk in the Trading book 0520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS 0530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 0540 1.3.1.1 Traded debt instruments 0550 1.3.1.2 Equity 0555 1.3.1.3 Particular approach for position risk in CIUs 0556 1.3.1.3* Memo item: CIUs exclusively invested in traded debt instruments 0557 1.3.1.3** Memo item: CIUs invested exclusively in equity instruments or in mixed instruments 0560 1.3.1.4 Foreign Exchange 0570 1.3.1.5 Commodities 0580 1.3.2 Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) 0590 1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) 0600 1.4.1 OpR Basic indicator approach (BIA) 0610 1.4.2 OpR Standardised (STA) / Alternative Standardised (ASA) approaches 0620 1.4.3 OpR Advanced measurement approaches (AMA) 0630 1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS 0640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT 0650 1.6.1 Advanced method 0660 1.6.2 Standardised method 0670 1.6.3 Based on OEM 0680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK 0690 1.8 OTHER RISK EXPOSURE AMOUNTS 0710 1.8.2 Of which: Additional stricter prudential requirements based on Article 458 CRR 0720 1.8.2* Of which: requirements for large exposures 0730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property 0740 1.8.2*** Of which: due to intra financial sector exposures 0750 1.8.3 Of which: Additional stricter prudential requirements based on Article 459 CRR 0760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR Rows ID Item Amount 0010 1 CET1 Capital ratio 0020 2 Surplus(+)/Deficit(-) of CET1 capital 0030 3 T1 Capital ratio 0040 4 Surplus(+)/Deficit(-) of T1 capital 0050 5 Total capital ratio 0060 6 Surplus(+)/Deficit(-) of total capital Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G) 0130 13 Total SREP capital requirement (TSCR) ratio 0140 13* TSCR: to be made up of CET1 capital 0150 13** TSCR: to be made up of Tier 1 capital 0160 14 Overall capital requirement (OCR) ratio 0170 14* OCR: to be made up of CET1 capital 0180 14** OCR: to be made up of Tier 1 capital 0190 15 OCR and Pillar 2 Guidance (P2G) 0200 15* OCR and P2G: to be made up of CET1 capital 0210 15** OCR and P2G: to be made up of Tier 1 capital 0220 16 Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9 0300 20 CET1 Capital ratio without application of the transitional provisions on IFRS 9 0310 21 T1 Capital ratio without application of the transitional provisions on IFRS 9 0320 22 Total capital ratio without application of the transitional provisions on IFRS 9 Row ID Item Column Deferred tax assest and liabilities 0010 0010 1 Total deferred tax assets 0020 1.1 Deferred tax assets that do not rely on future profitability 0030 1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences 0040 1.3 Deferred tax assets that rely on future profitability and arise from temporary differences 0050 2 Total deferred tax liabilities 0060 2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability 0070 2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability 0080 2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 0090 2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences 0093 2A Tax overpayments and tax loss carry backs 0096 2B Deferred Tax Assets subject to a risk weight of 250% 0097 2C Deferred Tax Assets subject to a risk weight of 0% Exception from deductions from CET1 0901 2W Exception from deduction of intangible assets from CET1 Accounting classification of AT1 instruments 0905 2Y Capital instruments and the related share premium accounts classified as equity under applicable accounting standards 0906 2Z Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards Credit risk adjustments and expected losses 0100 3 IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures 0110 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 0120 3.1.1 General credit risk adjustments 0130 3.1.2 Specific credit risk adjustments 0131 3.1.3 Additional value adjustments and other own funds reductions 0140 3.2 Total expected losses eligible 0145 4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures 0150 4.1 Specific credit risk adjustments and positions treated similarily 0155 4.2 Total expected losses eligible 0160 5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 0170 6 Total gross provisions eligible for inclusion in T2 capital 0180 7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Thresholds for Common Equity Tier 1 deductions 0190 8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment 0200 9 10% CET1 threshold 0210 10 17.65% CET1 threshold 0225 11 Eligible capital for the purposes of qualifying holdings outside the financial sector Investments in the capital of financial sector entities where the institution does not have a significant investment 0230 12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 0240 12.1 Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0250 12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0260 12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0270 12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0280 12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0290 12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0291 12.3 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0292 12.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0293 12.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0300 13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 0310 13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0320 13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0330 13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0340 13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0350 13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0360 13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0361 13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0362 13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0363 13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0370 14 Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions 0380 14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0390 14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0400 14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0410 14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0420 14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0430 14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0431 14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0432 14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0433 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 0440 15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions 0450 15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 0460 15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 0470 15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0480 15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 0490 15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 0500 15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0501 15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 0502 15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 0503 15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0504 15A Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250% 0510 16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions 0520 16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 0530 16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 0540 16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0550 16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 0560 16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 0570 16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0571 16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 0572 16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 0573 16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0580 17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions 0590 17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment 0600 17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment 0610 17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0620 17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 0630 17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 0640 17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0641 17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 0642 17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 0643 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: 0650 18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital 0660 19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital 0670 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 0680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 0690 22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 0700 23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 0710 24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 0720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 0730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Capital buffers 0740 27 Combined buffer requirement 0750 Capital conservation buffer 0760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State 0770 Institution specific countercyclical capital buffer 0780 Systemic risk buffer 0800 Global Systemically Important Institution buffer 0810 Other Systemically Important Institution buffer Pillar II requirements 0820 28 Own funds requirements related to Pillar II adjustments Additional information for investment firms 0830 29 Initial capital 0840 30 Own funds based on Fixed Overheads Additional information for calculation of reporting thresholds 0850 31 Non-domestic original exposures 0860 32 Total original exposures 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 0010 0020 0030 0040 0050 0060 0010 1 TOTAL ADJUSTMENTS 0020 1.1 GRANDFATHERED INSTRUMENTS link to {CA1;r0220} link to {CA1;r0660} link to {CA1;r0880} 0060 1.1.2 Instruments not constituting state aid 0061 1.1.3 Instruments issued through special purpose vehicles 0062 1.1.4 Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements 0063 1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers 0064 1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers 0065 1.1.4.3* of which: Instruments subject to set-off or netting arrangements 0070 1.2 MINORITY INTERESTS AND EQUIVALENTS link to {CA1;r0240} link to {CA1;r0680} link to {CA1;r0900} 0080 1.2.1 Capital instruments and items that do not qualify as minority interests 0090 1.2.2 Transitional recognition in consolidated own funds of minority interests 0091 1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital 0092 1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital 0100 1.3 OTHER TRANSITIONAL ADJUSTMENTS link to {CA1;r0520} link to {CA1;r0730} link to {CA1;r0960} 0111 1.3.1.6 Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs 0112 1.3.1.6.1 of which: amount A 0140 1.3.2 Deductions 0170 1.3.2.3 Deferred tax assets that rely on future profitability and do not arise from temporary differences 0380 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 0385 1.3.2.9a Deferred tax assets that are dependent on future profitability and arise from temporary differences 0425 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items 0430 1.3.3 Additional filters and deductions 0440 1.3.4 Adjustments due to IFRS 9 transitional arrangements 0441 1.3.4.1 Memorandum item: ECL impact of the static component 0442 1.3.4.2 Memorandum item: ECL impact of the dynamic component for the period 1.1.2018 – 31.12.2019 0443 1.3.4.3 Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020 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 0010 0020 0030 0040 0050 0060 0010 1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC link to {CA5.1;r060;c010) 0020 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 CRR link to {CA5.1;r060;c020) 0030 2.1 Total instruments without a call or an incentive to redeem 0040 2.2. Grandfathered instruments with a call and incentive to redeem 0050 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity 0060 2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity 0070 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 CRR after the date of effective maturity 0080 2.3 Excess on the limit of CET1 grandfathered instruments 0090 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 CRR link to {CA5.1;r060;c030) 0100 3.1 Total items without an incentive to redeem 0110 3.2 Grandfathered items with an incentive to redeem 0120 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity 0130 3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity 0140 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 CRR after the date of effective maturity 0150 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 COUNTER-CYCLICAL 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 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0470 0480 0010 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 TYPE OF CODE NATIONAL CODE INSTITUTION OR EQUIVALENT (YES/NO) TYPE OF ENTITY SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) COUNTRY CODE SHARE OF HOLDING (%) OWN FUNDS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIREMENT TOTAL RISK EXPOSURE AMOUNT CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS TOTAL TIER 1 CAPITAL TIER 2 CAPITAL CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER 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 0011 0021 0026 0027 0030 0035 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0470 0480 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 SUPPORTING FACTORS (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS 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 OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP 0010 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0211 0215 0216 0217 0220 0230 0240 0010 TOTAL EXPOSURES Cell linked to CA 0015 of which: Defaulted exposures 0020 of which: SME 0030 of which: Exposures subject to SME-supporting factor 0035 of which: Exposures subject to the Infrastructure supporting factor 0040 of which: Secured by mortgages on immovable property - Residential property 0050 of which: Exposures under the permanent partial use of the standardised approach 0060 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: 0070 On balance sheet exposures subject to credit risk 0080 Off balance sheet exposures subject to credit risk Exposures / Transactions subject to counterparty credit risk 0090 Securities Financing Transactions netting sets 0100 of which: centrally cleared through a QCCP 0110 Derivatives & Long Settlement Transactions netting sets 0120 of which: centrally cleared through a QCCP 0130 From Contractual Cross Product netting sets BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 0140 0 % 0150 2 % 0160 4 % 0170 10 % 0180 20 % 0190 35 % 0200 50 % 0210 70 % 0220 75 % 0230 100 % 0240 150 % 0250 250 % 0260 370 % 0270 1250 % 0280 Other risk weights BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): 0281 Look-through approach 0282 Mandate-based approach 0283 Fall-back approach MEMORANDUM ITEMS 0290 Exposures secured by mortgages on commercial immovable property 0300 Exposures in default subject to a risk weight of 100 % 0310 Exposures secured by mortgages on residential property 0320 Exposures in default subject to a risk weight of 150 % INTERNAL RATING SCALE 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 SUPPORTING FACTORS (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS 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 PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT 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 CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENTS HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0171 0172 0173 0180 0190 0200 0210 0220 0230 0240 0250 0255 0256 0257 0260 0270 0280 0290 0300 0310 0010 TOTAL EXPOSURES Cell linked to CA 0015 of which: Exposures subject to SME-supporting factor 0016 of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 0020 On balance sheet items subject to credit risk 0030 Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit risk 0040 Securities Financing Transactions netting sets 0050 Derivatives & Long Settlement Transactions netting sets 0060 From Contractual Cross Product netting sets 0070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL 0080 SPECIALIZED LENDING SLOTTING APPROACH: TOTAL 0160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE 0170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS 0180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SCALE 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 SUPPORTING FACTORS (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS 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 PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT 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 CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENTS HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0171 0172 0173 0180 0190 0200 0210 0220 0230 0240 0250 0255 0256 0257 0260 0270 0280 0290 0300 0310 PD RANGE ON-BALANCE SHEET EXPOSURES OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM EXPOSURE WEIGHTED AVERAGE PD (%) NUMBER OF OBLIGORS EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS) RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT VALUE ADJUST-MENTS AND PROVISIONS 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 0.00 to <0.15 0020 0.00 to <0.10 0030 0.10 to <0.15 0040 0.15 to <0.25 0050 0.25 to <0.50 0060 0.50 to <0.75 0070 0.75 to <2.5 0080 0.75 to <1.75 0090 1.75 to <2.5 0100 2.5 to <10 0110 2.5 to <5 0120 5 to <10 0130 10 to <100 0140 10 to <20 0150 20 to <30 0160 30 to <100 0170 100 (Default) RISK WEIGHTED EXPOSURE AMOUNT 0010 0010 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD 0020 ASSET SIZE (+/-) 0030 ASSET QUALITY (+/-) 0040 MODEL UPDATES (+/-) 0050 METHODOLOGY AND POLICY (+/-) 0060 ACQUISITIONS AND DISPOSALS (+/-) 0070 FOREIGN EXCHANGE MOVEMENTS (+/-) 0080 OTHER (+/-) 0090 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD PD RANGE ARITHMETIC AVERAGE PD (%) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR OBSERVED AVERAGE DEFAULT RATE (%) AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0010 0020 0030 0040 0050 0010 0.00 to <0.15 0020 0.00 to <0.10 0030 0.10 to <0.15 0040 0.15 to <0.25 0050 0.25 to <0.50 0060 0.50 to <0.75 0070 0.75 to <2.5 0080 0.75 to <1.75 0090 1.75 to <2.5 0100 2.5 to <10 0110 2.5 to <5 0120 5 to <10 0130 10 to <100 0140 10 to <20 0150 20 to <30 0160 30 to <100 0170 100 (Default) PD RANGE EXTERNAL RATING EQUIVALENT ARITHMETIC AVERAGE PD (%) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR OBSERVED AVERAGE DEFAULT RATE (%) AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0005 0006 0010 0020 0030 0040 0050 ORIGINAL EXPOSURE PRE CONVERSION FACTORS EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE RISK WEIGHT RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 CATEGORY 1 LESS THAN 2.5 YEARS 50 % 0020 EQUAL TO OR MORE THAN 2.5 YEARS 70 % 0030 CATEGORY 2 LESS THAN 2.5 YEARS 70 % 0040 EQUAL TO OR MORE THAN 2.5 YEARS 90 % 0050 CATEGORY 3 LESS THAN 2.5 YEARS 115 % 0060 EQUAL TO OR MORE THAN 2.5 YEARS 115 % 0070 CATEGORY 4 LESS THAN 2.5 YEARS 250 % 0080 EQUAL TO OR MORE THAN 2.5 YEARS 250 % 0090 CATEGORY 5 LESS THAN 2.5 YEARS — 0100 EQUAL TO OR MORE THAN 2.5 YEARS — 0110 TOTAL LESS THAN 2.5 YEARS 0120 EQUAL TO OR MORE THAN 2.5 YEARS TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) 0010 0020 0030 0040 0050 0010 CENTRAL GOVERNMENTS OR CENTRAL BANKS 0020 OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES 0030 OF WHICH: PUBLIC SECTOR ENTITIES 0040 INSTITUTIONS 0050 CORPORATES 0060 OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH 0070 OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH 0080 OF WHICH: CORPORATES - SMES 0090 RETAIL 0100 OF WHICH RETAIL – SECURED BY REAL ESTATE SMES 0110 OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES 0120 OF WHICH RETAIL – QUALIFYING REVOLVING 0130 OF WHICH RETAIL – OTHER SMES 0140 OF WHICH RETAIL – OTHER NON-SMES 0150 EQUITY 0160 OTHER NON-CREDIT OBLIGATION ASSETS 0170 TOTAL ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write offs Additional value adjustments and other own funds reductions Credit risk adjustments/write-offs for observed new defaults EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Defaulted exposures 0010 0020 0040 0050 0055 0060 0061 0070 0075 0080 0081 0082 0090 0010 Central governments or central banks 0020 Regional governments or local authorities 0030 Public sector entities 0040 Multilateral Development Banks 0050 International Organisations 0060 Institutions 0070 Corporates 0075 of which: SME 0080 Retail 0085 of which: SME 0090 Secured by mortgages on immovable property 0095 of which: SME 0100 Exposures in default 0110 Items associated with particularly high risk 0120 Covered bonds 0130 Claims on institutions and corporates with a short-term credit assessment 0140 Collective investments undertakings (CIU) 0141 Look-through approach 0142 Mandate-based approach 0143 Fall-back approach 0150 Equity exposures 0160 Other exposures 0170 Total exposures ORIGINAL EXPOSURE PRE CONVERSION FACTORS Observed new defaults for the period General credit risk adjustments Specific credit risk adjustments Write off Credit risk adjustments/write-offs for observed new defaults PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT Of which: defaulted Of which: defaulted Of which: defaulted 0010 0030 0040 0050 0055 0060 0070 0080 0090 0100 0105 0110 0120 0121 0122 0125 0130 0010 Central governments or central banks 0020 Institutions 0030 Corporates 0042 Of Which: Specialised Lending (excl. SL under the slotting approach) 0045 Of Which: Specialised Lending under the slotting approach 0050 Of Which: SME 0060 Retail 0070 Secured by immovable property 0080 SME 0090 Non-SME 0100 Qualifying Revolving 0110 Other Retail 0120 SME 0130 Non-SME 0140 Equity 0150 Total exposures Amount Percentage Qualitative information 0010 0020 0030 Relevant credit exposures - Credit Risk 0010 Exposure value under the Standardised Approach 0020 Exposure value under the IRB Approach Relevant credit exposures – Market risk 0030 Sum of long and short positions of trading book exposures for standardised approaches 0040 Value of trading book exposures for internal models Relevant credit exposures – Securitisation 0055 Exposure value of securitisation positions in the banking book Own funds requirements and weights 0070 Total own funds requirements for CCB 0080 Own funds requirements for relevant credit exposures – Credit risk 0090 Own funds requirements for relevant credit exposures – Market risk 0100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book 0110 Own funds requirements weights Countercyclical capital buffer rates 0120 Countercyclical capital buffer rate set by the Designated Authority 0130 Countercyclical capital buffer rate applicable for the country of the institution 0140 Institution-specific countercyclical capital buffer rate Use of 2 % threshold 0150 Use of 2 % threshold for general credit exposure 0160 Use of 2 % threshold for trading book exposure INTERNAL RATING SCALE 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 OF WHICH: OFF BALANCE SHEET ITEMS EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 0010 0020 0030 0040 0050 0060 0061 0070 0080 0090 0010 TOTAL IRB EQUITY EXPOSURES Cell linked to CA 0020 PD/LGD APRROACH: TOTAL 0050 SIMPLE RISK WEIGHT APPROACH: TOTAL 0060 BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: 0070 RISK WEIGHT: 190 % 0080 290 % 0090 370 % 0100 INTERNAL MODELS APPROACH 0110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SCALE 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 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS OWN FUNDS REQUIREMENTS TOTAL SETTLEMENT RISK EXPOSURE AMOUNT 0010 0020 0030 0040 0010 Total unsettled transactions in the Non-trading Book Cell linked to CA 0020 Transactions unsettled up to 4 days (Factor 0%) 0030 Transactions unsettled between 5 and 15 days (Factor 8%) 0040 Transactions unsettled between 16 and 30 days (Factor 50%) 0050 Transactions unsettled between 31 and 45 days (Factor 75%) 0060 Transactions unsettled for 46 days or more (Factor 100%) 0070 Total unsettled transactions in the Trading Book Cell linked to CA 0080 Transactions unsettled up to 4 days (Factor 0%) 0090 Transactions unsettled between 5 and 15 days (Factor 8%) 0100 Transactions unsettled between 16 and 30 days (Factor 50%) 0110 Transactions unsettled between 31 and 45 days (Factor 75%) 0120 Transactions unsettled for 46 days or more (Factor 100%) TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: 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*) (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES EXPOSURE VALUE BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS 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 OF WHICH: SUBJECT TO A CCF OF 0 % (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1250 %) SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1250 %) OF WHICH: SYNTHETIC SECURITISATIONS BREAKDOWN BY RW BANDS OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES) BREAKDOWN BY RW BANDS BREAKDOWN BY CREDIT QUALITY STEPS BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA BREAKDOWN BY RW BANDS OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES) OF WHICH: RW=1250 % (W UNKNOWN) AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO ART. 254(2)(a) CRR POSITIONS SUBJECT TO ART. 254(2)(b) CRR POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR FOLLOWING THE HIERARCHY OF APPROACHES AVERAGE RISK WEIGHT (%) (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100% TO < 1250% RW 1250 % RW =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1250 % RW 1250 % RW (W UNKNOWN) 1250 % RW (OTHER) SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR FOLLOWING THE HIERARCHY OF APPROACHES =< 20 % RW >20 % TO 50 % RW >50 % TO 100 % RW >100 % TO < 1250 % RW 1250 % RW CQS 1 CQS 2 CQS 3 ALL OTHER CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7 CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL OTHER CQS 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460 0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570 0580 0590 0600 0610 0620 0630 0640 0650 0660 0670 0680 0690 0700 0710 0720 0730 0740 0750 0760 0770 0780 0790 0800 0810 0820 0830 0840 0850 0860 0870 0880 0890 0900 0910 0920 0930 0010 TOTAL EXPOSURES Cell linked to CA 0020 SECURITISATIONS 0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0040 STS EXPOSURES 0050 SENIOR POSITION IN SMEs SECURITISATIONS 0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0070 RE-SECURITISATIONS 0080 ORIGINATOR: TOTAL EXPOSURES 0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS 0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0110 OF WHICH: SENIOR EXPOSURES 0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0130 OF WHICH: SENIOR EXPOSURES 0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES 0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0160 OF WHICH: SENIOR EXPOSURES 0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0180 OF WHICH: SENIOR EXPOSURES 0190 RE-SECURITISATIONS 0200 INVESTOR: TOTAL EXPOSURES 0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS 0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0230 OF WHICH: SENIOR EXPOSURES 0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0250 OF WHICH: SENIOR EXPOSURES 0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES 0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0280 OF WHICH: SENIOR EXPOSURES 0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0300 OF WHICH: SENIOR EXPOSURES 0310 RE-SECURITISATIONS 0320 SPONSOR: TOTAL EXPOSURES 0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS 0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0350 OF WHICH: SENIOR EXPOSURES 0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0370 OF WHICH: SENIOR EXPOSURES 0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES 0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0400 OF WHICH: SENIOR EXPOSURES 0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0420 OF WHICH: SENIOR EXPOSURES 0430 RE-SECURITISATIONS 0440 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term 0450 CQS 1 0460 CQS 2 0470 CQS 3 0480 ALL OTHER CQS AND UNRATED 0490 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term 0500 CQS 1 0510 CQS 2 0520 CQS 3 0530 CQS 4 0540 CQS 5 0550 CQS 6 0560 CQS 7 0570 CQS 8 0580 CQS 9 0590 CQS 10 0600 CQS 11 0610 CQS 12 0620 CQS 13 0630 CQS 14 0640 CQS 15 0650 CQS 16 0660 CQS 17 0670 ALL OTHER CQS AND UNRATED INTERNAL CODE IDENTIFIER OF THE SECURITISATION INTRA-GROUP, PRIVATE OR PUBLIC SECURITISA-TION? ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION) ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ? SIGNIFICANT RISK TRANSFER SECURITISATION OR RE-SECURITISATION? STS OR NON-STS SECURITISATION? SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT? RETENTION NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (yyyy-mm-dd) DATE OF LATEST ISSUANCE (yyyy-mm-dd) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION'S SHARE (%) TYPE % of IRB IN APPROACH APPLIED NUMBER OF EXPOSURES EXPOSURES IN DEFAULT W (%) COUNTRY LGD (%) EL% UL% EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb % OF RETAIL EXPOSURES IN IRB POOLS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa MEMORANDUM ITEMS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY MEMORANDUM ITEMS CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS FIRST FORESEEABLE TERMINATION DATE ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION LEGAL FINAL MATURITY DATE ATTACHMENT POINT OF RISK SOLD (%) DETACHMENT POINT OF RISK SOLD (%) RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) AMOUNT ATTACHMENT POINT (%) CQS AMOUNT NUMBER OF TRANCHES CQS OF THE MOST SUBORDINATED ONE AMOUNT DETACHMENT POINT (%) CQS 0010 0020 0021 0110 0030 0040 0051 0060 0061 0070 0075 0446 0080 0090 0100 0120 0121 0130 0140 0150 0160 0171 0180 0181 0190 0201 0202 0203 0204 0210 0221 0222 0223 0225 0230 0231 0232 0240 0241 0242 0250 0251 0252 0260 0270 0280 0290 0291 0300 0302 0303 0304 INTERNAL CODE IDENTIFIER OF THE SECURITISATION SECURITISATION POSITIONS EXPOSURE VALUE (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEMS SECURITISATION POSITIONS - TRADING BOOK ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA CTP OR NON-CTP? NET POSITIONS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS LIQUIDITY FACILITIES OTHER SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE FIRST LOSS BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP AFTER CAP RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT LONG SHORT 0010 0020 0310 0320 0330 0340 0350 0351 0360 0361 0370 0380 0390 0400 0411 0420 0430 0431 0432 0440 0447 0448 0450 0460 0470 MONTH 1 MONTH 2 MONTH 3 QUALITATIVE INFORMATION LONG DERIVATIVE POSITIONS SHORT DERIVATIVE POSITIONS TOTAL LONG DERIVATIVE POSITIONS SHORT DERIVATIVE POSITIONS TOTAL LONG DERIVATIVE POSITIONS SHORT DERIVATIVE POSITIONS TOTAL 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 Size of the derivative business 0020 On- and off-balance sheet derivatives 0030 (-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures 0040 Total assets 0050 Percentage of total assets DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR 0060 Are the conditions of Article 273a (4) CRR met, including the approval from the competent authority? 0070 Method for calculating exposure values at consolidated level APPROACH NUMBER OF COUNTERPARTIES NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE VARIATION MARGIN (VM), RECEIVED VARIATION MARGIN (VM), POSTED NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED REPLACE-MENT COST (RC) POTENTIAL FUTURE EXPOSURE (PFE) CURRENT EXPOSURE EEPE ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE EXPOSURE VALUE PRE-CRM EXPOSURE VALUE POST-CRM EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS Positions treated with the CR Standardised Approach Positions treated with the CR IRB Approach Positions treated with the CR Standardised Approach Positions treated with the CR IRB Approach 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES) 1,4 0020 SIMPLIFIED SA-CCR (FOR DERIVATIVES) 1,4 0030 SA-CCR (FOR DERIVATIVES) 1,4 0040 IMM (FOR DERIVATIVES AND SFTS) 0050 Securities financing transactions netting sets 0060 Derivatives and long settlement transactions netting sets 0070 From contractual cross-product netting sets 0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS) 0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS) 0100 VAR FOR SFTS 0110 TOTAL 0120 of which: SWWR positions 0130 Margined business 0140 Unmargined business RISK CATEGORIES CURRENCY SECOND CURRENCY IN PAIR NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE ADD-ON 0010 0020 0030 0040 0050 0060 0070 0010 TOTAL 0020 of which: Mapped to 2 risk categories 0030 of which: Mapped to 3 risk categories 0040 of which: Mapped to more than 3 risk categories 0050 INTEREST RATE RISK 0060 of which: Mapped exclusively to Interest rate risk category 0070 of which: Largest currency 0080 of which: 2nd largest currency 0090 of which: 3rd largest currency 0100 of which: 4th largest currency 0110 of which: 5th largest currency 0120 FOREIGN EXCHANGE RISK 0130 of which: Mapped exclusively to Foreign Exchange risk category 0140 of which: Largest currency pair 0150 of which: 2nd largest currency pair 0160 of which: 3rd largest currency pair 0170 of which: 4th largest currency pair 0180 of which: 5th largest currency pair 0190 CREDIT RISK 0200 of which: Mapped exclusively to Credit risk category 0210 Single-name transactions 0220 Multi-names transactions 0230 EQUITY RISK 0240 of which: Mapped exclusively to Equity risk category 0250 Single-name transactions 0260 Multi-names transactions 0270 COMMODITY RISK 0280 of which: Mapped exclusively to Commodity risk category 0290 Energy 0300 Metals 0310 Agricultural goods 0320 Climatic conditions 0330 Other commodities 0340 OTHER RISKS RISK CATEGORIES NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE POTENTIAL FUTURE EXPOSURE (PFE) 0010 0020 0030 0040 0050 0010 TOTAL 0020 INTEREST RATE RISK 0030 FOREIGN EXCHANGE RISK 0040 CREDIT RISK 0050 EQUITY RISK 0060 COMMODITY RISK 0070 of which: electricity INSTRUMENTS MARGINED UNMARGINED EXPOSURE VALUE NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE CURRENT EXPOSURE EEPE Stress EEPE EXPOSURE VALUE NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE CURRENT EXPOSURE EEPE Stress EEPE EXPOSURE VALUE 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 TOTAL 0020 of which: SWWR positions 0030 Netting sets treated with the CR Standardised Approach 0040 Netting sets treated with the CR IRB Approach 0050 OTC DERIVATIVES INTEREST RATE 0060 FOREIGN EXCHANGE 0070 CREDIT 0080 EQUITY 0090 COMMODITY 0100 OTHER 0110 TOTAL 0120 EXCHANGE TRADED DERIVATIVES INTEREST RATE 0130 FOREIGN EXCHANGE 0140 CREDIT 0150 EQUITY 0160 COMMODITY 0170 OTHER 0180 TOTAL 0190 SECURITIES FINANCING TRANSACTIONS BOND UNDERLYING 0200 EQUITY UNDERLYING 0210 OTHER UNDERLYING 0220 TOTAL 0230 CONTRACTUAL CROSS-PRODUCT NETTING SETS NAME CODE TYPE OF CODE NATIONAL CODE SECTOR OF THE COUN-TERPARTY COUNTERPARTY TYPE RESIDENCY OF THE COUNTERPARTY NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE EXPOSURE VALUE POST-CRM EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS 0010 0020 0030 0035 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 PD scale Exposure value Exposure weighted average PD (%) Number of obligors Exposure weighted average LGD (%) Exposure weighted average maturity (years) Risk weighted exposure amounts Density of risk weighted exposure amounts 0010 0020 0030 0040 0050 0060 0070 0010 0.00 to <0.15 0020 0.00 to <0.10 0030 0.10 to <0.15 0040 0.15 to <0.25 0050 0.25 to <0.50 0060 0.50 to <0.75 0070 0.75 to <2.50 0080 0.75 to <1.75 0090 1.75 to <2.5 0100 2.50 to <10.00 0110 2.50 to <5.00 0120 5.00 to <10.00 0130 10.00 to <100.00 0140 10.00 to <20.00 0150 20.00 to <30.00 0160 30.00 to <100.00 0170 100.00 (Default) 0180 Total Collateral type Collateral used in derivative transactions Collateral used in SFTs Fair value of collateral received Fair value of posted collateral Fair value of collateral received Fair value of posted collateral Segregated Unsegregated Segregated Unsegregated Segregated Unsegregated Segregated Unsegregated Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin SFT security Initial margin Variation margin Initial margin Variation margin SFT security 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0010 Cash – domestic currency 0020 Cash – other currencies 0030 Domestic sovereign debt 0040 Other sovereign debt 0050 Government agency debt 0060 Corporate bonds 0070 Equity securities 0080 Other collateral 0090 Total Product type NOTIONAL AMOUNTS FAIR VALUES PROTECTION BOUGHT PROTECTION SOLD PROTECTION BOUGHT PROTECTION SOLD 0010 0020 0030 0040 0010 Single-name credit default swaps 0020 Index credit default swaps 0030 Total return swaps 0040 Credit options 0050 Other credit derivatives 0060 Total FAIR VALUE BREAKDOWN 0070 Positive fair value (asset) 0080 Negative fair value (liability) EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS 0010 0020 0010 Exposures to QCCPs (total) 0020 Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which 0030 OTC derivatives 0040 Exchange-traded derivatives 0050 SFTs 0060 Netting sets where cross-product netting has been approved 0070 Segregated initial margin 0080 Non-segregated initial margin 0090 Prefunded default fund contributions 0100 Unfunded default fund contributions 0110 Exposures to non-QCCPs (total) 0120 Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which 0130 OTC derivatives 0140 Exchange-traded derivatives 0150 SFTs 0160 Netting sets where cross-product netting has been approved 0170 Segregated initial margin 0180 Non-segregated initial margin 0190 Prefunded default fund contributions 0200 Unfunded default fund contributions RISK WEIGHTED EXPOSURE AMOUNTS QUARTERLY FLOWS ANNUAL FLOWS 0010 0020 0010 Risk Weighted Exposure Amounts as at the end of the previous reporting period 0020 Asset size 0030 Credit quality of counterparties 0040 Model updates (IMM only) 0050 Methodology and policy (IMM only) 0060 Acquisitions and disposals 0070 Foreign exchange movements 0080 Other 0090 Risk Weighted Exposure Amounts as at the end of the current reporting period 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) 0010 0020 0030 0040 0050 0060 0070 0071 0080 0090 0100 0110 0120 0010 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) Cell linked to CA2 0020 BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES Cell linked to CA2 SUBJECT TO TSA: 0030 CORPORATE FINANCE (CF) 0040 TRADING AND SALES (TS) 0050 RETAIL BROKERAGE (RBr) 0060 COMMERCIAL BANKING (CB) 0070 RETAIL BANKING (RB) 0080 PAYMENT AND SETTLEMENT (PS) 0090 AGENCY SERVICES (AS) 0100 ASSET MANAGEMENT (AM) SUBJECT TO ASA: 0110 COMMERCIAL BANKING (CB) 0120 RETAIL BANKING (RB) 0130 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 CORPORATE FINANCE [CF] Number of events (new events) 0020 Gross loss amount (new events) 0030 Number of events subject to loss adjustments 0040 Loss adjustments relating to previous reporting periods 0050 Maximum single loss 0060 Sum of the five largest losses 0070 Total direct loss recovery 0080 Total recovery from insurance and other risk transfer mechanisms 0110 TRADING AND SALES [TS] Number of events (new events) 0120 Gross loss amount (new events) 0130 Number of events subject to loss adjustments 0140 Loss adjustments relating to previous reporting periods 0150 Maximum single loss 0160 Sum of the five largest losses 0170 Total direct loss recovery 0180 Total recovery from insurance and other risk transfer mechanisms 0210 RETAIL BROKERAGE [RBr] Number of events (new events) 0220 Gross loss amount (new events) 0230 Number of events subject to loss adjustments 0240 Loss adjustments relating to previous reporting periods 0250 Maximum single loss 0260 Sum of the five largest losses 0270 Total direct loss recovery 0280 Total recovery from insurance and other risk transfer mechanisms 0310 COMMERCIAL BANKING [CB] Number of events (new events) 0320 Gross loss amount (new events) 0330 Number of events subject to loss adjustments 0340 Loss adjustments relating to previous reporting periods 0350 Maximum single loss 0360 Sum of the five largest losses 0370 Total direct loss recovery 0380 Total recovery from insurance and other risk transfer mechanisms 0410 RETAIL BANKING [RB] Number of events (new events) 0420 Gross loss amount (new events) 0430 Number of events subject to loss adjustments 0440 Loss adjustments relating to previous reporting periods 0450 Maximum single loss 0460 Sum of the five largest losses 0470 Total direct loss recovery 0480 Total recovery from insurance and other risk transfer mechanisms 0510 PAYMENT AND SETTLEMENT [PS] Number of events (new events) 0520 Gross loss amount (new events) 0530 Number of events subject to loss adjustments 0540 Loss adjustments relating to previous reporting periods 0550 Maximum single loss 0560 Sum of the five largest losses 0570 Total direct loss recovery 0580 Total recovery from insurance and other risk transfer mechanisms 0610 AGENCY SERVICES [AS] Number of events (new events) 0620 Gross loss amount (new events) 0630 Number of events subject to loss adjustments 0640 Loss adjustments relating to previous reporting periods 0650 Maximum single loss 0660 Sum of the five largest losses 0670 Total direct loss recovery 0680 Total recovery from insurance and other risk transfer mechanisms 0710 ASSET MANAGEMENT [AM] Number of events (new events) 0720 Gross loss amount (new events) 0730 Number of events subject to loss adjustments 0740 Loss adjustments relating to previous reporting periods 0750 Maximum single loss 0760 Sum of the five largest losses 0770 Total direct loss recovery 0780 Total recovery from insurance and other risk transfer mechanisms 0810 CORPORATE ITEMS [CI] Number of events (new events) 0820 Gross loss amount (new events) 0830 Number of events subject to loss adjustments 0840 Loss adjustments relating to previous reporting periods 0850 Maximum single loss 0860 Sum of the five largest losses 0870 Total direct loss recovery 0880 Total recovery from insurance and other risk transfer mechanisms 0910 TOTAL BUSINESS LINES Number of events (new events). Of which: 0911 related to losses ≥ 10000 and < 20000 0912 related to losses ≥ 20000 and < 100000 0913 related to losses ≥ 100000 and < 1000000 0914 related to losses ≥ 1000000 0920 Gross loss amount (new events). Of which: 0921 related to losses ≥ 10000 and < 20000 0922 related to losses ≥ 20000 and < 100000 0923 related to losses ≥ 100000 and < 1000000 0924 related to losses ≥ 1000000 0930 Number of events subject to loss adjustments. Of which: 0935 of which: number of events with a positive loss adjustment 0936 of which: number of events with a negative loss adjustment 0940 Loss adjustments relating to previous reporting periods 0945 of which: positive loss adjustment amounts (+) 0946 of which: negative loss adjustment amounts (-) 0950 Maximum single loss 0960 Sum of the five largest losses 0970 Total direct loss recovery 0980 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 Code Type of code 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0185 0190 0200 … POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 0010 0020 0030 0040 0050 0060 0070 0010 TRADED DEBT INSTRUMENTS IN TRADING BOOK Cell linked to CA2 0011 General risk 0012 Derivatives 0013 Other assets and liabilities 0020 Maturity-based approach 0030 Zone 1 0040 0 ≤ 1 month 0050 > 1 ≤ 3 months 0060 > 3 ≤ 6 months 0070 > 6 ≤ 12 months 0080 Zone 2 0090 > 1 ≤ 2 (1,9 for cupon of less than 3%) years 0100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years 0110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years 0120 Zone 3 0130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years 0140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years 0150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years 0160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years 0170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years 0180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years 0190 (> 12,0 ≤ 20,0 for cupon of less than 3%) years 0200 (> 20 for cupon of less than 3%) years 0210 Duration-based approach 0220 Zone 1 0230 Zone 2 0240 Zone 3 0250 Specific risk 0251 Own funds requirement for non-securitisation debt instruments 0260 Debt securities under the first category in Table 1 0270 Debt securities under the second category in Table 1 0280 With residual term ≤ 6 months 0290 With a residual term > 6 months and ≤ 24 months 0300 With a residual term > 24 months 0310 Debt securities under the third category in Table 1 0320 Debt securities under the fourth category in Table 1 0321 Rated nth-to default credit derivatives 0325 Own funds requirement for securitisation instruments 0330 Own funds requirement for the correlation trading portfolio 0350 Additional requirements for options (non-delta risks) 0360 Simplified method 0370 Delta plus approach - additional requirements for gamma risk 0380 Delta plus approach - additional requirements for vega risk 0385 Delta plus approach - non-continuous options and warrants 0390 Scenario matrix approach ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIREMENTS LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 150 %] [150 – 200 %] [200 – 225 %] [225 – 250 %] [250 – 300 %] [300 – 350 %] [350 – 425 %] [425 – 500 %] [500 – 650 %] [650 – 750 %] [750 – 850 %] [850 – 1250 %] 1250 % [0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 150 %] [150 – 200 %] [200 – 225 %] [225 – 250 %] [250 – 300 %] [300 – 350 %] [350 – 425 %] [425 – 500 %] [500 – 650 %] [650 – 750 %] [750 – 850 %] [850 – 1250 %] 1250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 0010 0020 0030 0040 0050 0060 0061 0062 0063 0064 0065 0066 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0083 0085 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0098 0099 0101 0102 0103 0104 0402 0403 0404 0405 0406 0530 0540 0570 0601 0010 TOTAL EXPOSURES Cell linked to MKR SA TDI {325:060} 0020 Of which: RE-SECURITISATIONS 0030 ORIGINATOR: TOTAL EXPOSURES 0040 SECURITISATIONS 0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0050 RE-SECURITISATIONS 0060 INVESTOR: TOTAL EXPOSURES 0070 SECURITISATIONS 0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0080 RE-SECURITISATIONS 0090 SPONSOR: TOTAL EXPOSURES 0100 SECURITISATIONS 0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT 0110 RE-SECURITISATIONS ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIREMENTS LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 250 %] [250 – 350 %] [350 – 425 %] [425 – 650 %] [650 – 1250 %] 1250 % [0 – 10 %] [10 – 12 %] [12 – 20 %] [20 – 40 %] [40 – 100 %] [100 – 250 %] [250 – 350 %] [350 – 425 %] [425 – 650 %] [650 – 1250 %] 1250 % SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH OTHER (RW=1250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 0010 0020 0030 0040 0050 0060 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0402 0403 0404 0405 0406 0410 0420 0430 0440 0450 0010 TOTAL EXPOSURES Cell linked to MKR SA TDI {330:060} SECURITISATION POSITIONS: 0020 ORIGINATOR: TOTAL EXPOSURES 0030 SECURITISATIONS 0040 OTHER CTP POSITIONS 0050 INVESTOR: TOTAL EXPOSURES 0060 SECURITISATIONS 0070 OTHER CTP POSITIONS 0080 SPONSOR: TOTAL EXPOSURES 0090 SECURITISATIONS 0100 OTHER CTP POSITIONS N-TH-TO-DEFAULT CREDIT DERIVATIVES: 0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES 0120 OTHER CTP POSITIONS POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 0010 0020 0030 0040 0050 0060 0070 0010 EQUITIES IN TRADING BOOK Cell linked to CA 0020 General risk 0021 Derivatives 0022 Other assets and liabilities 0030 Exchange traded stock-index futures broadly diversified subject to particular approach 0040 Other equities than exchange traded stock-index futures broadly diversified 0050 Specific risk 0090 Additional requirements for options (non-delta risks) 0100 Simplified method 0110 Delta plus approach - additional requirements for gamma risk 0120 Delta plus approach - additional requirements for vega risk 0125 Delta plus approach - non-continuous options and warrants 0130 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 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 TOTAL POSITIONS Cell linked to CA 0020 Currencies closely correlated 0025 of which: reporting currency 0030 All other currencies (including CIUs treated as different currencies) 0040 Gold 0050 Additional requirements for options (non-delta risks) 0060 Simplified method 0070 Delta plus approach - additional requirements for gamma risk 0080 Delta plus approach - additional requirements for vega risk 0085 Delta plus approach - non-continuous options and warrants 0090 Scenario matrix approach BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES 0100 Other assets and liabilities other than off-balance sheet items and derivatives 0110 Off-balance sheet items 0120 Derivatives Memorandum items: CURRENCY POSITIONS 0130 Euro 0140 Lek 0150 Argentine Peso 0160 Australian Dollar 0170 Brazilian Real 0180 Bulgarian Lev 0190 Canadian Dollar 0200 Czech Koruna 0210 Danish Krone 0220 Egyptian Pound 0230 Pound Sterling 0240 Forint 0250 Yen 0270 Lithuanian Litas 0280 Denar 0290 Mexican Peso 0300 Zloty 0310 Rumanian Leu 0320 Russian Ruble 0330 Serbian Dinar 0340 Swedish Krona 0350 Swiss Franc 0360 Turkish Lira 0370 Hryvnia 0380 US Dollar 0390 Iceland Krona 0400 Norwegian Krone 0410 Hong Kong Dollar 0420 New Taiwan Dollar 0430 New Zealand Dollar 0440 Singapore Dollar 0450 Won 0460 Yuan Renminbi 0470 Other 0480 Croatian Kuna ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT 0010 0020 0030 0040 0050 0060 0070 0010 TOTAL POSITIONS IN COMMODITIES Cell linked to CA 0020 Precious metals (except gold) 0030 Base metals 0040 Agricultural products (softs) 0050 Others 0060 Of which energy products (oil, gas) 0070 Maturity ladder approach 0080 Extended maturity ladder approach 0090 Simplified approach: All positions 0100 Additional requirements for options (non-delta risks) 0110 Simplified method 0120 Delta plus approach - additional requirements for gamma risk 0130 Delta plus approach - additional requirements for vega risk 0135 Delta plus approach - non-continuous options and warrants 0140 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 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0010 TOTAL POSITIONS Cell linked to CA Memorandum items: BREAKDOWN OF MARKET RISK 0020 Traded debt instruments 0030 TDI - General risk 0040 TDI - Specific Risk 0050 Equities 0060 Equities - General risk 0070 Equities - Specific Risk 0080 Foreign Exchange risk 0090 Commodities risk 0100 Total amount for general risk 0110 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0010 CVA risk total Link to {CA2;r640;c010} 0020 According to Advanced method Link to {CA2;r650;c010} 0030 According to Standardised method Link to {CA2;r660;c010} 0040 Based on OEM Link to {CA2;r670;c010} FAIR-VALUED ASSETS AND LIABILITIES FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD OF WHICH: TRADING BOOK EXACTLY MATCHING HEDGE ACCOUNTING PRUDENTIAL FILTERS OTHER COMMENTS FOR OTHER OF WHICH: TRADING BOOK 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES 0020 1.1 TOTAL FAIR-VALUED ASSETS 0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING 0040 1.1.2 TRADING FINANCIAL ASSETS 0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS 0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME 0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS 0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY 0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS 0110 1.1.9 DERIVATIVES - HEDGE ACCOUNTING 0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK 0130 1.1.11 ÍNVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES 0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE 0150 1.2 TOTAL FAIR-VALUED LIABILITIES 0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING 0170 1.2.2 TRADING FINANCIAL LIABILITIES 0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS 0190 1.2.4 DERIVATIVES - HEDGE ACCOUNTING 0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK 0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE CATEGORY LEVEL AVA TOTAL AVA UPSIDE UNCERTAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFERENCE FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTION MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS FUTURE ADMINISTRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS UNEARNED CREDIT SPREADS INVESTING AND FUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERA- TIONAL RISK OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0010 1 TOTAL CORE APPROACH 0020 OF WHICH: TRADING BOOK 0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION 0040 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION 0050 1.1.1* OF WHICH: UNEARNED CREDIT SPREADS AVA 0060 1.1.1** OF WHICH: INVESTMENT AND FUNDING COSTS AVA 0070 1.1.1*** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101 0080 1.1.1**** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101 0090 1.1.1.1 INTEREST RATES 0100 1.1.1.2 FOREIGN EXCHANGE 0110 1.1.1.3 CREDIT 0120 1.1.1.4 EQUITIES 0130 1.1.1.5 COMMODITIES 0140 1.1.2 (-) DIVERSIFICATION BENEFITS 0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1 0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2 0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2 0180 1.2 PORTFOLIOS UNDER THE FALL-BACK APPROACH 0190 1.2.1 100% OF NET UNREALISED PROFIT 0200 1.2.2 10% OF NOTIONAL VALUE 0210 1.2.3 25% OF INCEPTION VALUE RANK MODEL RISK CATEGORY PRODUCT OBSER-VABILITY MODEL RISK AVA AGGREGATED AVA CALCULATED UNDER METHOD 2 FAIR-VALUED ASSETS AND LIABILITIES IPV DIFFERENCE (OUTPUT TESTING) IPV COVERAGE (OUTPUT TESTING) FAIR VALUE ADJUSTMENTS DAY1 P&L OF WHICH: USING THE EXPERT BASED APPROACH OF WHICH: AGGRE-GATED USING METHOD 2 FAIR VALUED ASSETS FAIR VALUED LIABILITIES MODEL RISK EARLY TERMINATION 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 RANK RISK CATEGORY PRODUCT UNDERLYING CONCEN-TRATED POSITION SIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCEN-TRATED POSITIONS AVA CONCEN-TRATED POSITION FAIR VALUE ADJUSTMENT IPV DIFFERENCE 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0010 Total exposures BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: 0020 Exposures under the credit risk framework 0030 Standardised Approach 0040 Central governments 0050 Regional governments or local authorities 0060 Public sector entities 0070 International Organisations 0075 Other general government exposures subject to Standardised Approach 0080 IRB Approach 0090 Central governments 0100 Regional governments or local authorities [Central governments] 0110 Regional governments or local authorities [Institutions] 0120 Public sector entities [Central governments] 0130 Public sector entities [Institutions] 0140 International Organisations [Central governments] 0155 Other general government exposures subject to IRB approach 0160 Exposures under the market risk framework BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: 0170 [ 0 - 3M [ 0180 [ 3M - 1Y [ 0190 [ 1Y - 2Y [ 0200 [ 2Y - 3Y [ 0210 [3Y - 5Y [ 0220 [5Y - 10Y [ 0230 [10Y - more Time passed since exposures classified as non-performing Total <= 1 year > 1 year <= 2 years > 2 years <= 3 years > 3 years <= 4 years > 4 years <= 5 years > 5 years <= 6 years > 6 years <= 7 years > 7 years <= 8 years > 8 years <= 9 years > 9 years 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 Applicable amount of insufficient coverage MINIMUM COVERAGE REQUIREMENT 0020 Total minimum coverage requirement 0030 Unsecured part of NPEs 0040 Secured part of NPEs 0050 Exposure value 0060 Unsecured part of NPEs 0070 Secured part of NPEs AVAILABLE COVERAGE 0080 Total provisions and adjustments or deductions (capped) 0090 Total provisions and adjustments or deductions (uncapped) 0100 Specific credit risk adjustments 0110 Additional valuation adjustments 0120 Other own funds reductions 0130 IRB shortfall 0140 Difference between the purchase price and the amount owed by the debtor 0150 Amounts written-off by the institution since the exposure was classified as non-performing Time passed since exposures classified as non-performing Total <= 1 year > 1 year <= 2 years > 2 years <= 3 years > 3 years <= 4 years > 4 years <= 5 years > 5 years <= 6 years > 6 years <= 7 years > 7 years <= 8 years > 8 years <= 9 years > 9 years 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 TOTAL MINIMUM COVERAGE REQUIREMENT 0020 Unsecured part of NPEs 0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider 0040 Part of NPEs secured by other funded or unfunded credit protection 0050 Part of NPEs guaranteed or insured by an official export credit agency 0060 EXPOSURE VALUE 0070 Unsecured part of NPEs Factor 0,35 1 1 1 1 1 1 1 0080 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Factor 0,25 0,35 0,55 0,7 0,8 0,85 1 0090 Part of NPEs secured by other funded or unfunded credit protection Factor 0,25 0,35 0,55 0,8 1 1 1 0100 Part of NPEs guaranteed or insured by an official export credit agency Factor 1 1 1 Time passed since exposures classified as non-performing TOTAL <= 1 year > 1 year <= 2 years > 2 years <= 3 years > 3 years <= 4 years > 4 years <= 5 years > 5 years <= 6 years > 6 years <= 7 years > 7 years <= 8 years > 8 years <= 9 years > 9 years 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 TOTAL MINIMUM COVERAGE REQUIREMENT 0020 Unsecured part of NPEs 0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider 0040 Part of NPEs secured by other funded or unfunded credit protection 0050 EXPOSURE VALUE 0060 Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years) Factor 0 0 1 1 1 1 1 1 1 0070 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure 0080 > 2 and <= 3 years after classification as NPE Factor 0 0 0,35 0,55 0,7 0,8 0,85 1 0090 > 3 and <= 4 years after classification as NPE Factor 0,25 0,25 0,55 0,7 0,8 0,85 1 0100 > 4 and <= 5 years after classification as NPE Factor 0,35 0,35 0,7 0,8 0,85 1 0110 > 5 and <= 6 years after classification as NPE Factor 0,55 0,55 0,8 0,85 1 0120 Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure 0130 > 2 and <= 3 years after classification as NPE Factor 0 0 0,35 0,55 0,8 1 1 1 0140 > 3 and <= 4 years after classification as NPE Factor 0,25 0,25 0,55 0,8 1 1 1 0150 > 4 and <= 5 years after classification as NPE Factor 0,35 0,35 0,8 1 1 1 0160 > 5 and <= 6 years after classification as NPE Factor 0,55 0,55 1 1 1

ANNEX II INSTRUCTIONS FOR 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 covers six topics: 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 this Implementing Regulation. Institutions shall 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; prudent valuation; NPE loss coverage;

(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;

(f) general governments exposures

1.2.4.5.6.7.8.

NUMBERING CONVENTION The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those 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 are 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.

1.4.10. ABBREVIATIONS For the purposes of this Annex, Regulation (EU) No 575/2013 of the European Parliament and of the Council is referred to as CRR, Directive 2013/36/EU of the European Parliament and of the Council is referred to as CRD, Directive 2013/34/EU of the European Parliament and of the Council is referred to as AD, Council Directive 86/635/EEC is referred to as BAD and Directive 2014/59/EU of the European Parliament and of the Council is reffered to as BRRD.

PART II TEMPLATE RELATED INSTRUCTIONS

1. CAPITAL ADEQUACY OVERVIEW (CA)

1.

1.1.11.12.13.14.15.

GENERAL REMARKS The CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of CRR and CRD transitional provisions and is structured in five templates: The templates shall be used by 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) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2). The application of CRR and CRD transitional provisions is treated as follows in CA templates: The treatment of Pillar II requirements can be different within the Union (Article 104a(1) CRD 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 required under CRR.

1.1.11.

(a) Template CA1 contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of CRR and CRD transitional provisions per type of capital;

(b) Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) CRR;

(c) Template CA3 contains the ratios for which CRR states a minimum level, Pillar 2 ratios and some other related data;

(d) Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to CRD capital buffers;

(e) Template CA5 contains the data needed for calculating the effect of the application of CRR transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.

1.1.11.12.13.14.

(a) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those 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 those 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 point (j) of Article 36(1) and point (e) of Article 56 CRR respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.

(c) Template CA5 is exclusively used for reporting the effect due to the application of the CRR transitional provisions.

1.1.11.12.13.14.15. 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. It mainly focuses on the target ratios themselves. There is no 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. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104a(1) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2. C 01.00 – OWN FUNDS (CA1)

1.2.

1.2.1. Instructions concerning specific positions Row Legal references and instructions 0010 1. Own funds Point (118) of Article 4(1) and Article 72 CRR The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital. 0015 1.1. Tier 1 capital Article 25 CRR The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital 0020 1.1.1. Common Equity Tier 1 capital Article 50 CRR 0030 1.1.1.1. Capital instruments eligible as CET1 capital Points (a) and (b) of Articles 26(1), Articles 27 to 30, point (f) of Article 36(1) and Article 42 CRR 0040 1.1.1.1.1. Fully paid up capital instruments Point (a) of Article 26(1) and Articles 27 to 31 CRR Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 CRR) shall be included. The share premium related to the instruments shall not be included. Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled. 0045 1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 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. 0050 1.1.1.1.2* Memorandum item: Capital instruments not eligible Points (b), (l) and (m) of Article 28(1) 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 0060 1.1.1.1.3. Share premium Point (124) of Article 4(1), point (b) of Article 26(1) CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the Fully paid up capital instruments. 0070 1.1.1.1.4. (-) Own CET1 instruments Point (f) of Article 36(1) and Article 42 CRR Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5. 0080 1.1.1.1.4.1. (-) Direct holdings of CET1 instruments Point (f) of Article 36(1) and Article 42 CRR Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in point (a) of Article 42 CRR. 0090 1.1.1.1.4.2. (-) Indirect holdings of CET1 instruments Point (114) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR 0091 1.1.1.1.4.3. (-) Synthetic holdings of CET1 instruments Point (126) of Article 4(1), point (f) of Article 36(1) and Article 42 CRR 0092 1.1.1.1.5. (-) Actual or contingent obligations to purchase own CET1 instruments Point (f) of Article 36(1) and Article 42 CRR According to point (f) of Article 36(1) CRR, own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation shall be deducted. 0130 1.1.1.2. Retained earnings Point (c) of Article 26(1) and Article 26(2) CRR Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits 0140 1.1.1.2.1. Previous years retained earnings Point (123) of Article 4(1) and point (c) of Article 26(1) CRR Point (123) of Article 4(1) CRR defines retained earnings as Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework. 0150 1.1.1.2.2. Profit or loss eligible Point (121) of Article 4(1), Article 26(2) and point (a) of Article 36(1) CRR Article 26(2) CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in point (a) of Article 36(1) CRR. 0160 1.1.1.2.2.1. Profit or loss attributable to owners of the parent Article 26(2) and point (a) of Article 36(1) CRR The amount to be reported shall be the profit or loss reported in the accounting income statement. 0170 1.1.1.2.2.2. (-) Part of interim or year-end profit not eligible Article 26(2) CRR This row shall not present any figure if, for the reference period, the institution has reported losses, because the losses shall be completely deducted from CET1. If the institution reports profits, the part, which is not eligible according to Article 26(2) CRR (i.e. profits not audited and foreseeable charges or dividends), shall be reported. Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends. 0180 1.1.1.3. Accumulated other comprehensive income Point (100) of Article 4(1) and point (d) of Article 26(1) CRR The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014. 0200 1.1.1.4. Other reserves Point (117) of Article 4(1) and point (e) of Article 26(1) CRR Other reserves are defined in CRR as Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 0210 1.1.1.5. Funds for general banking risk Point (112) of Article 4(1) and point (f) of Article 26(1) CRR Funds for general banking risk are defined in Article 38 BAD as Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 0220 1.1.1.6. Transitional adjustments due to grandfathered CET1 Capital instruments Paragraphs 1, 2 and 3 of Article 483 and Articles 484 to 487 CRR Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5. 0230 1.1.1.7. Minority interest given recognition in CET1 capital Point (120) of Article 4(1) and Article 84 CRR Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1. 0240 1.1.1.8. Transitional adjustments due to additional minority interests Articles 479 and 480 CRR Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5. 0250 1.1.1.9. Adjustments to CET1 due to prudential filters Articles 32 to 35 CRR 0260 1.1.1.9.1. (-) Increases in equity resulting from securitised assets Article 32(1) CRR The amount to be reported is the increase in the equity of the institution resulting from securitised assets, in accordance with the applicable accounting standard. For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation. 0270 1.1.1.9.2. Cash flow hedge reserve Point (a) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. The amount shall be net of any tax charge to be expected at the moment of the calculation. 0280 1.1.1.9.3. Cumulative gains and losses due to changes in own credit risk on fair valued liabilities Point (b) of Article 33(1) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. 0285 1.1.1.9.4. Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities Point (c) of Article 33(1) and Article 33(2) CRR The amount to be reported can be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements. Unaudited profit shall not be included in this item. 0290 1.1.1.9.5. (-) Value adjustments due to the requirements for prudent valuation Articles 34 and 105 CRR Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 CRR 0300 1.1.1.10. (-) Goodwill Point (113) of Article 4(1), point (b) of Article 36(1) and Article 37 CRR 0310 1.1.1.10.1. (-) Goodwill accounted for as intangible asset Point (113) of Article 4(1) and point (b) of Article 36(1) CRR Goodwill has the same meaning as under the applicable accounting standard. The amount to be reported here shall be the same as the amount that is reported in the balance sheet. 0320 1.1.1.10.2. (-) Goodwill included in the valuation of significant investments Point (b) of Article 37 and Article 43 CRR 0330 1.1.1.10.3. Deferred tax liabilities associated to goodwill Point (a) of Article 37 CRR Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard. 0335 1.1.1.10.4. Accounting revaluation of subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to third persons Point (c) of Article 37 CRR The amount of the accounting revaluation of the subsidiaries’ goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One. 0340 1.1.1.11. (-) Other intangible assets Point (115) of Article 4(1), point (b) of Article 36(1) and point (a) and (c) of Article 37 CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. 0350 1.1.1.11.1. (-) Other intangible assets before deduction of deferred tax liabilities Point (115) of Article 4(1) and point (b) of Article 36(1) CRR Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard. The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets, other than goodwill. 0360 1.1.1.11.2. Deferred tax liabilities associated to other intangible assets Point (a) of Article 37 CRR Amount of deferred tax liabilities that would be extinguished if the intangibles assets, other than goodwill, became impaired or was derecognised under the relevant accounting standard. 0365 1.1.1.11.3. Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons Point (c) of Article 37 CRR The amount of the accounting revaluation of the subsidiaries’ intangibles assets other than goodwill derived from the consolidation of subsidiaries attributable to persons other than the undertakings included in the consolidation pursuant to Chapter 2 of Title II of Part One. 0370 1.1.1.12. (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities Point (c) of Article 36(1) and Article 38 CRR 0380 1.1.1.13. (-) IRB shortfall of credit risk adjustments to expected losses Point (d) of Article 36(1), Articles 40, 158 and 159 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 CRR). 0390 1.1.1.14. (-)Defined benefit pension fund assets Point (109) of Article 4(1), point (e) of Article 36(1) and Article 41 CRR 0400 1.1.1.14.1. (-)Defined benefit pension fund assets Point (109) of Article 4(1) and point (e) of Article 36(1) 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). 0410 1.1.1.14.2. Deferred tax liabilities associated to defined benefit pension fund assets Points (108) and (109) of Article 4(1) and point (a) of Article 41(1) 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. 0420 1.1.1.14.3. Defined benefit pension fund assets which the institution has an unrestricted ability to use Point (109) of Article 4(1) and point (b) of Article 41(1) 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. 0430 1.1.1.15. (-) Reciprocal cross holdings in CET1 Capital Point (122) of Article 4(1), point (g) of Article 36(1) and Article 44 CRR Holdings in CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) 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. 0440 1.1.1.16. (-) Excess of deduction from AT1 items over AT1 Capital Point (j) of Article 36(1) CRR The amount to be reported is directly taken from CA1 item Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1. 0450 1.1.1.17. (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1250 % risk weight Point (36) of Article 4(1), point (k)(i) of Article 36(1) and Articles 89 to 91 CRR Qualifying holdings are defined as direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking. According to point (k)(i) of Article 36(1) CRR qualifying holdings can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1250 %. 0460 1.1.1.18. (-) Securitisation positions which can alternatively be subject to a 1250 % risk weight Point (b) of Articles 244(1), point (b) of Article 245(1) and Article 253(1) CRR. Securitisation positions, which are subject to a 1250 % risk weight, but alternatively are allowed to be deducted from CET1 (point (k)(ii) of Article 36(1) CRR), shall be reported in this item. 0470 1.1.1.19. (-) Free deliveries which can alternatively be subject to a 1250 % risk weight Point (k)(iii) of Article 36(1) and Article 379(3) CRR Free deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (point (k)(iii) of Article 36(1) CRR). In the latter case, they shall be reported in this item. 0471 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 Point (k)(iv) of Articles 36(1) and Article 153(8) CRR According to point (k)(iv) of Article 36(1) CRR, positions in a basket for which an institution cannot determine the risk weight under the IRB Approach can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1250 %. 0472 1.1.1.21. (-) Equity exposures under an internal models approach which can alternatively be subject to a 1250 % risk weight Point (k)(v) of Article 36(1) and Article 155(4) CRR According to point (k)(v) of Article 36(1) CRR, equity exposures under an internal models approach can, alternatively, be deducted from CET1 (using this item), or be subject to a risk weight of 1250 %. 0480 1.1.1.22. (-) CET1 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (h) of Article 36(1), Articles 43 to 46, paragraphs 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) 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 (paragraphs 2 and 3 of Article 49). 0490 1.1.1.23. (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences), which according to point (b) of Article 38(5) CRR has to be deducted applying the 10 % threshold referred to in point (a) of Article 48(1) CRR. 0500 1.1.1.24. (-) CET1 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (i) of Article 36(1); Articles 43, 45, 47, point (b) of Article 48(2), paragraphs 1, 2 and 3 of Article 49 and Article 79 CRR Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in point (b) of Article 48(1) CRR. See alternatives to deduction when consolidation is applied (paragraphs 1, 2 and 3 of Article 49 CRR). 0510 1.1.1.25. (-) Amount exceeding the 17,65 % threshold Article 48(2) CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(2) CRR. 0511 1.1.1.25.1. (-) Amount exceeding the 17,65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment 0512 1.1.1.25.2. (-) Amount exceeding the 17,65 % threshold related to deferred tax assets arising from temporary differences 0513 1.1.1.25 A (-) Insufficient coverage for non-performing exposures Point (m) of Article 36(1) and Article 47c CRR 0514 1.1.1.25B (-) Minimum value commitment shortfalls Point (n) of Article 36(1) and Article 132c(2) CRR 0515 1.1.1.25C (-) Other foreseeable tax charges Point (l) of Article 36(1) CRR Tax charges relating to CET1 items foreseeable at the moment of the calculation other than tax charges that have been considered already in any of the other rows reflecting CET1 items by reducing the amount of the CET1 item in question. 0520 1.1.1.26. Other transitional adjustments to CET1 Capital Articles 469 to 478 and 481 CRR Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5. 0524 1.1.1.27. (-) Additional deductions of CET1 Capital due to Article 3 CRR Article 3 CRR 0529 1.1.1.28. CET1 capital elements or deductions – other This row is intended to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element or a deduction from a CET1 element cannot be assigned to one of the rows 020 to 524. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of the CRR). 0530 1.1.2. ADDITIONAL TIER 1 CAPITAL Article 61 CRR 0540 1.1.2.1. Capital instruments eligible as AT1 Capital Point (a) of Article 51, Articles 52, 53 and 54, point (a) of Article 56 and Article 57 CRR 0551 1.1.2.1.1. Fully paid up, directly issued capital instruments Point (a) of Article 51 and Articles 52, 53 and 54 CRR The amount to be reported shall not include the share premium related to the instruments 0560 1.1.2.1.2 (*) Memorandum item: Capital instruments not eligible Points (c), (e) and (f) of Article 52(1) 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 0571 1.1.2.1.3. Share premium Point (b) of Article 51 CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the fully paid up and directly issued capital instruments. 0580 1.1.2.1.4. (-) Own AT1 instruments Point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 57 CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5. 0590 1.1.2.1.4.1. (-) Direct holdings of AT1 instruments Point (144) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group. 0620 1.1.2.1.4.2. (-) Indirect holdings of AT1 instruments Point (b)(ii) of Article 52(1), point (a) of Article 56 and Article 57 CRR 0621 1.1.2.1.4.3. (-) Synthetic holdings of AT1 instruments Point (126) of Article 4(1), point (b) of Article 52(1), point (a) of Article 56 and Article 57 CRR 0622 1.1.2.1.5. (-) Actual or contingent obligations to purchase own AT1 instruments Point (a) of Article 56 and Article 57 CRR According to point (a) of Article 56 CRR, own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations shall be deducted. 0660 1.1.2.2. Transitional adjustments due to grandfathered AT1 Capital instruments Paragraphs 4 and 5 of Article 483, Articles 484 to 487, Articles 489 and 491 CRR Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5. 0670 1.1.2.3. Instruments issued by subsidiaries that are given recognition in AT1 Capital Articles 83, 85 and 86 CRR Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1. Qualifying AT1 capital issued by a special purpose entity (Article 83 CRR) shall be included. 0680 1.1.2.4. Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 CRR Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5. 0690 1.1.2.5. (-) Reciprocal cross holdings in AT1 Capital Point (122) of Article 4(1), point (b) of Article 56 and Article 58 CRR Holdings in AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items. 0700 1.1.2.6. (-) AT1 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (c) of Article 56; Articles 59, 60 and 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from AT1. 0710 1.1.2.7. (-) AT1 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (d) of Article 56, Articles 59 and 79 CRR Holdings by the institution of AT1 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment are completely deducted 0720 1.1.2.8. (-) Excess of deduction from T2 items over T2 Capital Point (e) of Article 56 CRR The amount to be reported is directly taken from CA1 item “Excess of deduction from T2 items over T2 Capital (deducted in AT1). 0730 1.1.2.9. Other transitional adjustments to AT1 Capital Articles 472, 473a, 474, 475, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5. 0740 1.1.2.10. Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) Point (j) of Article 36(1) CRR Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1. With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Where this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure. 0744 1.1.2.11. (-) Additional deductions of AT1 Capital due to Article 3 CRR Article 3 CRR 0748 1.1.2.12. AT1 capital elements or deductions – other This row is intended 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 or a deduction from an AT1 element cannot be assigned to one of the rows 530 to 744. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR). 0750 1.2. TIER 2 CAPITAL Article 71 CRR 0760 1.2.1. Capital instruments eligible as T2 Capital Point (a) of Article 62, Articles 63 to 65, point (a) of Article 66 and Article 67 CRR 0771 1.2.1.1. Fully paid up, directly issued capital instruments Point (a) of Article 62, Articles 63 and 65 CRR The amount to be reported shall not include the share premium related to the instruments. The capital instruments may consist of equity or liabilities, including subordinated loans that fulfil the eligibility criteria. 0780 1.2.1.2 (*) Memorandum item: Capital instruments not eligible Points (c), (e) and (f) of Article 63 and Article 64 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. The capital instruments may consist of equity or liabilities, including subordinated loans. 0791 1.2.1.3. Share premium Point (b) of Article 62 and Article 65 CRR Share premium has the same meaning as under the applicable accounting standard. The amount to be reported in this item shall be the part related to the fully paid up and directly issued capital instruments. 0800 1.2.1.4. (-) Own T2 instruments Point (b)(i) of Article 63, point (a) of Article 66, and Article 67 CRR Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in Article 67 CRR. Holdings on shares included as Capital instruments not eligible shall not be reported in this row. The amount to be reported shall include the share premium related to the own shares. Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5. 0810 1.2.1.4.1. (-) Direct holdings of T2 instruments Point (b) of Article 63, point (a) of Article 66 and Article 67 CRR Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group. 0840 1.2.1.4.2. (-) Indirect holdings of T2 instruments Point (114) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR 0841 1.2.1.4.3. (-) Synthetic holdings of T2 instruments Point (126) of Article 4(1), point (b) of Article 63, point (a) of Article 66 and Article 67 CRR 0842 1.2.1.5. (-) Actual or contingent obligations to purchase own T2 instruments Point (a) of Article 66 and Article 67 CRR According to point (a) of Article 66 CRR, own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations shall be deducted. 0880 1.2.2. Transitional adjustments due to grandfathered T2 Capital instruments Paragraphs 6 and 7 of Article 483, Articles 484, 486, 488, 490 and 491 CRR Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5. 0890 1.2.3. Instruments issued by subsidiaries that are given recognition in T2 Capital Articles 83, 87 and 88 CRR Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2. Qualifying Tier 2 capital issued by a special purpose entity (Article 83 CRR) shall be included. 0900 1.2.4. Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 CRR Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5. 0910 1.2.5. IRB Excess of provisions over expected losses eligible Point (d) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with IRB Approach, this item shall contain the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital. 0920 1.2.6. SA General credit risk adjustments Point (c) of Article 62 CRR For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item shall contain the general credit risk adjustments eligible as T2 capital. 0930 1.2.7. (-) Reciprocal cross holdings in T2 Capital Point (122) of Article 4(1), point (b) of Article 66 and Article 68 CRR Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate the own funds of the institution artificially. The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items. 0940 1.2.8. (-) T2 instruments of financial sector entities where the institution does not have a significant investment Point (27) of Article 4(1), point (c) of Article 66, Articles 68 to 70 and Article 79 CRR Part of holdings by the institution of instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution does not have a significant investment that has to be deducted from T2. 0950 1.2.9. (-) T2 instruments of financial sector entities where the institution has a significant investment Point (27) of Article 4(1), point (d) of Article 66, Articles 68, 69 and Article 79 CRR Holdings by the institution of T2 instruments of financial sector entities (as defined in point (27) of Article 4(1) CRR) where the institution has a significant investment shall be completely deducted. 0955 1.2.9 A (-) Excess of deductions from eligible liabilities over eligible liabilities Article 66 (e) CRR. 0960 1.2.10. Other transitional adjustments to T2 Capital Articles 472, 473a, 476, 477, 478 and 481 CRR Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5. 0970 1.2.11. Excess of deduction from T2 items over T2 Capital (deducted in AT1) Point (e) of Article 56 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. Where this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure. 0974 1.2.12. (-) Additional deductions of T2 Capital due to Article 3 CRR Article 3 CRR 0978 1.2.13. T2 capital elements or deductions – other This row provides 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 or a deduction from a T2 element cannot be assigned to one of the rows 750 to 974. This row shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope CRR).

1.3. C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

1.3.

1.3.1. Instructions concerning specific positions Row Legal references and instructions 0010 1. TOTAL RISK EXPOSURE AMOUNT Article 92(3) and Articles 95, 96 and 98 CRR 0020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR For investment firms under Article 95(2) and Article 98 CRR 0030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR For investment firms under Article 96(2) and Article 97 CRR 0040 1.1. RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Points (a) and (f) of Article 92(3) CRR 0050 1.1.1. Standardised Approach (SA) CR SA and SEC SA templates at the level of total exposures 0051 1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been consulted with EBA, in accordance with paragraphs 2 and 5 of Article 124CRR. 0060 1.1.1.1. SA exposure classes excluding securitisations positions CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 CRR, excluding securitisation positions. 0070 1.1.1.1.01. Central governments or central banks See CR SA template 0080 1.1.1.1.02. Regional governments or local authorities See CR SA template 0090 1.1.1.1.03. Public sector entities See CR SA template 0100 1.1.1.1.04. Multilateral Development Banks See CR SA template 0110 1.1.1.1.05. International Organisations See CR SA template 0120 1.1.1.1.06. Institutions See CR SA template 0130 1.1.1.1.07. Corporates See CR SA template 0140 1.1.1.1.08. Retail See CR SA template 0150 1.1.1.1.09. Secured by mortgages on immovable property See CR SA template 0160 1.1.1.1.10. Exposures in default See CR SA template 0170 1.1.1.1.11. Items associated with particular high risk See CR SA template 0180 1.1.1.1.12. Covered bonds See CR SA template 0190 1.1.1.1.13. Claims on institutions and corporate with a short-term credit assessment See CR SA template 0200 1.1.1.1.14. Collective investments undertakings (CIU) See CR SA template 0210 1.1.1.1.15. Equity See CR SA template 0211 1.1.1.1.16. Other items See CR SA template 0240 1.1.2. Internal ratings based Approach (IRB) 0241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements as communicated to the institutions after having been notified to EBA, in accordance with paragraphs 5 and 7 of Article 164 CRR. 0242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR Institutions shall report the additional risk exposure amounts needed to comply with the stricter prudential requirements set by the competent authorities after having consulted EBA, as laid down in paragraphs 2 and 5 of Article 124 CRR and which are related to limits on the eligible market value of the collateral as laid down in point (d) of Article 125(2) and point (d) of Article 126(2) CRR. 0250 1.1.2.1. IRB Approaches when neither own estimates of LGD nor Conversion Factors are used CR IRB template at the level of total exposures (when own estimates of LGD or CCF are not used) 0260 1.1.2.1.01. Central governments and central banks See CR IRB template 0270 1.1.2.1.02. Institutions See CR IRB template 0280 1.1.2.1.03. Corporates – SME See CR IRB template 0290 1.1.2.1.04. Corporates – Specialised Lending See CR IRB template 0300 1.1.2.1.05. Corporates – Other See CR IRB template 0310 1.1.2.2. IRB Approaches when own estimates of LGD and/or Conversion Factor are used CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used) 0320 1.1.2.2.01. Central governments and central banks See CR IRB template 0330 1.1.2.2.02. Institutions See CR IRB template 0340 1.1.2.2.03. Corporates – SME See CR IRB template 0350 1.1.2.2.04. Corporates – Specialised Lending See CR IRB template 0360 1.1.2.2.05. Corporates – Other See CR IRB template 0370 1.1.2.2.06. Retail – secure by real estate SME See CR IRB template 0380 1.1.2.2.07. Retail – secure by real estate non-SME See CR IRB template 0390 1.1.2.2.08. Retail – Qualifying revolving See CR IRB template 0400 1.1.2.2.09. Retail – Other SME See CR IRB template 0410 1.1.2.2.10. Retail – Other non-SME See CR IRB template 0420 1.1.2.3. Equity IRB See CR EQU IRB template 0450 1.1.2.5. Other non credit-obligation assets The amount to be reported is the risk weighted exposure amount as calculated in accordance with Article 156 CRR. 0460 1.1.3. Risk exposure amount for contributions to the default fund of a CCP Articles 307, 308 and 309 CRR 0470 1.1.4 Securitisation positions See CR SEC template 0490 1.2. TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Point (c)(ii) of Article 92(3) and point (b) of Article 92(4) CRR 0500 1.2.1. Settlement/delivery risk in the non-Trading book See CR SETT template 0510 1.2.2. Settlement/delivery risk in the Trading book See CR SETT template 0520 1.3. TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS Points (b)(i), (c)(i) and (c)(iii) of Article 92(3) and point (b) of Article 92(4) CRR 0530 1.3.1. Risk exposure amount for position, foreign exchange and commodities risks under Standardised Approaches (SA) 0540 1.3.1.1. Traded debt instruments MKR SA TDI template at the level of total currencies. 0550 1.3.1.2. Equity MKR SA EQU template at the level of total national markets. 0555 1.3.1.3. Particular approach for position risk in CIUs Article 348(1), point (c) of Article 350(3) and point (a) of Article 364(2) CRR Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) CRR either immediately or as a consequence of the cap laid down in point (c) of Article 350(3) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk. Where the particular approach laid down in the first sentence of Article 348(1) CRR is applied, the amount to be reported shall be 32 % of the net position of the CIU exposure in question, multiplied by 12,5. Where the particular approach laid down in the second sentence of Article 348(1) CRR is applied, the amount to be reported shall be the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively. 0556 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. 0557 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. 0560 1.3.1.4. Foreign Exchange See MKR SA FX template 0570 1.3.1.5. Commodities See MKR SA COM template 0580 1.3.2. Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM) See MKR IM template 0590 1.4. TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) Point (e) of Article 92(3) and point (b) of Article 92(4) CRR For investment firms under Articles 95(2) and 96(2) and Article 98 CRR, this element shall be zero. 0600 1.4.1. OpR Basic Indicator approach (BIA) See OPR template 0610 1.4.2. OpR Standardised (TSA)/Alternative Standardised (ASA) approaches See OPR template 0620 1.4.3. OpR Advanced measurement approaches (AMA) See OPR template 0630 1.5. ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS Articles 95(2) and 96(2), Article 97 and point (a) of Article 98(1) CRR Only for investment firms under Article 95(2), Article 96(2) and Article 98 CRR. See also Article 97 CRR. Investment firms under Article 96 CRR shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 CRR shall report as follows: 0640 1.6. TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Point (d) of Article 92(3) CRR See CVA template. 0650 1.6.1. Advanced method Own funds requirements for credit valuation adjustment risk in accordance with Article 383 CRR. See CVA template. 0660 1.6.2. Standardised method Own funds requirements for credit valuation adjustment risk in accordance with Article 384 CRR. See CVA template. 0670 1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk in accordance with Article 385 CRR. See CVA template. 0680 1.7. TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Point (b)(ii) of Article 92(3) and Articles 395 to 401 CRR 0690 1.8. OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7. Institutions shall report the amounts needed to comply with the following: Stricter prudential requirements imposed by the Commission, in accordance with Articles 458 and 459 CRR. Additional risk exposure amounts due to Article 3 CRR. This item does not have a link to a details template. 0710 1.8.2. Of which: Additional stricter prudential requirements based on Article 458 CRR Article 458 CRR 0720 1.8.2* Of which: requirements for large exposures Article 458 CRR 0730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 CRR 0740 1.8.2*** Of which: due to intra financial sector exposures Article 458 CRR 0750 1.8.3. Of which: Additional stricter prudential requirements based on Article 459 CRR Article 459 CRR 0760 1.8.4. Of which: Additional risk exposure amount due to Article 3 CRR Article 3 CRR The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on Article 3 CRR, the amount to be reported is 30).

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

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

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

1.4.

1.4.1. Instructions concerning specific positions Rows 0010 1 CET1 Capital ratio Point (a) of Article 92(2) CRR The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount. 0020 2 Surplus(+)/Deficit(-) of CET1 capital This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in point (a) of Article 92(1) CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 0030 3 T1 Capital ratio Point (b) of Article 92(2) CRR The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount. 0040 4 Surplus(+)/Deficit(-) of T1 capital This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in point (b) of Article 92(1) CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 0050 5 Total capital ratio Point (c) of Article 92(2) CRR The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount. 0060 6 Surplus(+)/Deficit(-) of total capital This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in point (c) of Article 92(1) CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 0130 13 Total SREP capital requirement (TSCR) ratio The sum of (i) and (ii) as follows: This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 7.4 and 7.5 of the EBA SREP GL. Where no additional own funds requirements were communicated by the competent authority, only point (i) shall be reported. 0140 13* TSCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: Where no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, only point (i) shall be reported. 0150 13** TSCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: Where no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) shall be reported. 0160 14 Overall capital requirement (OCR) ratio The sum of (i) and (ii) as follows: This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 7.5 of the EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be reported. 0170 14* OCR: to be made up of CET1 capital The sum of (i) and (ii) as follows: Where no buffer requirement is applicable, only point (i) shall be reported. 0180 14** OCR: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: Where no buffer requirement is applicable, only point (i) shall be reported. 0190 15 Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio The sum of (i) and (ii) as follows: Where no P2G is communicated by the competent authority, only point (i) shall be reported. 0200 15* OCR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: Where no P2G is communicated by the competent authority, only point (i) shall be reported. 0210 15** OCR and P2G: to be made up of Tier 1 capital The sum of (i) and (ii) as follows: Where no P2G is communicated by the competent authority, only point (i) shall be reported. 0220 Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD This item shows, in absolute figures, the amount of CET1 capital surplus or defi-cit relating to the requirements set in point (a) of Article 92(1) CRR (4,5 %) and Article 104a CRD, to the extent that the requirement of Article 104a CRD has to be met with CET1 capital. Where an institution has to use its CET1 to meet its requirements of Article 92(1) point (b) and/or (c) CRR and/or Article 104a CRD beyond the extent to which the latter has to be met with CET1 capital, the reported surplus or deficit shall take this into account. This amount reflects the CET1 capital available to meet the combined buffer requirement and other requirements. 0300 CET1 Capital ratio without application of the transitional provisions on IFRS 9 Point (a) of Article 92(2) CRR, Article 473a(8) CRR 0310 T1 Capital ratio without application of the transitional provisions on IFRS 9 Point (b) of Article 92(2) CRR, Article 473a(8) CRR 0320 Total capital ratio without application of the transitional provisions on IFRS 9 Point (c) of Article 92(2) CRR, Article 473a(8) CRR

1.4.1.

(i) the total capital ratio (8 %) as specified in point (c) of Article 92(1) CRR;

(ii) the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in point (a) of Article 104(1) CRD, presented as ratio. They shall be determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).

(i) the CET1 capital ratio (4,5 %) as per point (a) of Article 92(1) CRR;

(ii) the part of the P2R ratio, referred to in point (ii) of row 0130, which is required by the competent authority to be held in the form of CET1 capital.

(i) the Tier 1 capital ratio (6 %) as per point (b) of Article 92(1) CRR;

(ii) the part of P2R ratio, referred to in point (ii) of row 0130, which is required by the competent authority to be held in the form of Tier 1 capital.

(i) the TSCR ratio referred to in row 0130;

(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

(i) the TSCR ratio to be made up of CET1 capital referred to in row 0140;

(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

(i) the TSCR ratio to be made up of Tier 1 capital referred to in row 0150;

(ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

(i) the OCR ratio referred to in row 160;

(ii) where applicable, the guidance on additional own funds communicated by the competent authority (Pillar 2 Guidance – P2G) as referred to in Article 104b(3) CRD, presented as ratio. They shall be defined in accordance with section 7.7.1 of the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.

(i) the OCR ratio to be made up of CET1 capital referred to in row 0170;

(ii) where applicable, the part of P2G, referred to in point (ii) in row 0190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.

(i) the OCR ratio to be made up of Tier 1 capital referred to in row 0180;

(ii) where applicable, the part of P2G, referred to in point (ii) in row 0190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.

1.5. C 04.00 – MEMORANDUM ITEMS (CA4)

1.5.

1.5.1. Instructions concerning specific positions Rows 0010 1. Total deferred tax assets The amount reported in this item shall be equal to the amount reported in the most recent verified/audited accounting balance sheet. 0020 1.1. Deferred tax assets that do not rely on future profitability Article 39(2) CRR Deferred tax assets that were created before 23 November 2016 and do not rely on future profitability, and thus are subject to the application of a risk weight. 0030 1.2. Deferred tax assets that rely on future profitability and do not arise from temporary differences Point (c) of Article 36(1) and Article 38 CRR Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1). 0040 1.3. Deferred tax assets that rely on future profitability and arise from temporary differences Point (c) of Article 36(1); Article 38 and point (a) of Article 48(1) CRR Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 CRR. 0050 2. Total deferred tax liabilities The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet. 0060 2.1. Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability Paragraphs 3 and 4 of Article 38 CRR Deferred tax liabilities for which conditions in paragraphs 3 and 4 of Article 38 CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2. 0070 2.2. Deferred tax liabilities deductible from deferred tax assets that rely on future profitability Article 38 CRR 0080 2.2.1. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences Paragraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR 0090 2.2.2. Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Paragraphs 3, 4 and 5 of Article 38 CRR Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with paragraphs 3 and 4 of Article 38 CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) CRR 0093 2A Tax overpayments and tax loss carry backs Article 39(1) CRR The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights. 0096 2B Deferred Tax Assets subject to a risk weight of 250 % Article 48(4) CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470, Article 478(2) and point (a) of Article 473a(7) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 0097 2C Deferred Tax Assets subject to a risk weight of 0 % Point (d) of Article 469(1), Article 470, Article 472(5) and Article 478 CRR The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to point (d) of Article 469(1), Article 470 CRR, Article 478(2) and point a of Article 473a(7) CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight. 0901 2W Exception from deduction of intangible assets from CET1 Point (b) of Article 36(1) CRR Institutions shall report the amount of prudently valued software assets exempted from the deduction. 0905 2Y AT1 Capital instruments and the related share premium accounts classified as equity under applicable accounting standards The amount of AT1 instruments including their related share premium accounts that are classified as equity under the applicable accounting standard 0906 2Z AT1 Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards The amount of AT1 instruments including their related share premium accounts that are classified as liabilities under the applicable accounting standard 0100 3. IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions. 0110 3.1. Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount Article 159 CRR This item shall only be reported by IRB institutions. 0120 3.1.1. General credit risk adjustments Article 159 CRR This item shall only be reported by IRB institutions. 0130 3.1.2. Specific credit risk adjustments Article 159 CRR This item shall only be reported by IRB institutions. 0131 3.1.3. Additional value adjustments and other own funds reductions Articles 34, 110 and 159 CRR This item shall only be reported by IRB institutions. 0140 3.2. Total expected losses eligible Paragraphs 5, 6 and 10 of Article 158 and Article 159 CRR This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported. 0145 4. IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures Point (d) of Article 36(1), point (d) of Article 62, Articles 158 and 159 CRR This item shall only be reported by IRB institutions. 0150 4.1. Specific credit risk adjustments and positions treated similarly Article 159 CRR This item shall only be reported by IRB institutions. 0155 4.2. Total expected losses eligible Paragraphs 5, 6 and 10 of Article 158, and Article 159 CRR This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported. 0160 5. Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 Point (d) of Article 62 CRR For IRB institutions, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB Approach, in accordance with point (d) of Article 62 CRR. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap. 0170 6. Total gross provisions eligible for inclusion in T2 capital Point (c) of Article 62 CRR This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap. The amount to be reported shall be gross of tax effects. 0180 7. Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Point (c) of Article 62 CRR According to point (c) of Article 62 CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts. The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap. 0190 8. Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment Point (a) of Article 46(1) CRR This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. 0200 9. 10 % CET1 threshold Points (a) and (b) of Article 48(1) CRR This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %. 0210 10. 17,65 % CET1 threshold Article 48(1) CRR This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold. The threshold is to be calculated in such a way that the amount of the two items that is recognised does not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions. 0225 11. Eligible capital for the purposes of qualifying holdings outside the financial sector Point (a) of point (71) of Article 4(1) CRR 0230 12. Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 44, 45, 46 and 49 CRR 0240 12.1. Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 45, 46 and 49 CRR 0250 12.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Articles 44, 46 and 49 CRR Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding: 0260 12.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 CRR Point a of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0270 12.2. Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR 0280 12.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included 0290 12.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0291 12.3.1. Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 0292 12.3.2. Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 0293 12.3.3. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 45 CRR. Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0300 13. Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 58, 59 and 60 CRR 0310 13.1. Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Articles 58, 59 and Article 60(2) CRR 0320 13.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Article 58 and Article 60(2) CRR Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding: 0330 13.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0340 13.2. Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR 0350 13.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to point (b) of Article 56 CRR shall not be included. 0360 13.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0361 13.3. Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 0362 13.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 0363 13.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 59 CRR. Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0370 14. Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions Articles 68, 69 and 70 CRR 0380 14.1. Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Articles 68 and 69 and Article 70(2) CRR 0390 14.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 68 and Article 70(2) CRR Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment, excluding: 0400 14.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0410 14.2. Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR 0420 14.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with Article 66 point (b) CRR shall not be included 0430 14.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0431 14.3. Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 0432 14.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 0433 14.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 69 CRR. Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0440 15. Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 44, 45, 47 and 49 CRR 0450 15.1. Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 CRR 0460 15.1.1. Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment Articles 44, 45, 47 and 49 CRR Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment, excluding: 0470 15.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0480 15.2. Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR 0490 15.2.1. Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 44 and 45 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR shall not be included. 0500 15.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 45 CRR Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0501 15.3. Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 0502 15.3.1. Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 44 and 45 CRR 0503 15.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 45 CRR. Point (a) of Article 45 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0504 Investments in CET1 capital of financial sector entities where the institution has a significant investment – subject to a risk weight of 250 % Article 48(4) CRR The amount of significant investments in CET1 capital of financial sector entities that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR. The amount reported shall be the amount of significant investments before the application of the risk weight. 0510 16. Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 58 and 59 CRR 0520 16.1. Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 CRR 0530 16.1.1. Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 CRR Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment, excluding: 0540 16.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0550 16.2. Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR 0560 16.2.1. Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 58 and 59 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR shall not be included. 0570 16.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 59 CRR Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0571 16.3. Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 0572 16.3.1. Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 58 and 59 CRR 0573 16.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 59 CRR. Point (a) of Article 59 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0580 17. Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions Articles 68 and 69 CRR 0590 17.1. Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 CRR 0600 17.1.1. Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 CRR Direct holdings of T2 capital of financial sector entities where the institution has a significant investment, excluding: 0610 17.1.2. (-) Permitted offsetting short positions in relation to the direct gross holdings included above Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0620 17.2. Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR 0630 17.2.1. Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Point (114) of Article 4(1) and Articles 68 and 69 CRR The amount to be reported shall be the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It shall be obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR shall not be included 0640 17.2.2. (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Point (114) of Article 4(1) and Article 69 CRR Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0641 17.3. Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 0642 17.3.1. Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Point (126) of Article 4(1) and Articles 68 and 69 CRR 0643 17.3.2. (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Point (126) of Article 4(1) and Article 69 CRR. Point (a) of Article 69 CRR allows offsetting short positions in the same underlying exposure provided the maturity date of the short position is either the same or later than the maturity date of the long position or the residual maturity of the short position is at least one year. 0650 18. Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution’s CET1 capital Articles 46(4), 48(4) and 49(4) CRR 0660 19. Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution’s AT1 capital Article 60(4) CRR 0670 20. Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution’s T2 capital Article 70(4) CRR 0680 21. Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 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, where it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 12.1. 0690 22. Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 CRR A competent authority may waive 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 those instruments shall also be reported on item 15.1. 0700 23. Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 13.1. 0710 24. Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 CRR A competent authority may waive on a temporary basis the provisions on deductions from AT1 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that these instruments shall also be reported on item 16.1. 0720 25. Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 14.1. 0730 26. Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Article 79 CRR A competent authority may waive the provisions on deductions from T2 due to holdings on instruments of a specific financial sector entity, when it deems those holdings to be for the purposes of a financial assistance operation designed to reorganise and save that entity. Note that those instruments shall also be reported on item 17.1. 0740 27. Combined buffer requirement Point (6) of Article 128 CRD 0750 Capital conservation buffer Point (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this row. 0760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State Point (d)(iv) of Article 458(2) CRR In this row, the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported. The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 0770 Institution specific countercyclical capital buffer Point (2) of Article 128 and Articles 130, 135 to 140 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 0780 Systemic risk buffer Point (5) of Article 128, Articles 133 and 134 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 0800 Global Systemically Important Institution buffer Point (3) of Article 128 and Article 131 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 0810 Other Systemically Important Institution buffer Point (4) Article 128 and Article 131 CRD The amount reported shall represent the amount of own funds needed to fulfil the respective capital buffer requirements at the reporting date. 0820 28. Own funds requirements related to Pillar II adjustments Article 104a(1) CRD. If a competent authority decides that an institution has to calculate additional own funds requirements for Pillar II reasons, those additional own funds requirements shall be reported in this row. 0830 29. Initial capital Articles 12 and 28 to 31 CRD and Article 93 CRR 0840 30. Own funds based on Fixed Overheads Point (b) of Article 96(2), Article 97 and point (a) of Article 98(1) CRR 0850 31. Non-domestic original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) of this Implementing 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. 0860 32. Total original exposures Information necessary to calculate the threshold for reporting of the CR GB template in accordance with Article 5(5) of this Implementing 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.

1.5.1. a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

a)

Underwriting positions held for 5 working days or fewer; and

b)

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR

a)

Underwriting positions held for 5 working days or fewer; and

b)

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

a)

Underwriting positions held for 5 working days or fewer;

b)

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

c)

Holdings which are treated as reciprocal cross holdings in accordance with point (g) of Article 36(1) CRR

a)

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

b)

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 56 CRR.

a)

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

b)

Holdings which are treated as reciprocal cross holdings in accordance with point (b) of Article 66 CRR

1.6. TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA5)

1.6.

1.6.1.16.17.18.19.20.

General remarks CA5 summarises the calculation of own funds elements and deductions subject to the transitional provisions laid down in Articles 465 to 491, 494a and 494b 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 0050 and the eligible amount without the recognition of transitional provisions in column 0060. Institutions shall only report elements in CA5 during the period where transitional provisions laid down in Part Ten 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.

1.6.1.16.17.

(a) Template CA5.1 summarises the total adjustments which need to be made to the different components of own funds (reported in CA1 in accordance with the final provisions) as a consequence of the application of the transitional provisions. The elements of this template are presented as adjustments to the different capital components in CA1, in order to reflect in own funds components the effects of the transitional provisions.

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

1.6.2.21.22.23.24.25.

C 05.01 – TRANSITIONAL PROVISIONS (CA5.1) Institutions shall report in CA5.1 template the transitional provisions to own funds components as laid down in Articles 465 to 491, 494a and 494b CRR, compared to applying the final provisions laid down in Title II of Part Two CRR. Institutions shall report in rows 0060 to 0065 information about the transitional provisions of grandfathered instruments. The figures to be reported in row 0060 of CA5.1 reflect the transitional provisions included in the CRR in the version applicable until 26 June 2019 and can be derived from the respective sections of CA5.2. Rows 0061 to 0065 capture the effect of the transitional provisions of Articles 494a and 494b CRR. Institutions shall report in rows 0070 to 0092 information about the transitional provisions of minority interests and additional Tier 1 and Tier 2 instruments issued by subsidiaries (in accordance with Articles 479 and 480 CRR). In rows 0100 onwards institutions shall report information about the effect of the transitional provisions regarding unrealised gains and losses, deductions, additional filters and deductions and IFRS 9. There might be cases where the transitional deductions of CET1, AT1 or T2 capital exceed the CET1, AT1 or T2 capital of an institution. That 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 shall not include any spill-over effects in the case of insufficient capital available.

1.6.2.1. Instructions concerning specific positions Columns 0010 Adjustments to CET1 0020 Adjustments to AT1 0030 Adjustments to T2 0040 Adjustments included in RWAs Column 0040 includes the relevant amounts adjusting the total risk exposure amount of Article 92(3) CRR due to transitional provisions. The amounts reported shall consider the application of provisions of Chapter 2 or 3 of Title II of Part Three or of Title IV of Part Three in accordance with Article 92(4) CRR. That means that transitional amounts subject to Chapter 2 or 3 of Title II of Part Three shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Title IV of Part Three shall represent the own funds requirements multiplied by 12,5. Whereas columns 0010 to 0030 have a direct link to the CA1 template, the adjustments to the total risk exposure amount do not have a direct link to the relevant templates for credit risk. If there are adjustments stemming from the transitional provisions to the total risk exposure amount, those adjustments shall be included directly in the CR SA, CR IRB, CR EQU IRB, MKR SA TDI, MKR SA EQU or MKR IM. Additionally, those effects shall be reported in column 0040 of CA5.1. As a consequence, those amounts shall be memorandum items only. 0050 Applicable percentage 0060 Eligible amount without transitional provisions This column includes the amount of each instrument prior the application of transitional provisions, i.e. the basis amount relevant to calculate the adjustments. Rows 0010 1. Total adjustments This row reflects the overall effect of transitional adjustments in the different types of capital, plus the risk weighted amounts arising from those adjustments 0020 1.1. Grandfathered instruments Articles 483 to 491 CRR This row reflects the overall effect of instruments transitionally grandfathered in the different types of capital. 0060 1.1.2. Instruments not constituting state aid The amounts to be reported shall be obtained from column 060 of CA5.2 template 0061 1.1.3. Instruments issued through special purpose vehicles Article 494a CRR 0062 1.1.4. Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements Article 494b CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet one or several eligibility criteria of points (p), (q) and (r) of Article 52(1) CRR or points (n), (o) and (p) of Article 63 CRR, as applicable. In case of Tier 2 instruments eligible in accordance with Article 494b(2) CRR, the amortisation provisions of Article 64 CRR shall be observed. 0063 1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers Article 494b, point (p) of Article 52(1) and point (n) of Article 63 CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (p) of Article 52(1) or point (n) of Article 63 CRR, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of points (q) or (r) of Article 52(1) CRR or points (o) or (p) of Article 63 CRR, as applicable. 0064 1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers Article 494b, point (q) of Article 52(1) and point (o) of Article 63 CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (q) of Article 52(1) or point (o) of Article 63 CRR, as applicable. This shall include also instruments that additionally do not meet the eligibility criteria of points (p) or (r) of Article 52(1) CRR or points (n) or (p) of Article 63 CRR, as applicable. 0065 1.1.4.3* of which: Instruments subject to set-off or netting arrangements Article 494b, point (r) of Article 52(1) and point (p) of Article 63 CRR Institutions shall report the amount of instruments within the scope of Article 494b CRR that do not meet the eligibility criteria of point (r) of Article 52(1) CRR or point (p) of Article 63 CRR, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of point (p) or (q) of Article 52(1) CRR or points (n) or (o) of Article 63 CRR, as applicable. 0070 1.2. Minority interests and equivalents Articles 479 and 480 CRR This row reflects the effects of transitional provisions in the minority interests eligible as CET1; the qualifying T1 instruments eligible as consolidated AT1; and the qualifying own funds eligible as consolidated T2. 0080 1.2.1. Capital instruments and items that do not qualify as minority interests Articles 479 CRR The amount to be reported in column 060 of this row shall be the amount qualifying as consolidated reserves in accordance with prior regulation. 0090 1.2.2. Transitional recognition in consolidated own funds of minority interests Articles 84 and 480 CRR The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. 0091 1.2.3. Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital Articles 85 and 480 CRR The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. 0092 1.2.4. Transitional recognition in consolidated own funds of qualifying Tier 2 capital Articles 87 and 480 CRR The amount to be reported in column 0060 of this row shall be the eligible amount without transitional provisions. 0100 1.3. Other transitional adjustments Articles 468 to 478 and Article 481 CRR This row reflects the overall effect of transitional adjustments in the deduction to different types of capital, unrealised gains and losses, additional filters and deductions plus the risk weighted amounts arising from these adjustments. 0111 1.3.1.6. Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs Article 468 CRR 0112 1.3.1.6.1. of which: amount A The amount A, as calculated in accordance with the formula referred to in Article 468(1) CRR 0140 1.3.2. Deductions Article 36(1) and Articles 469 to 478 CRR This row reflects the overall effect of transitional provisions on deductions. 0170 1.3.2.3. Deferred tax assets that rely on future profitability and do not arise from temporary differences Point (c) of Article 36(1), Articles 469(1) and 472(5) and Article 478 CRR When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 CRR relating to the reduction of DTA by deferred tax liabilities. The amount to be reported in column 0060 of this row: Total amount in accordance with Article 469(1) CRR. 0380 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 Paragraphs 2 and 3 of Article 470 CRR The amount to be reported in column 0060 of this row: Article 470(1) CRR 0385 Deferred tax assets that are dependent on future profitability and arise from temporary differences Point (c) of Article 469(1), Article 472(5) and Article 478 CRR Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in point (a) of Article 470(2) CRR. 0425 1.3.2.11. Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 CRR 0430 1.3.3. Additional filters and deductions Article 481 CRR This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 CRR, institutions shall report in item 1.3.3 information relating to the filters and deductions required under the national transposition measures for Articles 57 and 66 of Directive 2006/48/EC and for Articles 13 and 16 of Directive 2006/49/EC, and which are not required in accordance with Part Two. 0440 1.3.4. Adjustments due to IFRS 9 transitional arrangements Article 473a CRR Institutions shall report information in relation with the transitional arrangements due to IFRS 9 in accordance with the applicable legal provisions. 0441 Memorandum item: ECL impact of the static component The sum of A2,SA and A2, IRB as referred to in Article 473a(1) CRR In case of A2, IRB the amount reported is the amount net of expected lossess as required by point (a) of Article 473a(5) CRR. 0442 Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019 The sum of AoldSA and AoldIRB as referred to in Article 473a(1) CRR 0443 Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020 The sum of A4,SA and A4, IRB as referred to in Article 473a(1) CRR In case of A4, IRB the amount reported is the amount net of expected losses as required by points (b) and (c) of Article 473a(5) CRR.

1.6.3.26. C 05.02 – GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) Institutions shall report information in relation with the transitional provisions of grandfathered instruments not constituting state aid (Articles 484 to 491 CRR).

1.6.3.26.

1.6.3.1.2.2.2.3.

Instructions concerning specific positions Columns 0010 Amount of instruments plus related share premium Paragraphs 3, 4 and 5 of Article 484 CRR Instruments which are eligible for each respective row, including their related share premiums. 0020 Base for calculating the limit Paragraphs 2, 3 and 4 of Article 486 CRR 0030 Applicable percentage Article 486(5) CRR 0040 Limit Paragraphs 2 to 5 of Article 486 CRR 0050 (-) Amount that exceeds the limits for grandfathering Paragraphs 2 to 5 of Article 486 CRR 0060 Total grandfathered amount The amount to be reported shall be equal to the amounts reported in the respective columns in row 060 of CA5.1. Rows 0010 1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC Article 484(3) CRR The amount to be reported shall include the related share premium accounts. 0020 Instruments that qualified for point (ca) of Article 57 and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 CRR Article 484(4) CRR 0030 2.1. Total instruments without a call or an incentive to redeem Article 484(4) and Article 489 CRR The amount to be reported shall include the related share premium accounts. 0040 2.2. Grandfathered instruments with a call and incentive to redeem Article 489 CRR 0050 2.2.1. Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity Article 489(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0060 2.2.2. Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity Article 489(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0070 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity Article 489(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts 0080 2.3. Excess on the limit of CET1 grandfathered instruments Article 487(1) CRR The excess on the limit of CET1 grandfathered instruments may be treated as instruments which can be grandfathered as AT1 instruments. 0090 3. Items that qualified for points (e), (f), (g) or (h) of Article 57 of Directive 2006/48/EC, subject to the limit of Article 490 CRR Article 484(5) CRR 0100 3.1. Total items without an incentive to redeem Article 490 CRR 0110 3.2. Grandfathered items with an incentive to redeem Article 490 CRR 0120 3.2.1. Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity Article 490(3) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0130 3.2.2. Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity Article 490(5) and point (a) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0140 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 CRR after the date of effective maturity Article 490(6) and point (c) of Article 491 CRR The amount to be reported shall include the related share premium accounts. 0150 3.3. Excess on the limit of AT1 grandfathered instruments Article 487(2) CRR The excess on the limit of AT1 grandfathered instruments may be treated as instruments which can be grandfathered as T2 instruments.

2. GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

2.

2.1.27.(a)(b)(c)(d)28.29.

GENERAL REMARKS Templates C 06.01 and C 06.02 shall be reported if own funds requirements are calculated on a consolidated basis. Template C 06.02 consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation. Entities within the scope of consolidation; Detailed group solvency information; Information on the contribution of individual entities to group solvency; Information on capital buffers; Institutions that obtained a waiver in accordance with Article 7 CRR shall only report the columns 0010 to 0060 and 0250 to 0400. The figures reported take into account all applicable transitional provisions CRR which are applicable at the respective reporting date.

2.2.30.31. DETAILED GROUP SOLVENCY INFORMATION The second part of template C 06.02 (detailed group solvency information) in columns 0070 to 0210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes. In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.

2.3.32.33.34.35.36.37.38.

INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY The objective of the third part of template C 06.02 and template C 06.01 (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 0250 to 0400, 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. A direct link to the CA template is not possible where the 1 % threshold is not exceeded. 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. That 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. A subgroup that is subject to reporting requirements 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. That threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

2.4. C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL) Columns Instructions 0250-0400 ENTITIES WITHIN SCOPE OF CONSOLIDATION See instructions for C 06.02 0410-0480 CAPITAL BUFFERS See instructions for C 06.02 Rows Instructions 0010 TOTAL The Total shall represent the sum of the values reported in all rows of template C 06.02.

2.5. C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS) Columns Instructions 0010-0060 ENTITIES WITHIN SCOPE OF CONSOLIDATION This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation in accordance with Chapter 2 of Title II of Part One CRR. 0011 NAME Name of the entity within the scope of consolidation. 0021 CODE The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 0026 TYPE OF CODE The institutions shall identify the type of code reported in column 0021 as a LEI code or Non-LEI code. The type of code shall always be reported. 0027 NATIONAL CODE Institutions may additionally report the national code when they report LEI code as identifier in the Code column. 0030 INSTITUTION OR EQUIVALENT (YES/NO) YES shall be reported where the entity is subject to own funds requirements pursuant to CRR and CRD or provisions at least equivalent to Basel provisions. NO shall be reported otherwise. Minority interests: Point (a)(ii) of Article 81(1) and point (a)(ii) of Article 82(1) CRR To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject to the requirements CRR by virtue of applicable national law. 0035 TYPE OF ENTITY THE TYPE OF ENTITY SHALL BE REPORTED BASED ON THE FOLLOWING CATEGORIES: Where an entity is not subject to CRR and CRD, but subject to provisions at least equivalent to Basel provisions, the relevant category shall be determined on a best effort basis. 0040 SCOPE OF DATA: solo fully consolidated (SF) OR solo partially consolidated (SP) SF shall be reported for individual subsidiaries fully consolidated. SP shall be reported for individual subsidiaries partially consolidated. 0050 COUNTRY CODE Institutions shall report the two-letter country code referred to in ISO 3166-2. 0060 SHARE OF HOLDING (%) This percentage refers to the actual share of capital the parent undertaking holds in subsidiaries. In case of full consolidation of a direct subsidiary, the actual share is e.g. 70 %. In accordance with point (16) of Article 4(1) CRR, the share of holding of a subsidiary to be reported results from a multiplication of the shares between the subsidiaries concerned. 0070-0240 INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT The section of detailed information (i.e. columns 0070 to 0240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One CRR), are effectively subject to solvency requirements laid down in CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 0030). Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located. The information reported in this part shall reflect the local solvency rules of the jurisdiction in which the institution is operating (therefore, for this template, it is not necessary to do a double calculation on an individual basis on the basis of the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data are available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules. Reporting of fixed overheads of investment firms: Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio pursuant to Articles 95, 96, 97 and 98 CRR. The part of the total risk exposure amount related to fixed overheads shall be reported in column 0100 of this template. 0070 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 0080 to 0110 shall be reported. 0080 CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK The amount to be reported in this column shall correspond to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 0040 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 0490 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS of template CA2. 0090 POSITION, FX AND COMMODITY RISKS The amount to be reported in this column shall correspond to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 0520 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS of template CA2. 0100 OPERATIONAL RISK The amount to be reported in this column shall correspond to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 0590 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISKS (OpR) of the template CA2. Fixed overheads shall be included in this column including the row 0630 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS of template CA2. 0110 OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount not especially listed above. It shall be the sum of the amounts of rows 0640, 0680 and 0690 of template CA2. 0120-0240 DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS The information reported in the following columns shall reflect the local solvency rules of the Member State in which the entity or subgroup is operating. 0120 OWN FUNDS The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 0010 OWN FUNDS of the template CA1. 0130 OF WHICH: QUALIFYING OWN FUNDS Article 82 CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings and included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. 0140 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 87(1)CRR 0150 TOTAL TIER 1 CAPITAL Article 25 CRR 0160 OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 CRR This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated and that are institutions. Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting. 0170 RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS Point (b) of Article 85(1) CRR 0180 COMMON EQUITY TIER 1 CAPITAL Article 50 CRR 0190 OF WHICH: MINORITY INTERESTS Article 81 CRR This column shall only be reported for subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 84(3) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 CRR, where relevant, in accordance with Article 84(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. 0200 RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES Point (b) of Article 84(1) CRR 0210 ADDITIONAL TIER 1 CAPITAL Article 61 CRR 0220 OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 CRR This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for the subsidiaries referred to in Article 85(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 CRR, where relevant, in accordance with Article 85(2), otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the date of reporting. 0230 TIER 2 CAPITAL Article 71 CRR 0240 OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 CRR This column shall only be provided for the subsidiaries that are fully consolidated and that are institutions, except for subsidiaries referred to in Article 87(2) CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 CRR, if relevant, in accordance with Article 87(2) CRR, otherwise on a solo basis. Minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation. The amount to be reported shall include the effects of any transitional provisions. It shall be the eligible amount on the reference date. 0250-0400 INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP 0250-0290 CONTRIBUTION TO RISKS The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. 0250 TOTAL RISK EXPOSURE AMOUNT The sum of the columns 0260 to 0290 shall be reported. 0260 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 in accordance with the CRR, excluding any amount related to transactions with other entities included in the group consolidated solvency ratio computation. 0270 POSITION, FX AND COMMODITY RISKS Risk exposure amounts for market risks are to be computed at each entity level in accordance with the 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 shall correspond to the amount reported in row 0520 TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS of the consolidated report. 0280 OPERATIONAL RISK In case of AMA, the reported risk exposure amounts for operational risk shall include the effect of diversification. Fixed overheads shall be included in this column. 0290 OTHER RISK EXPOSURE AMOUNTS The amount to be reported in this column shall correspond to the risk exposure amount for risks other than listed above. 0300-0400 CONTRIBUTION TO OWN FUNDS This part of the template is not intended to impose on institutions a full computation of the total capital ratio at the level of each entity. Columns 0300 to 0350 shall be reported for those consolidated entities which contribute to own funds by minority interest, qualifying Tier 1 capital or qualifying own funds. Subject to the threshold referred to in the last paragraph of chapter 2.3 of Part II above, columns 0360 to 0400 shall be reported for all consolidated entities which contribute to the consolidated own funds. Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column (mainly the own funds raised from third parties and accumulated reserves). The information reported in the following columns shall be in accordance with the solvency rules applicable to the reporting institution. 0300-0350 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS The amount to be reported as QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS shall be the amount as derived from Title II of Part Two CRR, excluding any fund brought in by other group entities. 0300 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 CRR 0310 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 CRR 0320 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 CRR The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the CRR. 0330 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 CRR The amount to be reported shall the amount of qualifying T1 capital of a subsidiary that is included in consolidated AT1 in accordance with the CRR. 0340 QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 88 CRR The amount to be reported shall the amount of qualifying own funds of a subsidiary that is included in consolidated T2 in accordance with the CRR. 0350 MEMORANDUM ITEM: GOODWILL (-)/(+) NEGATIVE GOODWILL 0360-0400 CONSOLIDATED OWN FUNDS Article 18 CRR The amount to be reported as CONSOLIDATED OWN FUNDS shall be the amount as derived from the balance sheet, excluding any fund brought in by other group entities. 0360 CONSOLIDATED OWN FUNDS 0370 OF WHICH: COMMON EQUITY TIER 1 0380 OF WHICH: ADDITIONAL TIER 1 0390 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT The contribution of each entity to the consolidated result (profit or loss (-)) shall be reported. That includes the results attributable to minority interests. 0400 OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL Goodwill or negative goodwill of the reporting entity on the subsidiary shall be reported here. 0410-0480 CAPITAL BUFFERS The structure of the reporting of capital buffers for the GS template shall follow the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported in accordance with the provisions applicable to determine the buffer requirement for the consolidated situation of a group. Therefore, the reported amounts of capital buffers shall represent the contributions of each entity to group capital buffers. The amounts reported shall be based on the national provisions transposing CRD and on CRR, including any transitional provisions provided for therein. 0410 COMBINED BUFFER REQUIREMENT Point (6) of Article 128 CRD 0420 CAPITAL CONSERVATION BUFFER Point (1) of Article 128 and Article 129 CRD In accordance with Article 129(1) CRD, the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2,5 % is stable, an amount shall be reported in this cell. 0430 INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER Point (2) of Article 128, Article 130 and Articles 135 to 140 CRD The concrete amount of the countercyclical buffer shall be reported in this cell. 0440 CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE Point (d)(iv) of Article 458(2) CRR The amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, shall be reported in this cell. 0450 SYSTEMIC RISK BUFFER Point (5) of Article 128, Articles 133 and 134 CRD The amount of the systemic risk buffer shall be reported in this cell. 0470 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (3) of Article 128 and Article 131 CRD The amount of the Global Systemically Important Institution buffer shall be reported in this cell. 0480 OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Point (4) of Article 128 and Article 131 CRD The amount of the Other Systemically Important Institution buffer shall be reported in this cell.

2.5.

(a) credit institution Point (1) of Article 4(1)CRR;

(b) investment firm Point (2) of Article 4(1) CRR;

(c) financial institution (other) Points (20), (21) and (26) of Article 4(1) CRR Financial institutions within the meaning of point (26) of Article 4(1) CRR which are not included in any of the categories (d), (f) or (g);

(d) (mixed) financial holding company Points (20) and (21) of Article 4(1)CRR;

(e) ancillary services undertaking Point (18) of Article 4(1) CRR;

(f) securitisation special purpose entity (SSPE), Point (66) of Article 4(1)CRR;

(g) covered bond company Entity set up to issue covered bonds or to hold the collateral securing a covered bond, if not included in any of the categories (a), (b) or (d) to (f) above;

(h) other type of entity Entity other than those referred to in points (a) to (g).

3. CREDIT RISK TEMPLATES

3.

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

3.1.39.

3.1.1.40.41.42.43.

Reporting of CRM techniques with substitution effect Exposures to obligors (immediate counterparties) and guarantors which are assigned to the same exposure class shall be reported as an inflow as well as an outflow to the same exposure class. The exposure type shall not change because of unfunded credit protection. If an exposure is secured by an unfunded credit protection, the secured part shall be assigned as an outflow e.g. in the exposure class of the obligor and as an inflow in the exposure class of the guarantor. However, the type of the exposure shall 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 shall be risk weighted in accordance with the Standardised approach and shall be reported in the CR SA template.

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

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

3.2.

3.2.1.45. General remarks The CR SA templates provide the necessary information on the calculation of own funds requirements for credit risk in accordance with the Standardised approach. In particular, they provide detailed information on:

3.2.1.45. a)

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

b)

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

3.2.2.46.47.48.49.50.51.52.53.54.55.

Scope of the CR SA template In accordance with Article 112 CRR each SA exposure shall be assigned to one of the 16 SA exposure classes to calculate the own funds requirements. The information in CR SA is required for the total exposure classes and individually for each of the exposure classes under 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 shall cover the following own funds requirements: The template shall include all exposures for which the own funds requirements are calculated in accordance with Chapter 2 of Title II of Part Three CRR in conjunction with Chapters 4 and 6 of Title II of Part Three CRR. Institutions that apply Article 94(1) CRR also need to report their trading book positions referred to in point (b) of Article 92(3) CRR in this template when they apply Chapter 2 of Title II of Part Three CRR to calculate the own funds requirements thereof (Chapters 2 and 6 of Title II of Part Three and Title V of Part Three CRR). Therefore the template shall not only provide 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 0290 to 0320 to collect further information about exposures secured by mortgages on immovable property and exposures in default. Those memorandum items shall only be reported for the following exposure classes: The reporting of the memorandum items shall affect neither the calculation of the risk weighted exposure amounts of the exposure classes referred to in points (a) to (c) and (f) to (h) of Article 112 CRR nor of the exposure classes referred to in points (i) and (j) of Article 112 CRR reported in template 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. The figures reported, however, 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 in accordance with Article 127 CRR and the value adjustments are less than 20 %, then that information shall be reported in CR SA, row 0320 in the total and in the exposure class in default. If this exposure, before it defaulted, was an exposure to an institution, then that information shall also be reported in row 0320 of exposure class institutions.

3.2.2.46.47.48.

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

(b) Exposures deducted from own funds.

3.2.2.46.47.48.49.

(a) Credit risk in accordance with Chapter 2 (Standardised approach) of Title II of Part Three CRR in the banking book, among which Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the banking book;

(b) Counterparty credit risk in accordance with Chapters 4 and 6 (Counterparty credit risk) of Title II of Part Three CRR in the trading book;

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

3.2.2.46.47.48.49.50.51.52.

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

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

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

(d) Institutions (point (f) of Article 112 CRR);

(e) Corporates (point (g) of Article 112 CRR);

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

3.2.3.56.57.58.59.60.61.62.63.64.65.

Assignment of exposures to exposure classes under the Standardised approach In order to ensure a consistent categorisation of exposures into the different exposure classes referred to in Article 112 CRR the following sequential approach shall be applied: The following criteria shall apply to 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 referred to in point (i) of Article 112 CRR (exposures secured by mortgages on immovable property). Article 112 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 (point (n) of Article 112 CRR) and exposures to institutions (point (f) of Article 112 CRR)/exposures to corporates (point (g) of Article 112 CRR). In that case, it is clear that there is an implicit prioritisation in CRR since it shall be assessed first if a certain exposure is fit for being assigned to Short-term exposures to institutions and corporates and only afterwards assessed if it fits for being assigned to exposures to institutions or exposures to corporates. Otherwise it is obvious that the exposure class referred to in point (n) of Article 112 CRR shall never be assigned an exposure. The example provided is one of the most obvious examples but is 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 CRR for an exposure to fit in a certain exposure class and, if that is the case, on any decision on the part of the reporting institutions or the supervisor on the applicability of certain exposure classes. Therefore, the outcome of the exposure assignment process for reporting purposes shall be in line with CRR provisions. That does not prohibit institutions from applying 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 an exposure class, without prejudice to the outcome of that assessment) if otherwise no exposures would potentially be assigned to it. That will be the case where in the absence of prioritisation criteria one exposure class is a subset of others. Therefore, 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 shall 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 or the mandate-based approach (points (1) and (2) of Article 132a CRR) is used, the underlying individual (in the case of the look through approach) and individual group of (in the case of the mandate-based approach) exposures shall be considered and classified into their corresponding risk weight line according to their treatment. However, 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). nth to default credit derivatives, as specified in Article 134(6) CRR that are rated shall be directly classified as securitisation positions. If they are not rated, they shall be considered in the Other items exposure class. In that 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) 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.

3.2.3.56.

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

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

3.2.3.56.57.58.59.60.61.62.

1. Securitisation positions;

2. Items associated with particular high risk;

3. Equity exposures

4. Exposures in default;

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

6. Exposures secured by mortgages on immovable property;

7. Other items;

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

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

3.2.3.56.57.58.59.60.61.62.63.64.65. DECISION TREE ON HOW TO ASSIGN THE ORIGINAL EXPOSURE PRE-CONVERSION FACTORS TO THE EXPOSURE CLASSES OF THE STANDARDISED APPROACH IN ACCORDANCE WITH THE CRR

Original exposure pre-conversion factors Does it fit for being assigned to the exposure class of point (m) of Article 112 CRR? YES Securitisation positions NO Does it fit for being assigned to the exposure class of point (k) of Article 112 CRR? YES Items associated with particular high risk (see also Article 128 CRR) NO Does it fit for being assigned to the exposure class of point (p) of Article 112 CRR? YES Equity exposures (see also Article 133 CRR) NO Does it fit for being assigned to the exposure class of point (j) of Article 112 CRR? YES Exposures in default NO Does it fit for being assigned to the exposure classes of points (l) and (o) of Article 112 CRR? YES Exposures in the form of units or shares in collective investment undertakings (CIU) Exposures in the form of covered bonds (see also Article 129 CRR) 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 point (i) of Article 112 CRR? YES Exposures secured by mortgages on immovable property (see also Article 124 CRR) NO Does it fit for being assigned to the exposure class of point (q) of Article 112 CRR? YES Other items NO Does it fit for being assigned to the exposure class of point (n) of Article 112 CRR? 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. Clarifications on the scope of some specific exposure classes referred to in Article 112 CRR

3.2.4.

3.2.4.1.66.67.68.

Exposure Class Institutions Intra-group exposures referred to in paragraphs 6 and 7 of Article 113 CRR shall be reported as follows: Exposures which fulfil the requirements of Article 113(7) CRR shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures. According to paragraphs 6 and 7 of Article 113 CRR an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of that 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. That 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 Council Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

3.2.4.2.69.70.

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

3.2.4.3.71. Exposure class Collective Investment Undertakings Where the possibility referred to in Article 132a(2) CRR is used, exposures in the form of units or shares in CIUs shall be reported as on balance sheet items in accordance with the first sentence in Article 111(1) CRR.

3.2.5. Instructions concerning specific positions Columns 0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 CRR without taking into account value adjustments and provisions, deductions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) CRR: Where institutions make use of the derogation of Article 473a(7a) CRR, they shall report the amount ABSA that is risk weighted at 100 % in the exposure class other items in this column. 0030 (-) Value adjustments and provisions associated with the original exposure Article 24 and 111 CRR Value adjustments and provisions for credit losses (credit risk adjustments in accordance with Article 110) made in accordance with the accounting framework to which the reporting entity is subject, as well as prudential value adjustments (additional value adjustments in accordance with Article 34 and 105, amounts deducted in accordance with point (m) Article 36(1) and other own funds reductions related to the asset item). 0040 Exposure net of value adjustments and provisions Sum of columns 0010 and 0030 0050 – 0100 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation techniques as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as described below in Substitution of the exposure due to CRM. Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: Please also see instructions of point 3.1.1. 0050 – 0060 Unfunded credit protection: adjusted values (GA) Article 235 CRR Article 239(3) CRR contains the formula for the calculation of the adjusted value GA of an unfunded credit protection. 0050 Guarantees Article 203 CRR Unfunded Credit Protection as defined in point (59) of Article 4(1) CRR which does not include Credit Derivatives. 0060 Credit derivatives Article 204 CRR 0070 – 0080 Funded credit protection These columns refer to funded credit protection as defined in point (58) of Article 4(1) CRR and subject to the rules laid down in Articles 196, 197 and 200 CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre-conversion factors). Investments in credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. 0070 Financial collateral: simple method Paragraphs 1 and 2 of Article 222 CRR. 0080 Other funded credit protection Article 232 CRR. 0090 – 0100 SUBSTITUTION OF THE EXPOSURE DUE TO CRM Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR Outflows shall correspond to the covered part of the Original Exposure pre-conversion factors that is deducted from the obligor’s exposure class and subsequently assigned to the protection provider’s exposure class. That amount shall be considered as an inflow into the protection provider’s exposure class. Inflows and outflows within the same exposure classes shall also be reported. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. 0110 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE 0120-0140 CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD Articles 223 to 228 CRR. They also include credit linked notes (Article 218 CRR) Credit linked notes as referred to in Article 218 CRR and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 CRR shall be treated as cash collateral. The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, shall be calculated in accordance with Articles 223 to 228 CRR. 0120 Volatility adjustment to the exposure Paragraphs 2 and 3 of Article 223 CRR. The amount to be reported is the impact of the volatility adjustment to the exposure (EVA-E) = E*He 0130 (-) Financial collateral adjusted value (Cvam) Article 239(2) CRR. For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. The amount to be reported corresponds to Cvam = C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see Sections 4 and 5 of Chapter 4 of Title II of Part Three CRR. 0140 (-) Of which: Volatility and maturity adjustments Article 223(1) CRR and Article 239(2) CRR. The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva) = C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1] 0150 Fully adjusted exposure value (E*) Article 220(4), Article 223(2) to (5) and Article 228(1) CRR. 0160 – 0190 Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and point (56) of Article 4(1) CRR. See also Articles 222(3) and 228(1) CRR. The figures reported shall be the fully adjusted exposure values before application of the conversion factor. 0200 Exposure value Article 111 CRR and Section 4 of Chapter 4 of Title II of Part Three CRR. Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights in accordance with Article 113 and Section 2 of Chapter 2 of Title II of Part Three CRR. Exposure values for leases are subject to Article 134(7) CRR. In particular, the residual value shall be included at its discounted residual value after taking into account value adjustments, all credit risk mitigants and credit conversion factors. Exposure values for CCR business shall be the same as reported in column 0210. 0210 Of which: Arising from Counterparty Credit Risk Exposure value for CCR business calculated in accordance with the methods laid down in Chapter 4 and Chapter 6 of Title II of Part Three CRR, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapter 4 and Chapter 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss as referred to in Article 273(6) CRR. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in rows 0090 – 0130 reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. For this purpose, the exposure value post-CRM as per the instructions to column 0160 of template C 34.02 shall be used. 0211 Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP Exposures reported in column 0210 excluding those arising from contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 CRR. 0215 Risk weighted exposure amount pre supporting factors Paragraphs 1 to 5 of Article 113 CRR, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR The risk weighted exposure amount of the residual value of leasing assets shall be subject to sentence 5 of Article 134(7) and shall be calculated according to the formula 1/t * 100 % * residual value. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness. 0216 (-) Adjustment to the risk-weighted exposure amount due to SME supporting factor Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 2 of Title II of Part Three CRR, as applicable and RWEA* in accordance with point (1) of Article 501 CRR 0217 (-) Adjustment to the risk-weighted exposure amount due to the infrastructure supporting factor Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR. 0220 Risk weighted exposure amount after supporting factors Paragraphs 1 to 5 of Article 113 CRR, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR The risk weighted exposure amount of the residual value of leasing assets is subject to sentence 5 of Article 134(7) and shall be calculated according to the formula 1/t * 100 % * residual value. In particular, residual value is undiscounted estimated residual value at the end of the lease term which is reassessed periodically to ensure continued appropriateness. 0230 Of which: with a credit assessment by a nominated ECAI Points (a) to (d), (f), (g), (l), (n), (o) and (q) of Article 112 CRR 0240 Of which: with a credit assessment derived from central government Points (b) to d), (f), (g), (l) and (o) of Article 112 CRR Rows Instructions 0010 Total exposures 0015 of which: Defaulted exposures in exposure classes items associated with a particular high risk and equity exposures Article 127 CRR This row shall only be reported in exposure classes Items associated with a particular high risk and Equity exposures. An exposure that is either listed in Article 128(2) CRR or meets the criteria set in Article 128(3) or Article 133 CRR shall be assigned to the exposure class Items associated with particular high risk or Equity exposures. Consequently, there shall be no other allocation, even in case of an exposure in default as referred to in Article 127 CRR. 0020 of which: SME All exposures to SME shall be reported here. 0030 of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. 0035 of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a CRR shall be reported here. 0040 of which: Secured by mortgages on immovable property – Residential property Article 125 CRR Only reported in exposure class Secured by mortgages on immovable property 0050 of which: Exposures under the permanent partial use of the Standardised approach Exposures to which the Standardised approach has been applied in accordance with Article 150(1) CRR 0060 of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation Article 148(1) CRR 0070-0130 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES Reporting institution's banking book positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. Exposures to counterparty credit risk arising from the trading book business of the institution as referred to in point (f) of Article 92(3) and Article 299(2) CRR shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) CRR also break down their trading book positions referred to in point (b) of Article 92(3) CRR following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk. 0070 On balance sheet exposures subject to credit risk Assets referred to in Article 24 CRR not included in any other category. Exposures that are subject to counterparty credit risk shall be reported in rows 0090-0130-, and therefore shall not be reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. 0080 Off balance sheet exposures subject to credit risk Off-balance sheet positions comprise the items listed in Annex I CRR. Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130 and therefore shall not be reported in this row. 0090-0130 Exposures/Transactions subject to counterparty credit risk Transactions subject to counterparty credit risk, i.e. derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. 0090 Securities Financing Transactions netting sets Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR. SFTs that are included in a contractual cross product netting set and therefore reported in row 0130 shall not be reported in this row. 0100 Of which: centrally cleared through a QCCP Contracts and transactions listed in Article 301(1) CRR as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in point (88) of Article 4(1) CRR, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) CRR, when the CCP is a QCCP. 0110 Derivatives and Long Settlement Transactions netting sets Netting sets containing only derivatives listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR. Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0130, shall not be reported in this row. 0120 Of which: centrally cleared through a QCCP See instructions to row 0100. 0130 From Contractual Cross Product netting sets Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists. 0140-0280 BREAKDOWN OF EXPOSURES BY RISK WEIGHTS 0140 0 % 0150 2 % Article 306(1) CRR 0160 4 % Article 305(3) CRR 0170 10 % 0180 20 % 0190 35 % 0200 50 % 0210 70 % Point (c) of Article 232(3) CRR. 0220 75 % 0230 100 % 0240 150 % 0250 250 % Articles 133(2) and 48(4) CRR 0260 370 % Article 471 CRR 0270 1250 % Article 133(2) and Article 379 CRR 0280 Other risk weights This row is not available for exposure classes Government, Corporates, Institutions and Retail. For reporting those exposures not subject to the risk weights listed in the template. Paragraphs 1 to 5 of Article 113 CRR. Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) CRR) shall be reported in this row under the exposure class Other items. See also Article 124(2) and point (b) of Article 152(2) CRR. 0281-0284 BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU) These rows shall only be reported for the exposure class Collective investments undertakings (CIU), in line with Articles 132, 132a, 132b and 132c CRR. 0281 Look-through approach Article 132a(1) CRR. 0282 Mandate-based approach Article 132a(2) CRR. 0283 Fall-back approach Article 132(2) CRR. 0290-0320 Memorandum Items For rows 0290 to 0320, see also the explanation of the purpose of the memorandum items in the general section of the CR SA. 0290 Exposures secured by mortgages on commercial immovable property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property as referred to in Article 124 and 126 CRR the exposures shall be broken down and reported in this row if the exposures are secured by commercial real estate. 0300 Exposures in default subject to a risk weight of 100 % Point (j) of Article 112 CRR Exposures included in the exposure class exposures in default which shall be included in this exposure class if they were not in default. 0310 Exposures secured by mortgages on residential property Point (i) of Article 112 CRR This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on residential property in accordance with Article 124 and 125 CRR the exposures shall be broken down and reported in this row if the exposures are secured by real estate property. 0320 Exposures in default subject to a risk weight of 150 % Point (j) of Article 112 CRR Exposures included in the exposure class exposures in default which shall be included in this exposure class if they were not in default.

3.2.5.

1. For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR) the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk (see instructions to column 0210).

2. Exposure values for leases shall be subject to Article 134(7) CRR. In particular, the residual value shall be included at its accounting value (i.e. the discounted estimated residual value at the end of the lease term).

3. In the case of on-balance sheet netting as laid down in Article 219 CRR, the exposure values shall be reported taking into account the amount of the received cash collateral.

collateral, incorporated in accordance with the Financial Collateral Simple Method;

eligible unfunded credit protection.

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

3.3.

3.3.1.72.73.74.75.

Scope of the CR IRB template The scope of the CR IRB template covers: The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Articles 151 to 157 of Chapter 3 of Title II of Part Three CRR (IRB approach). The CR IRB template does not cover the following data: The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB. Items i) and iii) do not apply to template CR IRB 7. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, the following information shall be provided for each reported exposure class: NO = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) YES = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). This includes all retail portfolios. 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 supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.1.72. i.

Credit risk in the banking book, among which:

Counterparty credit risk in the banking book;

Dilution risk for purchased receivables;

ii.

Counterparty credit risk in the trading book;

iii.

Free deliveries resulting from all business activities.

3.3.1.72.73.74. i.

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

ii.

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

iii.

Other non credit-obligation assets, as referred to in point (g) of Article 147(2) 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, in accordance with Article 156 CRR. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;

iv.

Credit valuation adjustment risk, which is reported on the CVA Risk template;

3.3.2.76. Breakdown of the CR IRB template The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:

3.3.2.76.

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

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

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

4.1) Corporate – SME (point (c) of Article 147(2) CRR). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

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

4.3) Corporate – Other (All exposures to corporates as referred to in point (c) of Article 147(2) CRR, not reported under 4.1 and 4.2).

5.1) Retail – Secured by immovable property SME (Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(3) CRR which are secured by immovable property). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

5.2) Retail – Secured by immovable property non-SME (Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by immovable property and not reported under 5.1). Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

5.3) Retail – Qualifying revolving (Retail exposures as referred to in point (d) of Article 147(2) CRR in conjunction with Article 154(4) CRR).

5.4) Retail – Other SME (Retail exposures as referred to in point (d) of Article 147(2) CRR not reported under 5.1 and 5.3). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

5.5) Retail – Other non – SME (Retail exposures as referred to in point (d) of Article 147(2) CRR which were not reported under 5.2 and 5.3).

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

3.3.3.

3.3.3.1. Instructions concerning specific positions Columns Instructions 0010 INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 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 0110) 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 scale 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 scale or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales 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. The same applies for continuous rating scales: a reduced number of grades to be reported shall 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. The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %. For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %. 0020 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 CRR and paragraphs 1, 2, 4, 5, 6 and 7 of Article 166 CRR. The effect resulting from Article 166(3) CRR (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Chapter 4 or Chapter 6 of Title II of Part Three CRR), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130). 0030 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. 0040-0080 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation as defined in point (57) of Article 4(1) CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in SUBSTITUTION OF THE EXPOSURE DUE TO CRM. 0040-0050 UNFUNDED CREDIT PROTECTION Unfunded credit protection as defined in point (59) of Article 4(1) CRR. Unfunded credit protection that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. 0040 GUARANTEES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided. When own estimates of LGD are used in accordance with Article 183 CRR (except for paragraph 3), the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 0040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 0150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220. 0050 CREDIT DERIVATIVES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) CRR shall be provided. Where own estimates of LGD are used in accordance with paragraph 3 of Article 183 CRR, the relevant value used in the internal modelling shall be reported. Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 0160. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220. 0060 OTHER FUNDED CREDIT PROTECTION Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors. Where own estimates of LGD are not used, Article 232(1) CRR applies. Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported. Where an adjustment is made in the LGD, that amount shall be reported in column 170. 0070-0080 SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor’s exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the guarantor’s exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor’s exposure class and, where relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 CRR or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor. 0090 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. 0100, 0120 Of which: Off Balance Sheet Items See CR-SA instructions 0110 EXPOSURE VALUE The exposure values determined in accordance with Article 166 CRR and the second sentence of Article 230(1) CRR shall be reported. For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with paragraphs 8, 9 and 10 of Article 166 CRR are applied, irrespective of the approach chosen by the institution. Exposure values for CCR business shall be the same as reported in column 0130. 0130 Of which: Arising from counterparty Credit Risk See the corresponding CR SA instructions in column 0210. 0140 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures to entities referred to in points (4) and (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. 0150-0210 CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGD estimates as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 CRR shall be taken into account. Where own estimates of LGD are used: 0150 GUARANTEES See instructions to column 0040. 0160 CREDIT DERIVATIVES See instructions to column 0050. 0170 OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 CRR. 0171 CASH ON DEPOSIT Point (a) of Article 200 CRR Cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. 0172 LIFE INSURANCE POLICIES Point (b) of Article 200 CRR The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. 0173 INSTRUMENTS HELD BY A THIRD PARTY Point (c) of Article 200 CRR This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) CRR, institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution. 0180 ELIGIBLE FINANCIAL COLLATERAL For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with points (c) to (f) of Article 299(2) CRR shall be included. Credit linked notes and on -balance sheet netting in accordance with Section 4 of Chapter 4 of Title II of Part Three CRR shall be treated as cash collateral. Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 CRR,the adjusted value (Cvam) as set out in Article 223(2) CRR shall be reported. Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. The amount to be reported shall be the estimated market value of the collateral. 0190-0210 OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 1 to 8 of Article 199 CRR and Article 229 CRR. Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR. 0190 REAL ESTATE Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 2, 3 and 4 of Article 199 CRR and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) CRR). See also Article 229 CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value. 0200 OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with paragraphs 6 and 8 of Article 199 CRR and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) CRR). See also Article 229(3) CRR. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. 0210 RECEIVABLES Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) CRR and shall be reported in this column. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. 0220 SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) CRR and taking into account Article 202 and Article 217(1) CRR. The values to be reported shall not exceed the value of the corresponding exposures. 0230 EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Chapters 3 and 4 of Title II of Part Three CRR shall be considered. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. For defaulted exposures, point (h) of Article 181(1) CRR shall be taken into account. The exposure value referred to in column 0110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) CRR shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* as referred to in Article 228(2) CRR. The exposure weighted average LGD associated to each PD obligor grade or pool shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 0110. Where own estimates of LGD are applied, Article 175 and paragraphs 1 and 2 of Article 181 CRR shall be taken into account. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating scale approved by the respective competent authority. Data shall not be reported for specialised lending exposures referred to in Article 153(5) CRR. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240. 0240 EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR 0250 EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 CRR. The exposure value (column 0110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class retail. 0255 RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR; For retail, see Article 154(1) CRR The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall not be taken into account. 0256 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Chapter 3 of Title II of Part Three CRR, as applicable and RWEA* in accordance with Article 501 CRR. 0257 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Title II of Part Three CRR and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a CRR 0260 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see paragraphs 1, 2, 3 and 4 of Article 153 CRR. For retail, see Article 154(1) CRR. The SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR shall be taken into account. 0270 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in point (4) of Article 142(1) CRR and to unregulated financial sector entities as defined in point (5) of Article 142(1) CRR, subject to the higher coefficient of correlation determined in accordance with Article 153(2) CRR. 0280 EXPECTED LOSS AMOUNT For the definition of Expected Loss, see Article 5(3) CRR and, for the calculation of expected loss amounts, see Article 158 CRR. For defaulted exposures, see point (h) of Article 181(1) CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority. 0290 (-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 CRR shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades. 0300 NUMBER OF OBLIGORS Paragraphs 1 and 2 of Article 172 CRR. For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of point (e) of Article 172(1) CRR, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating scales, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects). 0310 PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor. Rows Instructions 0010 TOTAL EXPOSURES 0015 of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 CRR shall be reported here. 0016 of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a CRR shall be reported here. 0020-0060 BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 0020 On balance sheet items subject to credit risk Assets referred to in Article 24 CRR shall not be included in any other category. Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be reported in this row. Free deliveries as referred to in Article 379(1) CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row. 0030 Off balance sheet items subject to credit risk Off-balance sheet items shall comprise items in accordance with Article 166(8) CRR, as well as those items that are listed in Annex I CRR. Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row. 0040-0060 Exposures/Transactions subject to counterparty credit risk See the corresponding CR SA instructions in rows 0090-0130. 0040 Securities Financing Transactions netting sets See the corresponding CR SA instructions in row 0090. 0050 Derivatives and Long Settlement Transactions netting sets See the corresponding CR SA instructions in row 0110. 0060 From Contractual Cross Product netting sets See the corresponding CR SA instructions in row 0130. 0070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and central governments and central banks, see point (6) of Article 142(1) and point (c) of Article 170(1) CRR. For retail exposures see point (b) of Article 170(3) CRR. For exposures arising from purchased receivables, see Article 166(6) CRR. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 0180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves. 0080 SPECIALISED LENDING SLOTTING APPROACH: TOTAL Article 153(5) CRR. This shall only apply to the exposure classe corporate – specialised lending. 0160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Paragraphs 1 and 2 of Article 193, paragraphs 1 to 7 of Article 194 and Article 230(3) CRR. This alternative is available only for institutions using Foundation-IRB approach. 0170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the first subparagraph of Article 379(2) CRR is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) CRR. Unrated nth-to-default credit derivatives in accordance with Article 153(8) CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row. 0180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES See point (53) of Article 4(1) CRR for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 CRR. Dilution risk shall be reported for corporate and retail purchased receivables.

Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) CRR shall be taken into account. For retail exposures, Article 164(2) CRR shall be taken into account.

Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181(1) CRR.

3.3.4. C 08.02 – Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template) Column Instructions 0005 Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc. The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default. 0010-0300 Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template. Row Instructions 0010-0001 – 0010-NNNN Values reported in these rows must be filled in in the order corresponding to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and shall not be reported in this template.

3.3.1. C 08.03 – Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3))

3.3.1.

3.3.1.1.77. General remarks Institutions shall report the information included in this template in application of points (i) to (v) of Article 452(g) CRR, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in article 153(5) CRR, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

3.3.1.2. Instructions concerning specific positions Columns Instructions 0010 ON-BALANCE SHEET EXPOSURES Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments 0020 OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS Exposure value in accordance with paragraphs (1) to (7) of Article 166 CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR. 0030 EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS For all exposures included in each bucket of the fixed PD range, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as reported in column 0020 0040 EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM Exposure value in accordance with Article 166 CRR This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with paragraphs (8) to (10) of Article 166 CRR and after CRM techniques. 0050 EXPOSURE WEIGHTED AVERAGE PD (%) For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as reported in column 0040 0060 NUMBER OF OBLIGORS The number of legal entities or obligors allocated to each bucket of the fixed PD range The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration. 0070 EXPOSURE WEIGHTED AVERAGE LGD (%) For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as reported in column 0040 The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the LGD reported shall take into account the floors specified in Article 164(4) CRR. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR. For defaulted exposures under A-IRB approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies. 0080 EXPOSURE-WEIGHTED AVERAGE MATURITY (YEARS) For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as reported in column 0040 The maturity value reported shall be determined in accordance with Article 162 CRR. The average maturity shall be reported in years. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class retail. 0090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with paragraphs (1) to (4) of Article 153; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a CRR shall be taken into account. 0100 EXPECTED LOSS AMOUNT The expected loss amount calculated in accordance with Article 158 CRR The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority. 0110 VALUE ADJUSTMENTS AND PROVISIONS Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR. General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades. Rows Instructions PD RANGE Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.3.2. C 08.04 – Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4))

3.3.2.

3.3.2.1.78.79.

General remarks Institutions shall report the information included in this template in application of point (h) of Article 438 CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR). Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.

3.3.2.2. Instructions concerning specific positions Column Instructions 0010 RISK WEIGHTED EXPOSURE AMOUNT Total risk weighted exposure amount for credit risk calculated under the IRB approach, taking into account supporting factors in accordance with Article 501 and 501a CRR. Rows Instructions 0010 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR 0020 ASSET SIZE (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0030 ASSET QUALITY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0040 MODEL UPDATES (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to model updates, i.e changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0050 METHODOLOGY AND POLICY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 0040 Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0060 ACQUISITIONS AND DISPOSALS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0070 FOREIGN EXCHANGE MOVEMENTS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0080 OTHER (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers This category shall be used to capture changes that cannot be attributed to any other category. Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount. 0090 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a CRR

3.3.3. C 08.05 – Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5))

3.3.3.

3.3.3.1.80. General remarks Institutions shall report the information included in this template in application of point (h) of Article 452 CRR. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are reported here. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

3.3.3.2. Instructions concerning specific positions Columns Instructions 0010 ARITHMETIC AVERAGE PD (%) Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors) 0020 NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR Number of obligors at the end of the previous year subject to reporting All obligors carrying a credit obligation at the relevant point in time shall be included. The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration. 0030 OF WHICH: DEFAULTED DURING THE YEAR Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation) Defaults shall be determined in accordance with Article 178 CRR. Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period. 0040 OBSERVED AVERAGE DEFAULT RATE (%) One-year default rate referred to in point (78) Article 4(1) CRR Institutions shall ensure: Regarding the calculation of the number of obligors see column 0300 of template C 08.01. 0050 AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices. Rows Instructions PD RANGE Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.3.3.2.

(a) that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (i.e. beginning of the year prior to the reporting reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.

(b) that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the reporting reference date).

3.3.4. C 08.05.1 – Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD (CR IRB 5B)

3.3.4.

3.3.4.1.81. Instructions concerning specific positions In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in case that they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C 08.05, with the following exceptions: Columns Instructions 0005 PD RANGE Institutions shall report the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range. 0006 EXTERNAL RATING EQUIVALENT Institutions shall report one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

3.3.5. C 08.06 – Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6))

3.3.5.

3.3.5.1.82. General remarks Institutions shall report the information included in this template in application of point (e) of Article 438 CRR. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):

3.3.5.1.82.

(a) Project finance

(b) Income-producing real estate and high volatility commercial real estate

(c) Object finance

(d) Commodities finance

3.3.5.2. Instructions concerning specific positions Columns Instructions 0010 ORIGINAL EXPOSURE PRE CONVERSION FACTORS See CR-IRB instructions. 0020 EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS See CR-IRB instructions. 0030, 0050 OF WHICH: OFF-BALANCE SHEET ITEMS See CR-SA instructions. 0040 EXPOSURE VALUE See CR-IRB instructions. 0060 OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK See CR SA instructions. 0070 RISK WEIGHT Article 153(5) CRR This is a fixed column for information purposes. It shall not be altered. 0080 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS See CR-IRB instructions. 0090 EXPECTED LOSS AMOUNT See CR-IRB instructions. 0100 (-) VALUE ADJUSTMENTS AND PROVISIONS See CR-IRB instructions. Rows Instructions 0010-0120 Exposures shall be allocated to the appropriate category and maturity in accordance with table 1 of Article 153(5) CRR.

3.3.6. C 08.07 – Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7))

3.3.6.

3.3.6.1.83.84.

General remarks For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Chapter 2 of Title II of Part Three CRR or to the IRB approach laid down in Chapter 3 of Title II of Part Three CRR, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template. Columns 0020 to 0040 should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions.

3.3.6.2. Instructions concerning specific positions Columns Instructions 0010 TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR Institutions shall use the exposure value before CRM in accordance with Article 166 CRR. 0020 TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB Institutions shall use the exposure value before CRM in accordance with Article 429(4) CRR to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach. 0030 PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 CRR. 0040 PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR. This shall include: 0050 PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01. Rows Instructions EXPOSURE CLASSES Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB);

immaterial equity exposures not included in columns 0020 or 0040;

exposures already under F-IRB where an institution is planning to apply A-IRB in the future;

specialised lending exposures under the supervisory slotting approach not included in column 0040.

3.4.85.86.87.

CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5(5) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. 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. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.

3.4.1.1. Instructions concerning specific positions Columns 0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 0010 of CR SA template 0020 Defaulted exposures Original exposure pre-conversion factors for those exposures which have been classified as exposures in default and for defaulted exposures assigned to the exposure classes exposures associated with particularly high risk or equity exposures. This memorandum item shall provide additional information about the obligor structure of defaulted exposures. Exposures classified as exposures in default as referred to in point (j) of Article 112 CRR shall be reported where the obligors would have been reported if those exposures were not assigned to the exposure classes exposures in default. This information is a memorandum item – hence does not affect the calculation of risk weighted exposure amounts of exposure classes exposures in default, exposures associated with particularly high risk or equity exposures as referred to in points (j), (k) and (p) of Article 112 CRR. 0040 Observed new defaults for the period The amount of original exposures which have moved into exposure class Exposures in default during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged. 0050 General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014. This item shall include the general credit risk adjustments that are eligible for inclusion in T2 capital, before the application of the cap referred to in point (c) of Article 62 CRR. The amount to be reported shall be gross of tax effects. 0055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014. 0060 Write-offs Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9. 0061 Additional value adjustments and other own funds reductions In line with Article 111 CRR. 0070 Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as defaulted exposures during the 3-month period since the last data submission. 0075 Exposure value Same definition as for column 0200 of CR SA template 0080 RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS Same definition as for column 0215 of CR SA template 0081 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE SME SUPPORTING FACTOR Same definition as for column 0216 of CR SA template 0082 (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Same definition as for column 0217 of CR SA template 0090 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Same definition as for column 0220 of CR SA template Rows 0010 Central governments or central banks Point (a) of Article 112 CRR 0020 Regional governments or local authorities Point (b) of Article 112 CRR 0030 Public sector entities Point (c) of Article 112 CRR 0040 Multilateral developments banks Point (d) of Article 112 CRR 0050 International organisations Point (e) of Article 112 CRR 0060 Institutions Point (f) of Article 112 CRR 0070 Corporates Point (g) of Article 112 CRR 0075 of which: SME Same definition as for row 0020 of CR SA template 0080 Retail Point (h) of Article 112 CRR 0085 of which: SME Same definition as for row 0020 of CR SA template 0090 Secured by mortgages on immovable property Point (i) of Article 112 CRR 0095 of which: SME Same definition as for row 0020 of CR SA template 0100 Exposures in default Point (j) of Article 112 CRR 0110 Items associated with particularly high risk Point (k) of Article 112 CRR 0120 Covered bonds Point (l) of Article 112 CRR 0130 Claims on institutions and corporates with a short-term credit assessment Point (n) of Article 112 CRR 0140 Collective investments undertakings (CIU) Point (o) of Article 112 CRR Sum of rows 0141 to 0143 0141 Look-through approach Same definition as for row 0281 of CR SA template 0142 Mandate-based approach Same definition as for row 0282 of CR SA template 0143 Fall-back approach Same definition as for row 0283 of CR SA template 0150 Equity exposures Point (p) of Article 112 CRR 0160 Other exposures Point (q) of Article 112 CRR 0170 Total exposures

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

3.4.2.

3.4.2.1. Instructions concerning specific positions Columns 0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Same definition as for column 0020 of CR IRB template 0030 Of which defaulted Original exposure value for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR 0040 Observed new defaults for the period Original exposure value for those exposures, which have been classified as defaulted defaulted exposures in accordance with Article 178 CRR during the 3-month period since the last reporting reference date, shall be reported against the exposure class to which the obligor belongs. 0050 General credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014 0055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 CRR, as well as Regulation (EU) No 183/2014 0060 Write-offs Write-offs as referred to in IFRS 9.5.4.4 and B5.4.9 0070 Credit risk adjustments/write-offs for observed new defaults Sum of credit risk adjustments and write-offs for those exposures which were classified as defaulted exposures during the 3-month period since the last data submission 0080 INTERNAL RATING SCALE/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) Same definition as for column 0010 of CR IRB template 0090 EXPOSURE WEIGHTED AVERAGE LGD (%) Same definition as for columns 0230 and 0240 of CR IRB template: the exposure weighted average LGD (%) shall refer to all exposures, including exposures to large financial sector entities and unregulated financial entities. Point (h) of Article 181(1) CRR shall apply. For specialised lending exposures where the PD is estimated, the reported value should be either the estimated or the regulatory LGD. For specialised lending exposures referred to in Article 153(5) CRR, data cannot be reported as it is not available. 0100 Of which: defaulted Exposure weighted LGD for those exposures which have been classified as defaulted exposures in accordance with Article 178 CRR 0105 Exposure value Same definition as for column 0110 of CR IRB template 0110 RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS Same definition as for column 0255 of CR IRB template 0120 Of which defaulted Risk weighted exposure amount for those exposures which have been classified as defaulted exposures in accordance with Article 178(1) CRR 0121 (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR Same definition as for column 0256 of CR IRB template 0122 (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Same definition as for column 0257 of CR IRB template 0125 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Same definition as for column 0260 of CR IRB template 0130 EXPECTED LOSS AMOUNT Same definition as for column 0280 of CR IRB template Rows 0010 Central banks and central governments Point (a) of Article 147(2) CRR 0020 Institutions Point (b) of Article 147(2) CRR 0030 Corporates All exposures to corporates as referred to in point (c) of Article 147(2) CRR 0042 Of which: Specialised lending (excl. SL subject under the slotting approach) Point (a) of Article 147(8) CRR Data shall not be reported for specialised lending exposures as referred to in Article 153(5) CRR. 0045 Of which: Specialised lending under the slotting approach Point (a) of Article 147(8) and Article 153(5) CRR 0050 Of which: SME Point (c) of Article 147(2) CRR Under the IRB approach, the reporting entities shall use their internal definition of SME, as applied in internal risk management processes. 0060 Retail All retail exposures as referred to in point (d) of Article 147(2) CRR 0070 Retail – Secured by immovable property Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate Retail exposures secured by immovable property will be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan. 0080 SME Retail exposures as referred to in point (d) of Article 147(2) and Article 154(3) CRR which are secured by real estate 0090 non-SME Retail exposures as referred to in point (d) of Article 147(2) CRR which are secured by real estate 0100 Retail – Qualifying revolving Retail exposures as referred to in point (d) of Article 147(2) in conjunction with Article 154(4) CRR 0110 Other Retail Other retail exposures as referred to in point (d) of Article 147(2) CRR which are not reported in rows 0070 – 0100 0120 SME Other retail exposures to SMEs as referred to in point (d) of Article 147(2) CRR 0130 non-SME Other retail exposures to individuals as referred to in point (d) of Article 147(2) CRR 0140 Equity Equity exposures as referred to in point (e) of Article 147(2) CRR 0150 Total exposures

3.4.3. C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)

3.4.3.

3.4.3.1.88.89.90.91.

General remarks This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Title II and Title IV of Part Three CRR and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 CRD (relevant credit exposures). Information in template C 09.04 shall be reported for the Total of relevant credit exposures across all jurisdictions where those 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 shall be reported in a separate dimension. The threshold set in Article 5(5) of this Implementing Regulation shall not apply for the reporting of this breakdown. In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014. Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2. Instructions concerning specific positions Columns 0010 Amount The value of the relevant credit exposures and their associated own-funds requirements determined in accordance with the instructions for the respective row. 0020 Percentage 0030 Qualitative Information This information shall only be reported for the country of residence of the institution (the jurisdiction corresponding to its home Member State) and the Total of all countries. Institutions shall report either {y} or {n} in accordance with the instructions for the relevant row. Rows 0010-0020 Relevant credit exposures – Credit risk Relevant credit exposures as referred to in point (a) of Article 140(4) CRD. 0010 Exposure value under the Standardised approach Exposure value calculated in accordance with Article 111 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 0055. 0020 Exposure value under the IRB approach Exposure value calculated in accordance with Article 166 CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD. The exposure value of securitisation positions in the banking book shall be excluded from this row and reported in row 0055. 0030-0040 Relevant credit exposures – Market risk Relevant credit exposures as referred to in point (b) of Article 140(4) CRD. 0030 Sum of long and short positions of trading book exposures for Standardised approach Sum of net long and net short positions in accordance with Article 327 CRR of relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapter 2 of Title IV of Part Three CRR: 0040 Value of trading book exposures under internal models For relevant credit exposures as referred to in point (b) of Article 140(4) CRD subject to own funds requirements under Chapters 2 and 5 of Title IV of Part Three CRR, the sum of the following shall be reported: 0055 Relevant credit exposures – Securitisation positions in the banking book Exposure value calculated in accordance with Article 248 CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD. 0070-0110 Own funds requirements and weights 0070 Total own funds requirements for CCB The sum of rows 0080, 0090 and 0100. 0080 Own funds requirements for relevant credit exposures – Credit risk Own funds requirements calculated in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR for relevant credit exposures as referred to in point (a) of Article 140(4) CRD, in the country in question. Own fund requirements for securitisation positions in the banking book shall be excluded from this row and reported in row 0100. The own-funds requirements are 8 % of the risk-weighted exposure amount determined in accordance with Chapters 1 to 4 and Chapter 6 of Title II of Part Three CRR. 0090 Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk for relevant credit exposures as referred to in point (b) of Article 140(4) CRD, in the country in question. The own funds requirements for relevant credit exposures under the market risk framework shall include, among others, the own fund requirements for securitisation positions calculated in accordance with Chapter 2 of Title IV of Part Three, CRR and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 CRR. 0100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR for relevant credit exposures as referred to in point (c) of Article 140(4) CRD in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Chapter 5 of Title II of Part Three, CRR. 0110 Own funds requirements weights The weight applied to the countercyclical buffer rate in each country shall be calculated as a ratio of own fund requirements, determined as follows: Information on the Own fund requirements weights shall not be reported for the Total of all countries. 0120-0140 Countercyclical buffer rates 0120 Countercyclical capital buffer rate set by the Designated Authority Countercyclical capital buffer rate set for the country in question by the Designated Authority of that country in accordance with Articles 136, 137, 139, points (a) and (c) of Article 140(2) and point (b) of Article 140(3) CRD. This row shall be left empty when no countercyclical buffer rate was set for the country in question by the Designated Authority of that country. Countercyclical capital buffer rates that were set by the Designated Authority but are not yet applicable in the country in question at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate set by the Designated Authority shall not be reported for the Total of all countries. 0130 Countercyclical capital buffer rate applicable for the country of the institution Countercyclical capital buffer rate applicable for the country in question which was set by the Designated Authority of the country of residence of the institution, in accordance with Articles 137, 138, 139 and point (b) of Article 140(2) and point (a) of Article 140(3) CRD. Countercyclical capital buffer rates that are not yet applicable at the reporting reference date shall not be reported. Information on the Countercyclical capital buffer rate applicable in the country of the institution shall not be reported for the Total of all countries. 0140 Institution-specific countercyclical capital buffer rate Institution-specific countercyclical capital buffer rate, calculated in accordance with Article 140(1) CRD. The institution-specific countercyclical capital buffer rate shall be calculated as the weighted average of the countercyclical buffer rates that apply in the jurisdictions where the relevant credit exposures of the institution are located or are applied for the purposes of Article 140 by virtue of paragraphs 2 or 3 of Article 139 CRD. The relevant countercyclical buffer rate shall reported in [r0120; c0020; country sheet], or [r0130; c0020; country sheet], as applicable. The weight applied to the countercyclical buffer rate in each country shall be the share of own funds requirements in total own funds requirements, and shall be reported in [r0110; c0020; country sheet]. Information on the institution-specific countercyclical capital buffer rate shall only be reported for the Total of all countries and not for each country separately. 0150 – 0160 Use of the 2 % threshold 0150 Use of 2 % threshold for general credit exposure In accordance with point (b) of Article 2(5) of Commission Delegated Regulation (EU) No 1152/2014, foreign general credit risk exposures, the aggregate of which does not exceed 2 % of the aggregate of the general credit, trading book and securitisation exposures of that institution, may be allocated to the institutions’ home Member State. The aggregate of the general credit, trading book and securitisation exposures shall be calculated by excluding the general credit exposures located in accordance with point (a) of Article 2(5) and Article 2(4) of Commission Delegated Regulation (EU) No 1152/2014. If the institution makes use of this derogation, it shall indicate y in the template for the jurisdiction corresponding to its home Member State and for the Total of all countries. If an institution does not make use of this derogation, it shall indicate n in the respective cell. 0160 Use of 2 % threshold for trading book exposure In accordance with Article 3(3) of Commission Delegated Regulation (EU) No 1152/2014, institutions may allocate trading book exposures to their home Member State where the total trading book exposures do not exceed 2 % of their total general credit, trading book and securitisation exposures. If the institution makes use of this derogation, it shall indicate y in the template for the jurisdiction corresponding to its home Member State and for the Total of all countries. If an institution does not make use of this derogation, it shall indicate n in the respective cell.

exposures to debt instruments other than securitisation;

exposures to securitisation positions in the trading book;

exposures to correlation trading portfolios;

exposures to equity securities;

exposures to CIUs where capital requirements are calculated in accordance with Article 348 CRR.

Fair value of non-derivative positions, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD, determined in accordance with Article 104 CRR.

Notional value of derivatives, that represent relevant credit exposures as referred to in point (b) of Article 140(4) CRD.

3.4.3.2.

1. Numerator: The total own funds requirements that relate to the relevant credit exposures in the country in question [r0070; c0010; country sheet],

2. Denominator: The total own funds requirements that relate to all credit exposures relevant for the calculation of the countercyclical buffer as referred to in Article 140(4) CRD [r0070; c0010; Total].

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

3.5.

3.5.1.92.93.94.95.96.97.

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 (point (a) of Article 92(3) CRR) in accordance with Chapter 3 of Title II of Part Three CRR for equity exposures as referred to in point (e) of Article 147(2) CRR. In accordance with Article 147(6) CRR, the following exposures shall be assigned to the equity exposure class: Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152 CRR shall also be reported in the CR EQU IRB template. In accordance with Article 151(1) CRR, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 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 in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) CRR, respectively a risk-weight of 370 % in accordance with Article 471(2) CRR. The following equity claims shall not be reported in the CR EQU IRB template:

3.5.1.92.93.94.

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

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

the Simple Risk Weight approach;

the PD/LGD approach;

the Internal Models approach.

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

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

Equity exposures grandfathered in accordance with Article 495(1) CRR;

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

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

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

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

3.5.2.98. Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2) Columns 0005 OBLIGOR GRADE (ROW IDENTIFIER) The obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. 0010 INTERNAL RATING SCALE PD ASSIGNED TO THE OBLIGOR GRADE (%) Institutions applying the PD/LGD approach shall report in column 0010 the probability of default (PD) calculated in accordance with Article 165(1) CRR. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating scale approved by the respective competent authority. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 0060) shall be used for weighting purposes. 0020 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions report in column 0020 the original exposure value (pre-conversion factors). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments. Institutions shall also include in column 0020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. the unpaid portion of partly-paid shares). Institutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR. 0030-0040 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION GUARANTEES CREDIT DERIVATIVES Irrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 0030 and 0040 the amount of unfunded credit protection under the form of guarantees (column 0030) or credit derivatives (column 0040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR. 0050 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS Institutions shall report in column 0050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR. 0060 EXPOSURE VALUE Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 0060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR). In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR). 0061 OF WHICH: OFF BALANCE SHEET ITEMS See CR-SA instructions 0070 EXPOSURE WEIGHTED AVERAGE LGD (%) Institutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation The exposure value taking into account unfunded credit protection (column 0060) shall be used for the calculation of the exposure-weighted average LGD. Institutions shall take into account Article 165(2) CRR. 0080 RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR. Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) CRR). 0090 MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR. In accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach). Rows CR EQU IRB 1 – row 0020, PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 0020 of the CR EQU IRB 1 template. CR EQU IRB 1 – rows 0050- 0090 SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 0050 to 0090. CR EQU IRB 1 – row 0100 INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 0100. CR EQU IRB 1 – row 0110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised approach). As an example: CR EQU IRB 2 BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template. Institutions using the PD/LGD approach that apply a unique rating scale or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating scale/master scale. In any other case, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating scales shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher.

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

equity positions risk-weighted with 370 % in accordance with Article 471(2) CRR shall be reported in row 0110.

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

3.6.

3.6.1.99.100.101.102.103.104.105.

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 as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR. Institutions shall 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. In accordance with Article 378 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 own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 CRR. In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That 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 shall multiply that difference by the appropriate factor of Table 1 of Article 378 CRR to determine the corresponding own funds requirements. In accordance with point (b) of Article 92(4) CRR, 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 CRR are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2. Instructions concerning specific positions Columns 0010 UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE Institutions shall report the unsettled transactions after their due delivery date at the respective agreed settlement prices as referred to in Article 378 CRR. All unsettled transactions shall be included in this column, irrespective of whether or not they are at a gain or at a loss after the due settlement date. 0020 PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS Institutions shall report the price difference between the agreed settlement price and its current market value for the debt instrument, equity, foreign currency or commodity in question, where the difference could involve a loss for the institution, as referred to in Article 378 CRR. Only unsettled transactions at a loss after the due settlement date shall be reported in this column. 0030 OWN FUNDS REQUIREMENTS Institutions shall report the own funds requirements calculated in accordance with Article 378 CRR. 0040 TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with point (b) of Article 92(4) CRR, institutions shall multiply their own funds requirements reported in column 0030 by 12.5 in order to obtain the settlement risk exposure amount. Rows 0010 Total unsettled transactions in the Non-trading Book Institutions shall report aggregated information about settlement/delivery risk for non-trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r0010;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r0010;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r0010;c0030] the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 0020 by the appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR). 0020 to 0060 Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions shall report in rows 0020 to 0060 the information about settlement/delivery risk for non-trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date. 0070 Total unsettled transactions in the Trading Book Institutions shall report aggregated information about settlement/delivery risk for trading book positions (as referred to in point (c)(ii) of Article 92(3) and Article 378 CRR). Institutions shall report in {r0070;c0010} the aggregated sum of unsettled transactions after their due delivery dates at the respective agreed settlement prices. Institutions shall report in {r0070;c0020} the aggregated information for price difference exposure due to unsettled transactions at a loss. Institutions shall report in {r0070;c0030} the aggregated own funds requirements derived from summing the own funds requirements for unsettled transactions by multiplying the price difference reported in column 0020 by an appropriate factor based on the number of working days after due settlement date (categories referred to in Table 1 of Article 378 CRR). 0080 to 0120 Transactions unsettled up to 4 days (Factor 0 %) Transactions unsettled between 5 and 15 days (Factor 8 %) Transactions unsettled between 16 and 30 days (Factor 50 %) Transactions unsettled between 31 and 45 days (Factor 75 %) Transactions unsettled for 46 days or more (Factor 100 %) Institutions shall report in rows 0080 to 0120 the information about settlement/delivery risk for trading book positions in accordance with the categories referred to in Table 1 of Article 378 CRR. No own funds requirements for settlement/delivery risk are required for transactions unsettled less than 5 working days after the due settlement date.

3.7. C 13.01 – CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.

3.7.1.106.107.108.

General remarks Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported. The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors. This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.

3.7.2.109.110.

Instructions concerning specific positions Columns 0010 TOTAL AMOUNT OF SECURITISATION EXPOSURES ORIGINATED Originator institutions shall 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 case of traditional securitisations where the originator does not hold any position, the originator shall not consider that securitisation in the reporting of this template. For that purpose, securitisation positions held by the originator shall include early amortisation provisions, as defined in Article 242(16) CRR, in a securitisation of revolving exposures. 0020-0040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 251 and 252 CRR. Maturity mismatches shall not be taken into account in the adjusted value of the credit risk mitigation techniques involved in the securitisation structure. 0020 (-) FUNDED CREDIT PROTECTION (CVA) The detailed calculation procedure of the volatility-adjusted value of the collateral (CVA) which shall be reported in this column is laid down in Article 223(2) CRR. 0030 (-) TOTAL OUTFLOWS: UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) Following the general rule for inflows and outflows, the amounts reported under this column shall appear as inflows in the corresponding credit risk template (CR SA or CR IRB) and exposure class to which the reporting entity allocates the protection provider (i.e. the third party to which the tranche is transferred by means of unfunded credit protection). The calculation procedure of the foreign exchange risk- adjusted nominal amount of the credit protection (G*) is laid down in Article 233(3) CRR. 0040 NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION All tranches which have been retained or bought back, e.g. retained first loss positions, shall be reported with their nominal amount. The effect of supervisory haircuts in the credit protection shall not be taken into account when computing the retained or repurchased amount of credit protection. 0050 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This column shall include the exposure values of securitisation positions held by the reporting institution, calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, without applying credit conversion factors, gross of value adjustments and provisions, and any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and gross of value adjustments and provisions on the securitisation position. Netting shall only be relevant with respect to multiple derivative contracts provided to the same SSPE, covered by an eligible netting agreement. In synthetic securitisations, the positions held by the originator in the form of on-balance sheet items and/or investor’s interest shall be the result of the aggregation of columns 0010 to 0040. 0060 (-) VALUE ADJUSTMENTS AND PROVISIONS Article 248 CRR. Value adjustments and provisions to be reported in this column shall only refer to securitisation positions. Value adjustments of securitised exposures shall not be considered. 0070 EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS This column shall include the exposure values of securitisation positions calculated in accordance with paragraphs 1 and 2 of Article 248 CRR, net of value adjustments and provisions, without applying conversion factors and gross of any non-refundable purchase price discounts on the securitised exposures as referred to in point (d) of Article 248(1) CRR, and net of value adjustments and provisions on the securitisation position. 0080-0110 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Point (57) of Article 4(1) CRR, Chapter 4 of Title II of Part Three CRR and Article 249 CRR Institutions shall report in these columns information on credit risk mitigation techniques that reduce the credit risk of an exposure or exposures via the substitution of exposures (as indicated below for Inflows and Outflows). Collateral that has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value. Items to be reported here: 0080 (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (GA) Unfunded credit protection as defined in Article 4(1)(59), Articles 234 to 236 CRR. 0090 (-) FUNDED CREDIT PROTECTION Funded credit protection as defined in Article 4(1)(58) CRR, as referred to in the first subparagraph of Article 249(2) CRR and as regulated in Articles 195, 197 and 200 CRR. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 CRR shall be treated as cash collateral. 0100-0110 SUBSTITUTION OF THE EXPOSURE DUE TO CRM: Inflows and outflows within the same exposure classes and, when relevant, risk weights or obligor grades shall be reported. 0100 (-) TOTAL OUTFLOWS Article 222(3), paragraphs 1 and 2 of Article 235 and Article 236 CRR. Outflows shall correspond to the covered part of the Exposure net of value adjustments and provisions that is deducted from the obligor’s exposure class and, where relevant, risk weight or obligor grade, and subsequently assigned to the protection provider’s exposure class and, where relevant, risk weight or obligor grade. That amount shall be considered as an Inflow into the protection provider’s exposure class and, where relevant, risk weights or obligor grades. 0110 TOTAL INFLOWS Securitisation positions which are debt securities and are used as eligible financial collateral in accordance with Article 197(1) CRR and where the Financial Collateral Simple Method is used, shall be reported as inflows in this column. 0120 NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS This column shall include the exposures assigned in the corresponding risk weight and exposure class after taking into account outflows and inflows due to Credit risk mitigation (CRM) techniques with substitution effects on the exposure. 0130 (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (CVAM) Articles 223 to 228 CRR The reported amount shall also include credit linked notes (Article 218 CRR). 0140 FULLY ADJUSTED EXPOSURE VALUE (E*) The exposure value of securitisation positions calculated in accordance with Article 248 CRR, but without applying the conversion factors laid down in point (b) of Article 248(1) CRR 0150 OF WHICH: SUBJECT TO A CCF OF 0 % Point (b) of Article 248(1) CRR In this respect, point (56) of Article 4(1) CRR defines a conversion factor. For reporting purposes, fully adjusted exposure values (E*) shall be reported for the 0 % conversion factor. 0160 (-)NON REFUNDABLE PURCHASE PRICE DISCOUNT In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position which is assigned a 1250 % risk weight any non-refundable purchase price discounts connected with such underlying exposures to the extent that such discounts have caused the reduction of own funds. 0170 (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES In accordance with point (d) of Article 248(1) CRR, an originator institution may deduct from the exposure value of a securitisation position, which is assigned a 1250 % risk weight or is deducted from Common Equity Tier 1, the amount of the specific credit risk adjustments on the underlying exposures as determined in accordance with Article 110 CRR. 0180 EXPOSURE VALUE The exposure value of securitisation positions calculated in accordance with Article 248 CRR 0190 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with point (b) of Article 244(1), point (b) of Article 245(1) and Article 253(1) CRR, in case of a securitisation position to which a 1250 % risk weight applies, institutions may, as an alternative to including the position in their calculation of risk-weighted exposure amounts, deduct from own funds the exposure value of the position. 0200 EXPOSURE VALUE SUBJECT TO RISK WEIGHTS Exposure value minus the exposure value deducted from own funds. 0210 SEC-IRBA Point (a) of Article 254(1) CRR 0220-0260 BREAKDOWN BY RW BANDS SEC-IRBA exposures broken down by risk-weight bands. 0270 OF WHICH: CALCULATED UNDER ARTICLE 255(4) (PURCHASED RECEIVABLES) Article 255(4) CRR For the purpose of this column, retail exposures shall be treated as purchased retail receivables and non-retail exposures as purchased corporate receivables. 0280 SEC-SA Point (b) of Article 254(1) CRR 0290-0340 BREAKDOWN BY RW BANDS SEC-SA exposures broken down by risk-weight bands. For the RW = 1250 % (W unknown), the fourth paragraph of point (b) of Article 261(2) CRR stipulates that the position in the securitisation shall be risk-weighted at 1250 % where the institution does not know the delinquency status for more than 5 % of underlying exposures in the pool. 0350 SEC-ERBA Point (c) of Article 254(1) CRR 0360-0570 BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS) Article 263 CRR SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) CRR shall be reported as positions with a rating. Exposure values subject to risk weights shall be broken down by short and long-term and credit quality steps (CQS) as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR. 0580-0630 BREAKDOWN BY REASON FOR APPLICATION OF SEC-ERBA For each securitisation position, institutions shall consider one of the following options in columns 0580-0620. 0580 AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES Point (c) of Article 254(2) CRR All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for point (a) or (b) of Article 254(2) CRR. 0590 SEC-ERBA OPTION Article 254(3) CRR 0600 POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR Point (a) of Article 254(2) CRR 0610 POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR Point (b) of Article 254(2) CRR 0620 POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) CRR Securitisation positions subject to SEC-ERBA, where the application of SEC-IRBA or SEC-SA has been precluded by the competent authorities in accordance with Articles 254(4) or 258(2) CRR 0630 FOLLOWING THE HIERARCHY OF APPROACHES Securitisation positions where SEC-ERBA is applied by following the hierarchy of approaches laid down in Article 254(1) CRR 0640 INTERNAL ASSESSMENT APPROACH Article 254(5) CRR on the Internal Assessment Approach (IAA) for positions in ABCP programmes 0650-0690 BREAKDOWN BY RW BANDS Internal Assessment Approach exposures broken down by risk-weight bands 0700 OTHER (RW = 1250 %) Where none of the previous approaches is applied, a risk weight of 1250 % shall be assigned to securitisation positions in accordance with Article 254(7) CRR. 0710-0860 RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, prior to adjustments due to maturity mismatches or infringement of due diligence provisions, and excluding any risk weighted exposure amount corresponding to exposures redistributed via outflows to another template. 0840 IAA: AVERAGE RISK WEIGHT (%) The exposure-weighted average risk weights of the securitisation positions shall be reported in this column. 0860 RWEA OF WHICH: SYNTHETIC SECURITISATIONS For synthetic securitisations with maturity mismatches, the amount to be reported in this column shall ignore any maturity mismatch. 0870 ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES Maturity mismatches in synthetic securitisations RW*-RW(SP), as calculated in accordance with Article 252 CRR, shall be included, except in the case of tranches subject to a risk weighting of 1250 % where the amount to be reported shall be zero. RW(SP) shall not only include the risk weighted exposure amounts reported under column 0650, but also the risk weighted exposure amounts corresponding to exposures redistributed via outflows to other templates. 0880 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 In accordance with Article 270a CRR, whenever certain requirements are not met by the institution, competent authorities shall impose a proportionate additional risk weight of no less than 250 % of the risk weight (capped at 1250 %) which would apply to the relevant securitisation positions under Section 3 of Chapter 5 of Title II of Part Three CRR. 0890 BEFORE CAP Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, before applying the limits specified in Articles 267 and 268 CRR. 0900 (-) REDUCTION DUE TO RISK WEIGHT CAP In accordance with Article 267 CRR, an institution which has knowledge at all times of the composition of the underlying exposures may assign the senior securitisation position a maximum risk weight equal to the exposure-weighted-average risk weight that would be applicable to the underlying exposures as if the underlying exposures had not been securitised. 0910 (-) REDUCTION DUE TO OVERALL CAP In accordance with Article 268 CRR, an originator institution, a sponsor institution or other institution using the SEC-IRBA or an originator institution or sponsor institution using the SEC-SA or the SEC-ERBA may apply a maximum capital requirement for the securitisation position it holds equal to the capital requirements that would be calculated under Chapter 2 or 3 of Title II of Part Three CRR in respect of the underlying exposures had they not been securitised. 0920 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Chapter 5 of Title II of Part Three CRR, considering the total risk weight as specified in Article 247(6) CRR. 0930 MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES Risk weighted exposure amount stemming from exposures redistributed to the risk mitigant provider, and therefore computed in the corresponding template, that are considered in the computation of the cap for securitisation positions. The 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 shall be broken down by on-balance sheet items and off-balance sheet items and derivatives, as well as if it is subject to differentiated capital treatment or not. Positions treated in accordance with the SEC-ERBA and unrated positions (exposures at reporting date) shall be broken down in accordance with the credit quality steps applied at inception (last block of rows). Originators, sponsors as well as investors shall report this information. Rows 0010 TOTAL EXPOSURES Total exposures refer to the total amount of outstanding securitisations and re-securitisations. This row summarises all the information reported by originators, sponsors and investors in subsequent rows. 0020 SECURITISATION POSITIONS Total amount of outstanding securitisation positions, as defined in point (62) of Article 4(1) CRR, which are not re-securitisations as defined in point (63) of Article 4(1) CRR. 0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or 270 CRR and therefore qualify for differentiated capital treatment. 0040 STS EXPOSURES Total amount of STS securitisation positions that meet the requirements set out in Article 243 CRR. 0050 SENIOR POSITION IN SMEs SECURITISATIONS Total amount of senior securitisation positions in SMEs which meet the conditions set out in Article 270 CRR. 0060, 0120, 0170, 0240, 0290, 0360 and 0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Paragraphs 1, 4, 5 and 6 of Article 254 and Articles 259, 261, 263, 265, 266 and 269 CRR Total amount of securitisation positions which do not qualify for differentiated capital treatment. 0070, 0190, 0310 and 0430 RE-SECURITISATION POSITIONS Total amount of outstanding re-securitisations positions as defined in point (64) of Article 4(1) CRR. 0080 ORIGINATOR: TOTAL EXPOSURES This row summarises information on on-balance items and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of originator, as defined in point (13) of Article 4(1) CRR. 0090-0130, 0210-0250 and 0330-0370 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS In accordance with point (a) of Article 248(1) CRR, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after any relevant specific credit risk adjustments on the securitisation position have been applied in accordance with Article 110 CRR. On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 CRR, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0110 and 0130. 0100, 0220 and 0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR and therefore qualify for differentiated capital treatment. 0110, 0130, 0160, 0180, 0230, 0250, 0280, 0300, 0350, 0370, 400 and 420 OF WHICH: SENIOR EXPOSURES Total amount of senior securitisation positions as defined in Article 242(6) CRR. 0140-0180, 0260-0300 and 0380-0420 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES These rows shall gather information on off-balance sheet items and derivatives securitisation positions subject to a conversion factor under the securitisation framework. The exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a 100 % conversion factor unless otherwise specified. Off-balance sheet securitisation positions arising from a derivative instrument listed in Annex II to the CRR, shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the CRR shall be determined in accordance with Chapter 6 of Title II of Part Three CRR. For liquidity facilities, credit facilities and servicer cash advances, institutions shall provide the undrawn amount. For interest rate and currency swaps, the exposure value (calculated in accordance with Article 248(1) CRR) shall be provided. Off-balance sheet items and derivatives shall be broken down to capture information regarding the application of differentiated capital treatment, as referred to in Article 270 CRR, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) CRR, in rows 0160 and 0180. The same legal references as for rows 0100 to 0130 shall apply. 0150, 0270 and 0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 or Article 270 CRR and therefore qualify for differentiated capital treatment. 0200 INVESTOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of an investor. For the purposes of this template, an investor shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither originator nor sponsor. 0320 SPONSOR: TOTAL EXPOSURES This row summarises information on on-balance and off-balance sheet items and derivatives of those securitisation and re-securitisation positions for which the institution plays the role of a sponsor, as defined in point (14) of Article 4(1) CRR. If a sponsor is also securitising its own assets, it shall fill in the originator’s rows with the information regarding its own securitised assets. 0440-0670 BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION These rows gather information on outstanding positions (at reporting date) for which a credit quality step (as laid down in Tables 1 and 2 of Article 263 and Tables 3 and 4 of Article 264 CRR) was determined at origination date (inception). For securitisations positions treated under IAA, the CQS shall be the one at the time an IAA rating was first assigned. In the absence of this information, the earliest CQS-equivalent data available shall be reported. These rows are only to be reported for columns 0180-0210, 0280, 0350-0640, 0700-0720, 0740, 0760-0830 and 0850.

3.7.2.

1. collateral, incorporated in accordance with Article 222 CRR (Financial Collateral Simple Method);

2. eligible unfunded credit protection.

3.8. DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)

3.8.

3.8.1.111.112.113.114.115.

Scope of the SEC DETAILS template These templates gather information on a transaction basis (versus the aggregate information reported in CR SEC, MKR SA SEC, MKR SA CTP, CA1 and CA2 templates) on all securitisations the reporting institution is involved in. The main features of each securitisation, such as the nature of the underlying pool and the own funds requirements shall be reported. These template are to be reported for: These templates 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. Because of Article 5 of Regulation (EU) 2017/2402, 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 shall be applied to investors to a limited extent. In particular, they shall report columns 0010-0040; 0070-0110; 0160; 0190; 0290-0300; 0310-0470. Institutions playing the role of original lenders (not performing also the role of originators or sponsors in the same securitisation) shall generally report the template to the same extent as investors.

3.8.1.111.112. a.

Securitisations originated/sponsored by the reporting institution, including where it holds no position in the securitisation. In cases where institutions hold at least one position in the securitisation, 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 6 of Regulation (EU) 2017/2402 and, where Article 43(6) of that Regulation applies, Article 405 CRR in the version applicable on 31 December 2018.

b.

Securitisations, the ultimate underlying of which are financial liabilities originally issued by the reporting institution and (partially) acquired by a securitisation vehicle. That underlying could include covered bonds or other liabilities and shall be identified as such in column 0160.

c.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders).

3.8.2116.117.

Breakdown of the SEC DETAILS template The SEC DETAILS consists of two templates. SEC DETAILS provides a general overview of the securitisations and SEC DETAILS 2 provides a breakdown of the same securitisations by approach applied. Securitisation positions in the trading book shall only be reported in columns 0005-0020, 0420, 0430, 0431, 0432, 0440 and 0450-0470. For columns 0420, 0430 and 0440, institutions shall take into account the RW corresponding to the own funds requirement of the net position.

3.8.3 C 14.00 – Detailed information on securitisations (SEC DETAILS) Columns 0010 INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation The internal code shall be associated to the identifier of the securitisation transaction. 0020 IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation transaction or, if not available, the name by which the securitisation transaction is known in the market, or within the institution in case of an internal or private securitisation Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column. 0021 INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? This column identifies whether the securitisation is an intra-group, private or public securitisation. Institutions shall report one of the following abbreviations: 0110 ROLE OF THE INSTITUTION: (ORIGINATOR/SPONSOR/ORIGINAL LENDER/INVESTOR) Institutions shall report the following abbreviations: Originator as defined in point (13) of Article 4(1) CRR and Sponsor as defined in point (14) of Article 4(1) CRR. Investors are assumed to be those institutions to which Article 5 of Regulation (EU) 2017/2402 applies. In case Article 43(5) of Regulation (EU) 2017/2402 applies, Articles 406 and 407 CRR in the version applicable on 31 December 2018 shall apply. 0030 IDENTIFIER OF THE ORIGINATOR (Code/Name) The LEI code applicable to the originator, or, if not available, the code given by the supervisory authority to the originator or, if that is not available, the name of the institution itself shall be reported in this column. In the case of multi-seller securitisations where the reporting institution is involved as originator, sponsor or original lender, the reporting institution shall provide the identifier of all the entities within its consolidated group that are involved (as originator, sponsor or original lender) in the transaction. If the code is not available or is not known by the reporting institution, the name of the institution shall be reported. In the case of multi-seller securitisations where the reporting institution holds a position in the securitisation as an investor, the reporting institution shall provide the identifier of all the different originators involved in the securitisation, or, if not available, the names of the different originators. Where the names are not known by the reporting institution, the reporting institution shall report that the securitisation is multi-seller. 0040 SECURITISATION TYPE: (TRADITIONAL/SYNTHETIC/ABCP PROGRAMME/ABCP TRANSACTION) Institutions shall report the following abbreviations: The definitions of Asset Backed Commercial Paper Programme, Asset Backed Commercial Paper Transaction, traditional securitisation and synthetic securitisation are provided in points (11) to (14) of Article 242 CRR. 0051 ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? Institutions as originators, sponsors and original lenders shall report one of the following abbreviations: This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 CRR shall not affect the accounting treatment of the transaction under the relevant accounting framework. In the case of securitisations of liabilities, originators shall not report this column. Option P (partially removed) shall be reported where the securitised assets are recognised in the balance sheet to the extent of the reporting entity’s continuing involvement in accordance with IFRS 9.3.2.16 – 3.2.21. 0060 SOLVENCY TREATMENT: SECURITISATION POSITIONS SUBJECT TO OWN FUNDS REQUIREMENTS? Articles 109, 244 and 245 CRR Originators, only, shall report the following abbreviations: This column shall summarise the solvency treatment of the securitisation scheme by the originator. It shall indicate whether own funds requirements are calculated on the basis of securitised exposures or securitisation positions (banking book/trading book). Where own funds requirements are based on securitised exposures (as no significant risk transfer was achieved) the calculation of own funds requirements for credit risk shall be reported in the CR SA template, for those securitised exposures for which the Standardised Approach is used, or in the CR IRB template for those securitised exposures for which the Internal Ratings Based Approach is used by the institution. Conversely, where own funds requirements are based on securitisation positions held in the banking book (as a significant risk transfer was achieved), the information on the calculation of own funds requirements for credit risk shall be reported in the CR SEC template. In case of securitisation positions held in the trading book, the information on the calculation of own funds requirements for market risk shall be reported in the MKR SA TDI (standardised general position risk) and in the MKR SA SEC or MKR SA CTP (standardised specific position risk) or in the MKR IM (internal models) templates. In the case of the securitisations of liabilities, originators shall not report this column. 0061 SIGNIFICANT RISK TRANSFER Originators, only, shall report the following abbreviations: This column shall summariss whether a significant transfer has been achieved and, if so, by which means. The achievement of SRT will determine the appropriate solvency treatment by the originator. 0070 SECURITISATION OR RE-SECURITISATION? In accordance with the definition of securitisation in point (61) of Article 4(1) CRR and the definition of re-securitisation in point (63) of Article 4(1) CRR, the type of securitisation using the following abbreviations shall be reported: 0075 STS SECURITISATION Article 18 of Regulation (EU) 2017/2402 Institutions shall report one of the following abbreviations: Y – Yes; N – No. 0446 SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Articles 243 and 270 CRR Institutions shall report one of the following abbreviations: Y – Yes; N – No. Yes shall be reported both in case of STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 CRR and in case of senior positions in (non-STS) SME securitisations eligible for this treatment in accordance with Article 270 CRR. 0080-0100 RETENTION Article 6 of the Regulation (EU) 2017/2402;in case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 CRR in the version of that Regulation applicable on 31 December 2018. 0080 TYPE OF RETENTION APPLIED For each securitisation scheme originated, the relevant type of retention of net economic interest as envisaged in Article 6 of Regulation (EU) 2017/2402 shall be reported: A – Vertical slice (securitisation positions): retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors; V – Vertical slice (securitised exposures): retention of no less than 5 % of the credit risk of each of the securitised exposures, if the credit risk thus retained with respect to such securitised exposures always ranks pari passu with, or is subordinated to, the credit risk that has been securitised with respect to those same exposures; B – Revolving exposures: in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures; C- On-balance sheet: retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination; D- First loss: retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised exposures; E – Exempted. This code shall be reported for those securitisations affected by the application of Article 6(6) of Regulation (EU) 2017/2402; U – In breach or unknown. This code shall be reported where the reporting institution does not know with certainty which type of retention is being applied, or in case of non-compliance. 0090 % OF RETENTION AT REPORTING DATE The retention of material net economic interest by the originator, sponsor or original lender of the securitisation shall be not less than 5 % (at origination date). This column shall not be reported where codes E (exempted) or N (not applicable) are reported under column 0080 (Type of retention applied). 0100 COMPLIANCE WITH THE RETENTION REQUIREMENT? Institutions shall report the following abbreviations: Y - Yes; N - No. This column shall not be reported where code E (exempted) is reported under column 0080 (Type of retention applied). 0120-0130 NON ABCP PROGRAMMES Because of the special character of ABCP programmes resulting from the fact that they comprise several single securitisation positions, ABCP programmes (as defined in Article 242(11) CRR) shall be exempted from reporting in columns 0120, 0121 and 0130. 0120 ORIGINATION DATE (yyyy-mm-dd) The month and year of the origination date (i.e. cut-off or closing date of the pool) of the securitisation shall be reported in the following format: mm/yyyy. For each securitisation scheme, the origination date cannot change between reporting dates. In the particular case of securitisation schemes backed by open pools, the origination date shall be the date of the first issuance of securities. This piece of information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0121 DATE OF LATEST ISSUANCE (yyyy-mm-dd) The month and year of the date of the latest issuance of securities in the securitisation shall be reported in the following format: yyyy-mm-dd. Regulation (EU) 2017/2402 only applies to securitisations the securities of which are issued on or after 1 January 2019. The date of the latest issuance of securities determines whether each securitisation scheme falls under the scope of Regulation (EU) 2017/2402. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0130 TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE This column gathers the amount (calculated on the basis of original exposures pre-conversion factors) of the securitised portfolio at the origination date. For securitisation schemes backed by open pools, the amount referring to the origination date of the first issuance of securities shall be reported. For traditional securitisations, no other assets of the securitisation pool shall be included. For multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. For securitisations of liabilities, only the amounts issued by the reporting entity shall be reported. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0140-0225 SECURITISED EXPOSURES Columns 0140 to 0225 request information on several features of the securitised portfolio by the reporting entity. 0140 TOTAL AMOUNT Institutions shall report the value of the securitised portfolio at reporting date, i.e. the outstanding amount of the securitised exposures. In the case of traditional securitisations, no other assets of the securitisation pool shall be included. In the case of multi-seller securitisation schemes (i.e. with more than one originator), only the amount corresponding to the reporting entity’s contribution in the securitised portfolio shall be reported. In the case of securitisation schemes backed by closed pools (i.e. the portfolio of securitised assets cannot be enlarged after the origination date), the amount will progressively be reduced. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0150 INSTITUTION’S SHARE (%) Institution’s share (percentage with two decimals) at reporting date in the securitised portfolio. The figure to be reported in this column is, by default, 100 %, except for multi-seller securitisation schemes. In that case, the reporting entity shall report its current contribution to the securitised portfolio (equivalent to column 0140 in relative terms). This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0160 TYPE This column gathers information on the type of assets (Residential mortgages to Other wholesale exposures) or liabilities (Covered bonds and Other liabilities) of the securitised portfolio. The institution shall report one of the following options, considering the highest EAD: Retail: Residential mortgages; Credit card receivables; Consumer loans; Loans to SMEs (treated as retail); Other retail exposures. Wholesale: Commercial mortgages; Leasing; Loans to corporates; Loans to SMEs (treated as corporates); Trade receivables; Other wholesale exposures. Liabilites: Covered bonds; Other liabilities. Where the pool of securitised exposures is a mix of the types listed above, the institution shall indicate the most important type. In case of re-securitisations, the institution shall refer to the ultimate underlying pool of assets. Type Other liabilities includes treasury bonds and credit linked notes. For securitisation schemes backed by closed pools the type cannot change between reporting dates. 0171 % OF IRB IN APPROACH APPLIED This column gathers information on the approach(es) that at the reporting date the institution would apply to the securitised exposures. Institutions shall report the percentage of the securitised exposures, measured by exposure value, to which the Internal Ratings Based Approach applies at the reporting date. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. This column shall, however, not apply to securitisations of liabilities. 0180 NUMBER OF EXPOSURES Article 259(4) CRR This column shall be compulsory for those institutions using the SEC-IRBA approach to the securitisation positions (and, therefore, reporting more than 95 % in column 171). The institution shall report the effective number of exposures. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). This column shall not be reported where the reporting institution does not hold any positions in the securitisation. This column shall not be reported by investors. 0181 EXPOSURES IN DEFAULT W (%) Article 261(2) CRR Even where the institution is not applying the SEC-SA approach to the securitisation positions, the institution shall report the W factor (relating to the underlying exposures in default) which is to be calculated as indicated in Article 261(2) CRR. 0190 COUNTRY Institutions shall report the code (ISO 3166-1 alpha-2) of the country of origin of the ultimate underlying of the transaction, i.e. the country of the immediate obligor of the original securitised exposures (look through). Where the pool of the securitisation consists of different countries, the institution shall indicate the most important country. Where no country exceeds a 20 % threshold based on the amount of assets/liabilities, then other countries shall be reported. 0201 LGD (%) The exposure-weighted average loss-given-default (LGD) shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The LGD is to be calculated as indicated in Article 259(5) CRR. This column shall not be reported in case of a securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). 0202 EL (%) The exposure-weighted average expected loss (EL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0171). In the case of SA securitised assets, the EL reported shall be the specific credit risk adjustments as referred to in Article 111 CRR. The EL shall be calculated as indicated in Section 3, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in case of a securitisation of assets). 0203 UL (%) The exposure-weighted average unexpected loss (UL) of the securitised assets shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 0170). The UL of assets equals the risk-weighted exposure amount (RWEA) times 8 %. RWEA shall be calculated as indicated in Section 2, Chapter 3 of Title II, Part Three CRR. This column shall not be reported in case of securitisation of liabilities or where the own funds requirements are based on the securitised exposures (in the case of a securitisation of assets). 0204 EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS The exposure-weighted average maturity (WAM) of the securitised assets at the reporting date shall be reported by all institutions regardless of the approach used for calculating capital requirements. Institutions shall calculate the maturity of each asset in accordance with points (a) and (f) of Article 162(2) CRR, without applying the 5 year cap. 0210 (-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 CRR) for credit losses made in accordance with the accounting framework to which the reporting entity is subject. Value adjustments shall include any amount recognised in profit or loss for credit losses of financial assets since their initial recognition in the balance sheet (including losses due to credit risk of financial assets measured at fair value that shall not be deducted from the exposure value) plus the discounts on assets purchased when in default as referred to in Article 166(1) CRR. Provisions shall include accumulated amounts of credit losses in off-balance sheet items. This column gathers information on the value adjustments and provisions applied to the securitised exposures. This column shall not be reported in the case of a securitisation of liabilities. This information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0221 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) KIRB This column shall only be reported by those institutions applying the SEC-IRBA (and, therefore, reporting 95 % or more in column 171) and gathers information on KIRB, as referred to in Article 255 CRR. KIRB shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0222 % OF RETAIL EXPOSURES IN IRB POOLS IRB pools as defined in Article 242(7) CRR, provided that the institution is able to calculate KIRB in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR on a minimum of 95 % of the underlying exposure amount (Article 259(2) CRR) 0223 OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa Even where the institution does not apply the SEC-SA approach to the securitisation positions, the institution shall report this column. This column gathers information on KSA, as referred to in Article 255(6) CRR. KSA shall be expressed as a percentage (with two decimals). This column shall not be reported in case of a securitisation of liabilities. In case of a securitisation of assets, this information shall be reported even where the reporting entity does not hold any positions in the securitisation. 0225 MEMORANDUM ITEMS 0225 CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD Article 110 CRR 0230-0304 SECURITISATION STRUCTURE This block of columns gathers information on the structure of the securitisation on the basis of on/off balance sheet positions, tranches (senior/mezzanine/first loss) and maturity at reporting date. For multi-seller securitisations, only the amount corresponding or attributed to the reporting institution shall be reported. 0230-0252 ON-BALANCE SHEET ITEMS This block of columns gathers information on on-balance sheet items broken down by tranches (senior/mezzanine/first loss). 0230-0232 SENIOR 0230 AMOUNT The amount of senior securitisation positions as defined in Article 242(6) CRR. 0231 ATTACHMENT POINT (%) The attachment point (%) as referred to in Article 256(1) CRR 0232 and 0252 CQS Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Table 1 and 2 in Article 263 and Tables 3 and 4 in Article 264 CRR). These columns shall be reported for all rated transactions irrespective of the approach applied. 0240-0242 MEZZANINE 0240 AMOUNT The amount to be reported includes: 0241 NUMBER OF TRANCHES Number of mezzanine tranches. 0242 CQS OF THE MOST SUBORDINATED ONE CQS, as determined in accordance with Table 2 of Article 263 and Table 3 of Article 264 CRR, of the most subordinated mezzanine tranche. 0250-0252 FIRST LOSS 0250 AMOUNT The amount of first loss tranche as defined in Article 242(17) CRR 0251 DETACHMENT POINT (%) The detachment point (%) as referred to in Article 256(2) CRR 0260-0280 OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives broken down by tranches (senior/mezzanine/first loss). The same criteria of classification among tranches used for on-balance sheet items shall be applied here. 0290-0300 MATURITY 0290 FIRST FORESEEABLE TERMINATION DATE The likely termination date of the whole securitisation in the light of its contractual clauses and the currently expected financial conditions. Generally, it would be the earliest of the following dates: The day, month and year of the first expected termination date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported. 0291 ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION Type of call relevant for the first expected termination date: 0300 LEGAL FINAL MATURITY DATE The date upon which all principal and interest of the securitisation must be legally repaid (based on the transaction documentation). The day, month and year of the legal final maturity date shall be reported. The exact day shall be reported where that information is available, otherwise the first day of the month shall be reported. 0302-0304 MEMORANDUM ITEMS 0302 ATTACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the attachment point of the most subordinated tranche sold to, for traditional securitisations, or protected by, for synthetic securitisations, third parties. 0303 DETACHMENT POINT OF RISK SOLD (%) Originators, only, shall report the detachment point of the most senior tranche sold to, fortraditional securitisations, or protected by, for synthetic securitisations, third parties. 0304 RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) Originators, only, shall report the Expected Loss (EL) plus the Unexpected loss (UL) of the securitised assets transferred to third parties as a percentage of the total EL plus UL. The EL and UL of the underlying exposures shall be reported, which shall then be allocated via the securitisation waterfall to the respective tranches of the securitisation. For SA banks, EL shall be the specific credit risk adjustment of the securitised assets and the UL shall be the capital requirement of the securitised exposures.

PRI for Private;

INT for Intra-group;

PUB for Public.

O for Originator;

S for Sponsor;

I for Investor.

L for Original Lender.

AP for ABCP programme;

AT for ABCP transaction;

T for Traditional;

S for Synthetic.

K if entirely recognised;

P if partially derecognised;

R if entirely derecognised;

N if not applicable.

N not subject to own funds requirements;

B banking book;

T trading book;

A partly in both books.

N Not applied for SRT and the reporting entity risk weights its securitised exposures;

A Achieved SRT under point (a) of Article 244(2) or point (a) of Article 245(2) CRR;

B Achieved SRT under point (b) of Article 244(2) or point (b) of Article 245(2) CRR;

C Achieved SRT under point (a) of Article 244(3) or point (a) of Article 245(3) CRR;

D Applying a 1250 % RW or deducting retained positions in accordance with point (b) of Article 244(1) or point (b) of Article 245(1) CRR.

S for securitisation;

R for re-securitisation.

mezzanine securitisation positions as defined in Article 242(18) CRR;

additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) CRR.

3.8.3

(i) the date when a clean-up call option (as defined in Article 242(1) CRR) might first be exercised, taking into account the maturity of the underlying exposure(s) as well as their expected pre-payment rate or potential re-negotiation activities;

(ii) the date on which the originator may first exercise any other call option embedded in the contractual clauses of the securitisation which would result in the total redemption of the securitisation.

Clean-up call option meeting the requirements of point (g) of Article 244(4) CRR;

Other clean-up call option;

Other type of call option.

3.8.4.118. C 14.01 – Detailed information on securitisations (SEC DETAILS 2) The template SEC DETAILS 2 shall be reported separately for the following approaches: Columns 0010 INTERNAL CODE Internal (alpha-numerical) code used by the institution to identify the securitisation. The internal code shall be associated to the identifier of the securitisation transaction. 0020 IDENTIFIER OF THE SECURITISATION (Code/Name) Code used for the legal registration of the securitisation position, or transaction in case of several positions that can be reported in the same row, or, if not available, the name by which the securitisation position or transaction is known in the market, or within the institution in the case of an internal or private securitisation. Where the International Securities Identification Number -ISIN- is available (i.e. for public transactions), the characters that are common to all tranches of the securitisation shall be reported in this column. 0310-0400 SECURITISATION POSITIONS: ORIGINAL EXPOSURE PRE-CONVERSION FACTORS This block of columns gathers information on the securitisation positions broken down by on/off balance sheet positions and the tranches (senior/mezzanine/first loss) at reporting date. 0310-0330 ON-BALANCE SHEET ITEMS The same criteria of classification among tranches used for columns 0230, 0240 and 0250 shall be applied here. 0340-0361 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 0260 to 0280 shall be applied here. 0351 and 0361 RW CORRESPONDING TO PROTECTION PROVIDER/INSTRUMENT % RW of the eligible guarantor or % RW of the corresponding instrument that provides credit protection in accordance with Article 249 CRR. 0370-0400 MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE-CONVERSION FACTORS This block of columns gathers additional information on the total off-balance sheet items and derivatives (which are already reported under a different breakdown in columns 0340-0361). 0370 DIRECT CREDIT SUBSTITUTES (DCS) This column applies to those securitisation positions held by the originator and guaranteed with direct credit substitutes (DCS). In accordance with Annex I to CRR, the following full risk off-balance sheet items shall be regarded as DCS: 0380 IRS/CRS IRS stands for Interest Rate Swaps, whereas CRS stands for Currency Rate Swaps. Those derivatives are listed in Annex II to the CRR. 0390 LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) CRR. 0400 OTHER Remaining off-balance sheet items. 0411 EXPOSURE VALUE This information is closely related to column 0180 in the CR SEC template. 0420 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS This information is closely related to column 0190 in the CR SEC template. A negative figure shall be reported in this column. 0430 TOTAL RISK WEIGHTED EXPOSURE AMOUNT BEFORE CAP This column gathers information on the risk weighted exposure amount before cap applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. risk weighted exposure amount determined on the basis of securitised exposures), no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0570 of MKR SA SEC, or columns 0410 and 0420 (the relevant for the own funds requirement) of MKR SA CTP, respectively. 0431 (-) REDUCTION DUE TO RISK WEIGHT CAP Article 267 CRR 0432 (-) REDUCTION DUE TO OVERALL CAP Article 268 CRR 0440 TOTAL RISK WEIGHTED EXPOSURE AMOUNT AFTER CAP This column gathers information on the risk weighted exposure amount after caps applicable to the securitisation positions (i.e. for securitisation schemes with significant risk transfer). For securitisation schemes without significant risk transfer (i.e. own funds requirements determined on the basis of securitised exposures) no data shall be reported in this column. In the case of securitisations of liabilities, this column shall not be reported. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0600 of MKR SA SEC, or column 0450 of MKR SA CTP, respectively. 0447-0448 MEMORANDUM ITEMS 0447 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA Articles 263 and 264 CRR. This column shall only be reported for rated transactions before cap and it shall not be reported for transactions under SEC-ERBA. 0448 RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA Articles 261 and 262 CRR. This column shall be reported before cap and it shall not be reported for transactions under SEC-SA. 0450-0470 SECURITISATION POSITIONS – TRADING BOOK 0450 CTP OR NON-CTP? Institutions shall report the following abbreviations: C – Correlation Trading Portfolio (CTP); N – Non-CTP 0460-0470 NET POSITIONS – LONG/SHORT See columns 0050/0060 of MKR SA SEC or MKR SA CTP, respectively.

3.8.4.118.

1) SEC-IRBA;

2) SEC-SA;

3) SEC-ERBA;

4) 1250 %.

Guarantees having the character of credit substitutes.

Irrevocable standby letters of credit having the character of credit substitutes.

3.9. COUNTERPARTY CREDIT RISK

3.9.

3.9.1.119.120.121.

Scope of the counterparty credit risk templates The counterparty credit risk templates cover information on exposures subject to counterparty credit risk in application of Chapters 4 and 6 of Title II of Part Three CRR. The templates exclude the own funds requirements for CVA risk (point (d) of Article 92(3) and Title VI of Part Three CRR), which are reported in the CVA risk template. Counterparty credit risk exposures to central counterparties (Chapter 4 and Section 9 of Chapter 6 of Title II of Part Three CRR) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 CRR shall not be reported in the counterparty credit risk templates, with the exception of template C 34.10, in particular the corresponding rows. Generally, the risk weighted exposure amounts of default fund contributions are directly reported in template C 02.00 row 0460.

3.9.2. C 34.01 – Size of the derivative business

3.9.2.

3.9.2.1.122.123.

General remarks In accordance with Article 273a CRR an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than pre-defined thresholds, respectively. The corresponding assessment is to be carried out on a monthly basis using the data as of the last day of the month. This template provides the information on the compliance with those thresholds and, more generally, important information on the size of the derivative business. Month 1, Month 2 and Month 3 refer to the first, second and last month, respectively, of the quarter that is being reported. Information shall be reported only for month-ends after the 28 June 2021.

3.9.2.2. Instructions concerning specific positions Columns 0010,0040, 0070 LONG DERIVATIVE POSITIONS Article 273a(3) CRR The sum of the absolute market values of long derivative positions on the last date of the month shall be reported. 0020,0050, 0080 SHORT DERIVATIVE POSITIONS Article 273a(3) CRR The sum of the absolute market values of short derivative positions on the last date of the month shall be reported. 0030,0060, 0090 TOTAL Point (b) of Article 273a(3) CRR The sum of the absolute value of long derivative positions and the absolute value of short derivative positions. Rows 0010 Size of the derivative business Article 273a(3) CRR All on- and off-balance sheet derivatives shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures. 0020 On- and off-balance sheet derivatives Point (a) and (b) Article 273a(3) CRR The total market value of the on- and off-balance sheet derivative positions as of the last day of the month shall be reported. Where the market value of a position is not available on that date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on that date, institutions shall take the most recent of the market value or fair value for that position. 0030 (-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures Point (c) of Article 273a(3) CRR The total market value of the credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures. 0040 Total assets The total assets in accordance with the applicable accounting standards. For consolidated reporting the institution shall report the total assets following the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part One CRR. 0050 Percentage of total assets Ratio to be calculated taking the size of the derivative business (row 0010) divided by total assets (row 0040). DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) CRR 0060 Are the conditions of Article 273a(4) crr met, including the approval from the competent authority? Article 273a(4) CRR Institutions that exceed the thresholds to use a simplified approach for counterparty credit risk but which are still using one of them on the basis of Article 273a(4) CRR, shall indicate (with Yes/No) whether they meet all the conditions of that article. This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR. 0070 Method for calculating exposure values at consolidated level Article 273a(4) CRR The method for calculating the exposure values of derivative positions on consolidated basis which is also used on solo entity level in accordance with Article 273a(4) CRR: This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) CRR.

OEM: Original Exposure Method

Simplified SA-CCR: Simplified standardised approach for counterparty credit risk

3.9.3. C 34.02 – CCR exposures by approach

3.9.3.

3.9.3.1.124. General remarks Institutions shall report the template separately for all CCR exposures and for all CCR exposures excluding exposures to central counterparties (CCPs) as defined for the purpose of template C 34.10.

3.9.3.2. Instructions concerning specific positions Columns 0010 NUMBER OF COUNTERPARTIES Number of individual counterparties towards which the institution has CCR exposures. 0020 NUMBER OF TRANSACTIONS Number of transactions subject to counterparty credit risk at the reporting date. Note that for CCP business numbers should not comprise in or outflows but the overall positions in the CCR portfolio at the reporting date. Furthermore, a derivative instrument or SFT that is split into two or more legs (at least) for the sake of modelling shall still be considered as one single transaction. 0030 NOTIONAL AMOUNTS Sum of the notional amounts for derivatives and for SFTs before any netting and without any adjustments in accordance with Article 279b CRR. 0040 CURRENT MARKET VALUE (CMV), POSITIVE Article 272(12) CRR Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) CRR. 0050 CURRENT MARKET VALUE (CMV), NEGATIVE Article 272(12) CRR Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) CRR. 0060 VARIATION MARGIN (VM), RECEIVED Article 275(2), 275(3) and 276 CRR Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 CRR. 0070 VARIATION MARGIN (VM), POSTED Article 275(2), 275(3) and 276 CRR Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 CRR. 0080 NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED Article 272(12a), 275(3) and 276 CRR Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is received, computed in accordance with Article 276 CRR. 0090 NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED Article 272(12a), 275(3) and 276 CRR Sum of the net independent collateral amounts (NICA) of all the margin agreements for which the NICA is posted, computed in accordance with Article 276 CRR. 0100 REPLACEMENT COST (RC) Articles 275, 281 and 282 CRR The replacement cost (RC) per netting set shall be calculated in accordance with: The institution shall report the sum of the replacement costs of the netting sets in the respective row. 0110 POTENTIAL FUTURE EXPOSURE (PFE) Articles 278, 281 and 282 CRR The potential future exposure (PFE) per netting set shall be calculated in accordance with: The institution shall report the sum of all potential future exposures of the netting sets in the respective row. 0120 CURRENT EXPOSURE Article 272(17) CRR The current exposure per netting set shall be the value as defined under Article 272(17) CRR. The institution shall report the sum of all current exposures of the netting sets in the respective row. 0130 EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE) Articles 272(22) and 284(3) and 284(6) CRR The EEPE per netting set is defined in Article 272(22) CRR and shall be calculated in accordance with Article 284(6) CRR. The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement. 0140 ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE Articles 274(2), 282(2), 281(1), 284(4) and (9) CRR The value of α is fixed as 1.4 in the rows for OEM, Simplified SA-CCR and SA-CCR in accordance with Articles 282(2), 281(1) and 274(2) CRR. For IMM purposes, the value of α can either be the default of 1.4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) CRR. 0150 EXPOSURE VALUE PRE-CRM The exposure value pre-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. margin collateral). In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted. Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply. The exposure value pre-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The institution shall report the sum of all exposure values pre-CRM in the respective row. 0160 EXPOSURE VALUE POST-CRM The exposure value post-CRM for CCR netting sets shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR. The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The institution shall report the sum of all exposure values post-CRM in the respective row. 0170 EXPOSURE VALUE Exposure value for CCR netting sets calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. The institution shall report the sum of all exposure values in the respective row. 0180 Positions treated with the CR Standardised Approach Exposure value for CCR of positions that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR. 0190 Positions treated with the CR IRB Approach Exposure value for CCR of positions that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR. 0200 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) CRR, calculated in accordance with the methods laid down in Chapters 2 and 3 of Title II of Part Three. The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a CRR shall be taken into account. 0210 Positions treated with the CR Standardised Approach Risk weighted exposure amounts for CCR exposures that are treated with the standardised approach for credit risk in accordance with Chapter 2 of Title II of Part Three CRR. The amount corresponds to the amount that shall be included in column 0220 of template C 07.00 for CCR positions. 0220 Positions treated with the CR IRB Approach Risk weighted exposure amounts for CCR exposures that are treated with the IRB approach for credit risk in accordance with Chapter 3 of Title II of Part Three CRR. The amount corresponds to the amount that shall be included in column 0260 of template C 08.01 for CCR positions. Row 0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES) Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 5 of Chapter 6 of Title II of Part Three CRR. This simplified method for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(2) or 273a(4) CRR. 0020 SIMPLIFIED STANDARDISED APPROACH FOR CCR (SIMPLIFIED SA-CCR FOR DERIVATIVES) Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 4 Chapter 6 of Title II of Part Three CRR. This simplified standardised approach for calculating the exposure value can only be used by institutions meeting the conditions laid down in Article 273a(1) or 273a(4) CRR. 0030 STANDARDISED APPROACH FOR CCR (SA-CCR FOR DERIVATIVES) Derivatives and long settlement transactions for which the institution calculates the exposure value in accordance with Section 3 Chapter 6 of Title II of Part Three CRR. 0040 IMM (FOR DERIVATIVES AND SFTS) Derivatives, long settlement transactions and SFTs for which the institution has been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR. 0050 Securities financing transactions netting sets Netting sets containing only SFTs as defined in Article 4(139) CRR, for which the institution has been permitted to determine the exposure value using the IMM. SFTs that are included in a contractual cross product netting set and therefore reported in row 0070, shall not be reported in this row. 0060 Derivatives and long settlement transactions netting sets Netting sets containing only derivative instruments listed in Annex II CRR and long settlement transactions as defined in Article 272(2) CRR, for which the institution has been permitted to determine the exposure value using the IMM. Derivatives and Long Settlement Transactions that are included in a contractual Cross Product Netting set and therefore reported in row 0070, shall not be reported in this row. 0070 From contractual cross-product netting sets Article 272(11) and (25) CRR Netting sets containing transactions of different product categories (Article 272(11) CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) CRR exists and for which the institution has been permitted to determine the exposure value using the IMM. 0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS) Article 222 CRR Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 222 CRR as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation. 0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS) Article 220 and 223 CRR Repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions for which the institution has chosen to determine the exposure value in accordance with Article 223 CRR, as opposed to Chapter 6 of Title II of Part Three CRR in accordance with Article 271(2) of the same regulation. 0100 VAR FOR SFTS Article 221 CRR Repurchase transactions, securities or commodities lending or borrowing transactions or margin lending transactions, or other capital market-driven transactions other than derivative transactions for which, in accordance with Article 221 CRR and subject to the permission of the competent authority, the exposure value is calculated using an internal model approach that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned. 0110 TOTAL 0120 Of which: SWWR positions Article 291 CRR CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 CRR. 0130 Margined business Article 272(7) CRR CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) CRR. 0140 Unmargined business CCR exposures not covered in 0130.

Article 282(3) CRR for the Original Exposure Method,

Article 281 CRR for the Simplified SA-CCR,

Article 275 CRR for the SA-CCR.

Article 282(4) CRR for the Original Exposure Method,

Article 281 CRR for the Simplified SA-CCR,

Article 278 CRR for the SA-CCR.

3.9.4. C 34.03 – CCR exposures treated with standardised approaches: SA-CCR and Simplified SA-CCR

3.9.4.

3.9.4.1.125. General remarks The template shall be used separately for reporting the CCR exposures calculated with the SA-CCR or the Simplified SA-CCR, as applicable.

3.9.4.2. Instructions concerning specific positions Columns 0010 CURRENCY For transactions mapped to the interest rate risk category, the currency of denomination of the transaction shall be reported. For transactions mapped to the foreign exchange risk category, the currency of denomination of one of the two legs of the transaction shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with EUR and column 0020 with USD. Currency ISO codes shall be used. 0020 SECOND CURRENCY IN PAIR For transactions mapped to the foreign exchange risk category, the currency of denomination of the other leg of the transaction (with respect to the one considered in column 0010) shall be reported. Institutions shall insert the currencies in the currency pair in alphabetical order, e.g. for US Dollar/Euro please fill this column with USD and column 0010 with EUR. Currency ISO codes shall be used. 0030 NUMBER OF TRANSACTIONS See instructions to column 0020 in template C 34.02. 0040 NOTIONAL AMOUNTS See instructions to column 0030 in template C 34.02. 0050 CURRENT MARKET VALUE (CMV), POSITIVE Sum of the current market values (CMV) of all hedging sets with positive CMV in the respective risk category. The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. 0060 CURRENT MARKET VALUE (CMV), NEGATIVE Sum of the absolute current market values (CMV) of all hedging sets with negative CMV in the respective risk category. The CMV on hedging set level shall be determined by netting positive and negative market values of the transactions within one hedging set gross of any collateral held or posted. 0070 ADD-ON Article 280a to 280f and 281 (2) CRR The institution shall report the sum of all the add-ons in the respective hedging set/risk category. The add-on per risk category that is used to determine the potential future exposure of a netting set in accordance with Article 278(1) or point (f) of Article 281(2) CRR shall be calculated in accordance with Articles 280a to 280f CRR. For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply. Rows 0050,0120, 0190, 0230, 0270, 0340 RISK CATEGORIES Article 277 and 277a CRR Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) CRR. The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a CRR. For the Simplified SA-CCR the provisions set out in Article 281(2) CRR apply. 0020-0040 Of which mapped to more than one risk category Article 277(3) CRR Derivative transactions with more than one material risk driver mapped to two (0020), three (0030) or more than three (0040) risk categories on the basis of the most material of the risk drivers in each risk category, in accordance with Article 277(3) CRR and the EBA RTS referred to in Article 277(5) CRR. 0070-0110 and 0140-0180 Largest currency and currency pair This classification shall be done on the basis of the CMV of the institution’s portfolio under the scope of the SA-CCR or the Simplified SA-CCR, as applicable, for transactions mapped to interest rate risk and foreign exchange risk category, respectively. For the purpose of the classification, the absolute value of the CMV of positions shall be summed. 0060,0130, 0200,0240, 0280 Exclusive mapping Article 277(1) and (2) CRR Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) CRR. Transactions that are mapped to different risk categories in accordance with Article 277(3) CRR shall be excluded. 0210, 0250 Single-name transactions Single-name transactions that are mapped to the credit risk and equity risk category, respectively. 0220, 0260 Multi-names transactions Multi-name transactions that are mapped to the credit risk and equity risk category, respectively. 0290-0330 Commodity risk category hedging sets Derivative transactions assigned to the commodity risk category hedging sets as listed in point (e) Article 277a(1) CRR.

3.9.5. C 34.04 – CCR exposures treated with the Original Exposure Method (OEM)

3.9.5.

3.9.5.1. Instructions concerning specific positions Columns 0010 – 0020 Instructions for the columns 0010 and 0020 shall be those provided for template C 34.02. 0030 CURRENT MARKET VALUE (CMV), POSITIVE Sum of the current market values (CMV) of all transactions with positive CMV in the respective risk category. 0040 CURRENT MARKET VALUE (CMV), NEGATIVE Sum of the absolute current market values (CMV) of all transactions with negative CMV in the respective risk category. 0050 POTENTIAL FUTURE EXPOSURE (PFE) The institution shall report the sum of PFEs for all the transactions belonging to the same risk category. Rows 0020 – 0070 RISK CATEGORIES Derivative transactions mapped to the risk categories as listed in point (b) of Article 282(4) CRR

3.9.6. C 34.05 – CCR exposures treated with the Internal Model Method (IMM)

3.9.6.

3.9.6.1. Instructions concerning specific positions Columns 00010 – 0080 MARGINED See instructions to row 0130 in template C 34.02. 0090 – 0160 UNMARGINED See instructions to row 0140 in template C 34.02. 0010,0090 NUMBER OF TRANSACTIONS See instructions to column 0020 in template C 34.02. 0020,0100 NOTIONAL AMOUNTS See instructions to column 0030 in template C 34.02. 0030,0110 CURRENT MARKET VALUE (CMV), POSITIVE Sum of the current market values (CMV) of all transactions with positive CMV belonging to the same asset class. 0040,0120 CURRENT MARKET VALUE (CMV), NEGATIVE Sum of the absolute current market values (CMV) of all transactions with negative CMV belonging to the same asset class. 0050,0130 CURRENT EXPOSURE See instructions to column 0120 in template C 34.02. 0060,0140 EFFECTIVE EXPECTED POSITIVE EXPOSURE (EEPE) See instructions to column 0130 in template C 34.02. 0070,0150 STRESS EEPE Article 284(6) and Article 292(2) CRR The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) CRR), but using a stress calibration in accordance with Article 292(2) CRR. 0080, 0160,0170 EXPOSURE VALUE See instructions to column 0170 in template C 34.02. Row Explanation 0010 TOTAL Article 283 CRR The institution shall report the relevant information regarding derivatives, long settlement transactions and SFTs for which it has been permitted to determine the exposure value calculated using the Internal Model Method (IMM) in accordance with Article 283 CRR. 0020 Of which: SWWR positions See instructions to row 0120 in C 34.02. 0030 Netting sets treated with the CR Standardised Approach See instructions to column 0180 in C 34.02. 0040 Netting sets treated with the CR IRB Approach See instructions to column 0190 in C 34.02. 0050 – 0110 OTC DERIVATIVES The institution shall report the relevant information regarding netting sets containing only OTC derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other). 0120 – 0180 EXCHANGE TRADED DERIVATIVES The institution shall report the relevant information regarding netting sets containing only exchange traded derivatives or long settlement transactions for which it has been permitted to determine the exposure value using the IMM broken down by the different asset classes with respect to the underlying (interest rate, foreign exchange, credit, equity, commodity or other). 0190 – 0220 SECURITIES FINANCING TRANSACTIONS The institution shall report the relevant information regarding netting sets containing only SFTs for which it has been permitted to determine the exposure value using the IMM broken down by the type of underlying in the SFT security leg (bond, equity or other). 0230 CONTRACTUAL CROSS-PRODUCT NETTING SETS See instructions to row 0070 in C 34.02.

3.9.7. C 34.06 – Top twenty counterparties

3.9.7.

3.9.7.1.126.127.

General remarks Institutions shall report information on the top 20 counterparties with whom they have the highest CCR exposures. The ranking shall be done using the CCR exposure values, as reported in column 0120 of this template, of all netting sets with the respective counterparties. Intra-group exposures or other exposures that give raise to counterparty credit risk but for which the institutions assign a risk weight of zero for the own funds requirements calculation, in accordance with Article 113(6) and 113(7) CRR, shall still be considered when determining the list of top 20 counterparties. Institutions applying the standardised approach (SA-CCR) or the Internal Model Method (IMM) for the calculation of CCR exposures following Sections 3 and 6 of Chapter 6 of Title II of Part Three CRR shall report this template on a quarterly basis. Institutions applying the simplified standardised approach or the original exposure method (OEM) for the calculation of CCR exposures following Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR shall report this template on a semi-annual basis. Instructions concerning specific positions.

3.9.7.2. Instructions concerning specific positions Columns 0011 NAME Name of the counterparty 0020 CODE The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a non-LEI code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. 0030 TYPE OF CODE The institution shall identify the type of code reported in column 0020 as a LEI code or National code. The type of code shall always be reported. 0035 NATIONAL CODE The institution may additionally report the national code when it reports LEI code as identifier in the Code column 0020. 0040 SECTOR OF THE COUNTERPARTY One sector shall be chosen for every counterparty on the basis of the following FINREP economic sector classes (see Part 3 Annex V to this Implementing Regulation): 0050 COUNTERPARTY TYPE The institution shall indicate the counterparty type which can be: 0060 RESIDENCY OF THE COUNTERPARTY The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the Eurostat’s Balance of Payments Vademecum, as amended). 0070 NUMBER OF TRANSACTIONS See instructions to column 0020 in template C 34.02. 0080 NOTIONAL AMOUNTS See instructions to column 0030 in template C 34.02. 0090 CURRENT MARKET VALUE (CMV), positive See instructions to column 0040 in template C 34.02. The institution shall report the sum of netting sets with positive CMV if there are several netting sets for the same counterparty. 0100 CURRENT MARKET VALUE (CMV), negative See instructions to column 0040 in template C 34.02. The institution shall report the absolute sum of netting sets with negative CMV if there are several netting sets for the same counterparty. 0110 EXPOSURE VALUE POST-CRM See instructions to column 0160 in template C 34.02. The institution shall report the sum of netting set exposure values post-CRM if there are several netting sets for the same counterparty. 0120 EXPOSURE VALUE See instructions to column 0170 in template C 34.02. 0130 RISK WEIGHTED EXPOSURE AMOUNTS See instructions to column 0200 in template C 34.02.

3.9.7.2.

(i) Central Banks;

(ii) General Governments;

(iii) Credit institutions;

(iv) Investment firms as defined in point (2) of Article 4(1) CRR;

(v) Other financial corporations (excluding investment firms);

(vi) Non-financial corporations.

QCCP: when the counterparty is a qualified CCP;

NON-QCCP: when the counterparty is a non-qualified CCP;

No CCP: when the counterparty is not a CCP.

3.9.8. C 34.07 – IRB approach – CCR exposures by exposure class and PD scale

3.9.8.

3.9.8.1.128.129.130.

General remarks This template shall be reported by institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR. The template shall be reported separately for the total of all exposure classes as well as separately for each of the exposure classes listed in Article 147 CRR. This template excludes exposures cleared through a CCP. In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class: NO = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) YES = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

3.9.8.2. Instructions concerning specific positions Columns 0010 Exposure value Exposure value (see instructions to column 0170 in template C 34.02), broken down by the given PD scale 0020 Exposure weighted average PD (%) Average of individual obligor grade PDs weighted by their corresponding exposure value as defined for column 0010 0030 Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with point (e) of Article 172(1) second sentence CRR. 0040 Exposure weighted average LGD (%) Average of obligor grade LGDs weighted by their corresponding exposure value as defined for column 0010 The LGD reported shall correspond to the final LGD estimate used in the calculation of risk weighted exposure amounts obtained after considering any CRM effects and downturn conditions as specified in Chapters 3 and 4 of Title II of Part Three CRR, where relevant. In particular, for institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* in accordance with Article 228(2) CRR. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161(4) CRR. For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The LGD reported shall correspond to the estimate of LGD in-default. 0050 Exposure weighted average maturity (years) Average of obligor maturities in years weighted by their corresponding exposure value as defined for column 0010 The maturity shall be determined in accordance with Article 162 CRR. 0060 Risk weighted exposure amounts Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapter 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account. 0070 Density of risk weighted exposure amounts Ratio of the total risk weighted exposure amounts (reported in column 0060) to the exposure value (reported in column 0010) Rows 0010 – 0170 PD scale CCR exposures (determined at counterparty level) shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to the existence of a guarantee or a credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

3.9.9. C 34.08 – Composition of collateral for CCR exposures

3.9.9.

3.9.9.1.131. General remarks This template shall be filled with fair values of collateral (posted or received) used in CCR exposures related to derivative transactions, long settlement transaction or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

3.9.9.2. Instructions concerning specific positions Columns 0010 – 0080 Collateral used in derivative transactions Institutions shall report the collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as defined in point (2) of Article 272 of the same regulation not qualifying as an SFT. 0090 – 0180 Collateral used in SFTs Institutions shall report the collateral (including the initial margin and variation margin collateral as well as the collateral appearing as security in the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative. 0010, 0020, 0050, 0060, 0090, 0100, 0140, 0150 Segregated Article 300(1) CRR Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into collateral appearing in the form of initial or variation margin. 0030, 0040, 0070, 0080, 0110, 0120, 0130, 0160, 0170, 0180 Unsegregated Article 300(1) CRR Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR, further broken down into initial margin, variation margin and the SFT security. 0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160 Initial margin Point (140) of Article 4(1) CRR Institutions shall report the fair values of collateral received or posted as initial margin (defined in point (140) of Article 4(1) CRR). 0020, 0040, 0060, 0080, 0100, 0120, 0150, 0170 Variation margin Institutions shall report the fair values of collateral received or posted as variation margin. 0130, 0180 SFT security Institutions shall report the fair values of collateral appearing as security in SFTs (e.g. the security leg of the SFT that has been received for column 0130, or posted for column 0180). Rows 0010 – 0080 Collateral type Breakdown by different collateral types

3.9.10. C 34.09 – Credit derivatives exposures

3.9.10.

3.9.10.1. Instructions concerning specific positions Columns 0010-0040 CREDIT DERIVATIVE PROTECTION Credit derivative protection bought or sold 0010, 0020 NOTIONAL AMOUNTS Sum of the notional derivative amounts before any netting, broken down by product type 0030, 0040 FAIR VALUES Sum of fair values broken down by protection bough and protection sold Rows 0010 – 0050 Product type Breakdown of credit derivatives product types 0060 Total Sum of all product types 0070, 0080 Fair values Fair values broken down by product type as well as assets (positive fair values) and liabilities (negative fair values)

3.9.11. C 34.10 – Exposures to CCPs

3.9.11.

3.9.11.1.132.

General remarks Institutions shall report the information on exposures to CCPs, i.e. to contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

3.9.11.2. Instructions concerning specific positions Columns 0010 EXPOSURE VALUE Exposure value for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR calculated in accordance with the relevant methods laid down in that Chapter and in particular in its section 9 The exposure value reported shall be the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for in that article. An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR. 0020 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts determined in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 of that Regulation during the transitional period provided for by that Article Rows 0010-0100 Qualifying CCP (QCCP) A qualifying central counterparty or QCCP as defined in point (88) of Article 4(1) CRR 0070, 0080 0170, 0180 Initial margin See instructions for template C 34.08. For the purposes of this template, initial margin shall not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it shall be treated as a default fund exposure). 0090, 0190 Prefunded default fund contributions Articles 308 and 309 CRR; a default fund as defined in point (89) of Article 4(1) CRR; the contribution to the default fund of a CCP that is paid in by the institution 0100, 0200 Unfunded default fund contributions Articles 309 and 310 CRR; a default fund as defined in point (89) of Article 4(1) CRR Institutions shall report contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. 0070, 0170 Segregated See instructions for template C 34.08. 0080,0180 Unsegregated See instructions for template C 34.08.

3.9.12. C 34.11 – Risk weighted exposure amounts (RWEA) flow statements of CCR exposures under the IMM

3.9.12.

3.9.12.1.133.134.135.

General remarks Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall report this template with the flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations. Institutions that shall report this template with quarterly frequency shall fill in only column 0010. Institutions that shall report this template with annually frequency shall fill in only column 0020. This template excludes risk weighted exposure amounts for exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR).

3.9.12.2. Instructions concerning specific positions Columns 0010, 0020 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts, as defined in Article 92(3) and (4) CRR, for positions whose risk weights are estimated on the basis of the requirements laid down in Chapters 2 and 3 of Title II of Part Three CRR and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR The SME and infrastructure supporting factors laid down in Article 501 and Article 501a CRR shall be taken into account. Rows 0010 Risk weighted exposure amounts as at the end of the previous reporting period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous reporting period 0020 Asset size Risk weighted exposure amount changes (positive or negative) due to changes in book size and composition resulting from the usual business activity (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities 0030 Credit quality of counterparties Risk weighted exposure amount changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses. This row also includes potential Risk weighted exposure amount changes due to IRB models when the institution uses an IRB approach 0040 Model updates (IMM only) Risk weighted exposure amount changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses This row addresses only changes in the IMM model. 0050 Methodology and policy (IMM only) Risk weighted exposure amount changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM model) 0060 Acquisitions and disposals Risk weighted exposure amount changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities 0070 Foreign exchange movements Risk weighted exposure amount changes (positive or negative) due to changes arising from foreign currency translation movements 0080 Other This category shall be used to capture Risk weighted exposure amount changes (positive or negative) that cannot be attributed to the above categories. 0090 Risk weighted exposure amounts as at the end of the current reporting period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current reporting period

4. OPERATIONAL RISK TEMPLATES

4.

4.1. C 16.00 – OPERATIONAL RISK (OPR)

4.1.

4.1.1.136.137.138.139.140.141.

General Remarks This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 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 or ASA shall calculate their own funds requirement, based on the information at financial year-end. Where audited figures are not available, institutions may use business estimates. Where audited figures are used, institutions shall report the audited figures which are expected to 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. Where 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. The competent authority may also on its own initiative require an institution to modify the calculation. An institution that has been in operation for less than three years may use forward looking business estimates in calculating the relevant indicator, provided that it starts using historical data as soon as those data 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. Where applicable, it must be detailed which part of that amount is due to an allocation mechanism. Regarding AMA, memorandum items are added to present a detail of the effect of the expected loss, diversification and mitigation techniques on own funds requirement for operational risk. By rows, information is presented by method of calculation of the operational risk own funds requirement detailing business lines for TSA and ASA. This template shall be submitted by all institutions subject to operational risk own funds requirement.

4.1.2. Instructions concerning specific positions Columns 0010-0030 RELEVANT INDICATOR Institutions using the relevant indicator to calculate the own funds requirement for operational risk (BIA, TSA and ASA) shall report the relevant indicator for the respective years in columns 0010 to 0030. Moreover, in case of a combined use of different approaches as referred in Article 314 CRR, institutions shall also report, for information purposes, relevant the indicator for the activities subject to AMA. The same shall apply 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 referred to in point 1 in Table 1 of Article 316 CRR. Where 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 template. Where, for instance, historical data for only one year is available, those data shall be reported in column 0030. Where it seems reasonable, the forward looking estimates shall be included in column 0020 (estimate of next year) and column 0010 (estimate of year +2). Furthermore, where there are no historical data on relevant indicator available, the institution may use forward-looking business estimates. 0040-0060 LOANS AND ADVANCES (IN THE CASE OF ASA APPLICATION) These columns shall be used to report the amounts of the loans and advances, as referred to in point (b) of Article 319(1) CRR, for business lines commercial banking and retail banking. Those amounts shall be used to calculate the alternative relevant indicator that leads to the own funds requirements corresponding to the activities subject to the alternative standard approach (point (a) of Article 319(1) CRR). For the commercial banking business line, securities held in the non-trading book shall also be included. 0070 OWN FUND REQUIREMENT The own fund requirement shall be calculated in accordance with the approaches used and in accordance withArticles 312 to 324 CRR. The resulting amount shall be reported in column 0070. 0071 TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) CRR Own funds requirements in column 0070 multiplied by 12.5. 0080 OF WHICH: DUE TO AN ALLOCATION MECHANISM Where a permission to use the AMA at consolidated level (Article 18(1) CRR) has been granted in accordance with Article 312(2) CRR, operational risk capital shall be allocated between the different entities of the group on the basis of the methodology applied by the institutions to consider diversification effects in the risk measurement system used by a EU parent credit institution and its subsidiaries or jointly by the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company. The result of that allocation shall be reported in this column. 0090-0120 AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE 0090 OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES The own funds requirement reported in column 090 is the one of column 070 but calculated before taking into account the alleviation effects due to expected loss, diversification and risk mitigation techniques (see below). 0100 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES In column 100, the alleviation of own funds requirements due to expected loss captured in internal business practices (as referred to in point (a) of Article 322(2) CRR) shall reported. 0110 (-) ALLEVIATION OF OWN FUNDS REQUIREMENTS DUE TO DIVERSIFICATION The diversification effect reported in this column shall be the difference between the sum of own funds requirements calculated separately for each operational risk class (i.e. a perfect dependence situation) and the diversified own funds requirement calculated by taking into account correlations and dependencies (i.e. assuming less than perfect dependence between the risk classes). The perfect dependence situation occurs in the default case, that is where the institution does not use explicit correlations structure between the risk classes, hence the AMA capital is calculated as the sum of the individual operational risk measures of the chosen risk classes. In that case, the correlation between the risk classes is assumed to be 100 % and the value in the column has to be set to zero. Conversely, where the institution calculates an explicit correlations structure between risk classes, it has to include in this column the difference between the AMA capital as stemming from the default case and the AMA capital obtained after applying the correlations structure between the risk classes. The value reflects the diversification capacity of the AMA model, that is the ability of the model to capture the not simultaneous occurrence of severe operational risk loss events. In column 110, the amount by which the assumed correlation structure decreases the AMA capital relative to the assumption of 100 % correlation has to be reported. 0120 (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) The impact of insurance and other risk transfer mechanisms as referred to in Article 323 CRR shall be reported in this column. Rows 0010 BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirement for operational risk (Articles 315 and 316 CRR). 0020 BANKING ACTIVITIES SUBJECT TO STANDARISED (TSA)/ALTERNATIVE STANDARDISED (ASA) APPROACHES The own funds requirement calculated in accordance with the TSA and ASA (Articles 317, 318 and 319 CRR) shall be reported. 0030-0100 SUBJECT TO TSA Where the TSA is used, the relevant indicator for each respective year shall be distributed in rows 0030 to 0100 amongst the business lines referred to in Table 2 of Article 317 CRR. The mapping of activities into business lines shall follow the principles described in Article 318 CRR. 0110-0120 SUBJECT TO ASA Institutions using the ASA (Article 319 CRR) shall report for the respective years the relevant indicator separately for each business line in rows 0030 to 0050 and 0080 to 0100 and in rows 0110 and 0120 for business lines commercial banking and retail banking. Rows 110 and 120 shall present the amount of the relevant indicator of activities subject to ASA, distinguishing between the amount corresponding to the business line commercial banking and the amounts corresponding to the business line retail banking (Article 319 CRR). There can be amounts for the rows corresponding to commercial banking and retail banking under the TSA (rows 0060 and 0070) as well as under the ASA rows 0110 and 0120 (e.g. if a subsidiary is subject to TSA whereas the parent entity is subject to ASA). 0130 BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA The relevant data for AMA institutions (Article 312(2) and Articles 321, 322 and 323 CRR) shall be reported. Where different approaches are combined as indicated in Article 314 CRR, information on relevant indicator for activities subject to AMA shall be reported. The same shall apply for all other AMA banks.

4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)

4.2.

4.2.1.142.143.144.145.146.147.148.149.150.

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 by event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the most recent 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 in accordance with 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 – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, 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, and neither into the OPR DETAILS reporting. Date of accounting means the date when a loss or reserve/provision was first recognised in the Profit and Loss statement, against an operational risk loss. Those date logically follow 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 shall be interim figures, while the final figures shall be reported in December. Therefore, the figures in June shall have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December shall have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported in June and December, previous reporting reference periods shall mean all reporting reference periods until and including the one ending at the preceding calendar year end.

4.2.2. C 17.01: Operational risk losses and recoveries by business lines and loss event types in the last year (OPR DETAILS 1)

4.2.2.

4.2.2.1.151.152.153.154.

General Remarks In template C 17.01, the information shall be presented by distributing the losses and recoveries above internal thresholds amongst business lines (as listed in Table 2 of Article 317 CRR, including the additional business line corporate items referred to in point (b) of Article 322(3) CRR) and loss event types (as referred to in in Article 324 CRR). It is possible that the losses corresponding to one loss event are distributed amongst several business lines. Columns present the different loss 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 where there is more than one threshold. Rows present the business lines, and within each business line, information on the number of loss events (new loss events), the gross loss amount (new loss events), the number of loss 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 loss events and the gross loss amount shall also be reported for certain ranges based on set thresholds, that is 10000, 20000, 100000, and 1000000. The thresholds are set in EUR and are included for comparability purposes of the reported losses among institutions. Those thresholds do therefore not necessarily relate to the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template.

4.2.2.2. Instructions concerning specific positions Columns 0010-0070 EVENT TYPES Institutions shall report the losses in the respective columns 0010 to 0070 in accordance with the loss event types referred to in Article 324 CRR. Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only. 0080 TOTAL LOSS EVENT TYPES In column 0080, for each business line, institutions shall report the total number of loss events (new loss events), the total of gross loss amount (new loss events), the total number of loss events subject to loss adjustments, the total of loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses, the total of total direct loss recovery and the total of total recovery from insurance and other risk transfer mechanisms. Provided that the institution has identified the loss event types for all losses, column 080 shall show the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the loss adjustments relating to previous reporting periods reported in columns 0010 to 0070. The maximum single loss reported in column 0080 shall be the maximum single loss within a business line and identical to the maximum of the maximum single losses reported in columns 0010 to 0070, provided that the institution has identified the loss event types for all losses. For the sum of the five largest losses, in column 0080 the sum of the five largest losses within one business line shall be reported. 0090-0100 MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions shall report in columns 0090 and 0100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR. Where the institution applies only one threshold for in each business line, only column 0090 shall be filled in. Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 0100) shall be filled in as well. Rows 0010-0880 BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line referred to in Table 2 of Article 317(4) CRR, including the additional business line Corporate items as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the 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 and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the gross loss amount shall be distributed amongst all the affected business lines. Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 0910-0980 only. 0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810 Number of loss events (new loss events) The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period. The number of loss events shall refer to new events, i.e. operational risk events: New loss events do not include loss events accounted for the first time within a previous reporting reference period, which were already included in previous supervisory reports. 0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820 Gross loss amount (new loss events) The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period. The reported gross loss amount shall refer to new loss events as referred to in the row above of this table. For loss events accounted for the first time within a previous reporting reference period which were not included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported shall not take into account obtained recoveries. 0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830 Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments shall be the number of operational risk loss events accounted for the first time in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period. 0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840 Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative): Where more than one loss adjustment was made for a loss event within the reporting reference period, the amounts of all those loss adjustments shall be summed up, taking into account the sign of the adjustments (positive, negative). That sum shall be considered as the loss adjustment for that loss event for that reporting reference period. Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss 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 instead of the amount of the negative loss adjustment itself. The amounts to be reported shall not take into account obtained recoveries. 0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850 Maximum single loss The maximum single loss is the larger of: The amounts to be reported shall not take into account obtained recoveries. 0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860 Sum of the five largest losses The sum of the five largest losses shall be the sum of the five largest amounts amongst: The amounts to be reported shall not take into account obtained recoveries. 0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870 Total direct loss recovery Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below. The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods. 0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880 Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR. The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods. 0910-0980 TOTAL BUSINESS LINES For each loss event type (column 0010 to 0080), the information on total business lines has to be reported. 0910-0914 Number of loss events In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case. In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported. Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 0080, as appropriate: 0920-0924 Gross loss amount (new loss events) Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line. In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported. 0930, 0935, 0936 Number of loss events subject to loss adjustments In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the 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 loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign). 0940, 0945, 0946 Loss adjustments relating to previous reporting periods In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be 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 loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss 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 0946 instead of the amount of the negative loss adjustment itself. 0950 Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080: 0960 Sum of the five largest losses The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That 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 Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of sum of the five largest losses in row 0960 or the maximum value of sum of the five largest losses in column 0080. 0970 Total direct loss recovery Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line. 0980 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 Table 2 of Article 317(4) CRR or the business line corporate items referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.2.2.

(i) accounted for the first time within the reporting reference period; or

(ii) accounted for the first time within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

(i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events accounted for the first time and reported in previous reporting reference periods;

(ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk loss events accounted for the first time and reported in previous reporting reference periods.

(i) the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and

(ii) the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.

(i) the gross loss amounts for loss events reported for the first time within the reporting reference period; and

(ii) the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.

The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.

The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 0080, because one loss event can have an impact in different business lines simultaneously.

The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.

Where there are loss events having an impact in different business lines, the amount reported in {r0950, c0080} may be higher than the amounts of Maximum single loss per business line reported in other rows of column 0080.

4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2)

4.2.3.

4.2.3.1.155.156.157.

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

4.2.3.1.155.156.

(a) accounted for the first time within the reporting reference period; or

(b) accounted for the first time within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period.

4.2.3.1.155.156.157.

(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.

(c) Loss events shall be ranked based on the gross loss attributed to them.

(d) A loss event shall only be considered once.

4.2.3.2. Instructions concerning specific positions Columns 0010 Event ID The event ID is a row identifier and shall be unique for each row in the template. 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. 0020 Date of Accounting Date of accounting means the date where a loss or reserve/provision against an operational risk loss was first recognised in the Profit and Loss statement. 0030 Date of occurrence Date of occurrence shall be the date when the operational risk loss event happened or first began. 0040 Date of discovery Date of discovery shall be the date on which the institution became aware of the operational risk loss event. 0050 Loss event type Loss event types as referred to in Article 324 CRR. 0060 Gross loss Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01 0070 Gross loss net of direct recoveries Gross loss related to the loss event reported in rows 0020, 0120 etc. of template C 17.01, net of direct recoveries pertinent to that loss event 0080 – 0160 Gross loss by business line The gross loss as reported in column 0060 shall be allocated to the relevant business lines as referred to in Table 2 of Article 317(4) CRR and point (b) of Article 322(3) CRR. 0170 Legal Entity name Name of the legal entity as reported in column 0010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0180 Code LEI code of the legal entity as reported in column 0021 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0185 TYPE OF CODE The institutions shall identify the type of code reported in column 0180 as a LEI code. The type of code shall always be reported. 0190 Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred. 0200 Description Narrative description of the loss event, where necessary in a generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the loss event, where known.

5.158.159. MARKET RISK TEMPLATES These instructions refer to the templates for the reporting of the calculation of own funds requirements in accordance with the Standardised Approach for foreign exchange risk (MKR SA FX), commodities risk (MKR SA COM), interest rate risk (MKR SA TDI, MKR SA SEC, MKR SA CTP) and equity risk (MKR SA EQU). Additionally, instructions for the template for the reporting of the calculation of own funds requirements in accordance with the internal models approach (MKR IM) are included in this part. The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific-risk component – that is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk – that is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity- market movement unrelated to any specific attributes of individual securities. The general treatment of specific instruments and netting procedures can be found in Articles 326 to 333 CRR.

5.158.159.

5.1. C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)

5.1.

5.1.1.160.161.

General Remarks This template captures the positions and the related own funds requirements for position risks on traded debt instruments under the Standardised Approach (point (a) of Article 325(2) CRR). The different risks and methods available under CRR are considered by rows. The specific risk associated with exposures included in MKR SA SEC and MKR SA CTP has only 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 {0325;0060} (securitisations) and {0330;0060} (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.

5.1.2. Instructions concerning specific positions Columns 0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties in accordance with the second sentence of the first subparagraph of Article 345(1) CRR. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) CRR. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 CRR. Regarding the distinction between Long and Short positions, see Article 328(2) CRR. 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR, receive a capital charge. 0060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 2 of Title IV of Part Three CRR. 0070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows 0010-0350 TRADED DEBT INSTRUMENTS IN TRADING BOOK Positions in traded debt instruments in Trading Book and their correspondent own funds requirements for position risk in accordance with point (b)(i) of Article 92(3) CRR and Chapter 2 of Title IV of Part Three CRR shall be reported depending on risk category, maturity and approach used. 0011 GENERAL RISK. 0012 Derivatives Derivatives included in the calculation of interest rate risk of trading book positions, taking into account Articles 328 to 331 CRR, where applicable. 0013 Other assets and liabilities Instruments other than derivatives included in the calculation of interest rate risk of trading book positions. 0020-0200 MATURITY BASED APPROACH Positions in traded debt instruments subject to the maturity-based approach referred to in paragraphs 1 to 8 of Article 339 CRR and the corresponding own funds requirements calculated in accordance with Article 339(9) CRR. The position shall be split by zones 1, 2 and 3 and those zones shall be split by the maturity of the instruments. 0210-0240 GENERAL RISK. DURATION BASED APPROACH Positions in traded debt instruments subject to the duration-based approach referred to in paragraphs 1 to 6 of Article 340 CRR and the corresponding own funds requirements calculated in accordance with Article 340(7) CRR. The position shall be split by zones 1, 2 and 3. 0250 SPECIFIC RISK Sum of amounts reported in rows 0251, 0325 and 0330. Positions in traded debt instruments subject to the specific risk capital requirements and their corresponding capital requirements in accordance with point (b) of Article 92(3) and Article 335, paragraphs 1, 2 and 3 of Article 336 and Articles 337 and 338 CRR. Be also aware of the last sentence in Article 327(1) CRR. 0251-0321 Own funds requirement for non-securitisation debt instruments Sum of the amounts reported in rows 260 to 321. The own funds requirement of the n-th to default credit derivatives which are not rated externally shall be calculated by summing up the risk weights of the reference entities (point (e) of Article 332(1) CRR and the second subparagraph of Article 332(1) CRR – look-through). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) CRR) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) CRR: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) CRR (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Table 1 of Article 336 CRR. Those positions have to be assigned to rows 0280-0300 in accordance with the residual term to final maturity. Where the general risk of interest rate positions is hedged by a credit derivative, Articles 346 and 347 CRR shall be applied. 0325 Own funds requirement for securitisation instruments Total own funds requirements reported in column 0601 of template MKR SA SEC. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 0330 Own funds requirement for the correlation trading portfolio Total own funds requirements reported in column 0450 of template MKR SA CTP. Those total own funds requirements shall only be reported on Total level of the MKR SA TDI. 0350-0390 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 329(3) CRR. The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

5.2. C 19.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)

5.2.

5.2.1.162.163.164.

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 presents the own funds requirement only for the specific risk of securitisation positions in accordance with Article 335 CRR in connection with 337 CRR. Where 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 approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements of the general risk of those positions shall be reported 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 point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 0460 of CA1.

5.2.2. Instructions concerning specific positions Columns 0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction with Article 337 CRR (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) CRR. 0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR 0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR. Regarding the distinction between long and short positions, see Article 328(2) CRR. 0061-0104 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR. The breakdown shall be done separately for long and short positions. 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR 0402 SEC-IRBA Article 259 and 260 CRR 0403 SEC-SA Article 261 and 262 CRR 0404 SEC-ERBA Article 263 and 264 CRR 0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 CRR and Article 266(5) CRR. 0406 OTHER (RW = 1250 %) Article 254(7) CRR 0530-0540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a CRR 0570 BEFORE CAP Article 337 CRR, without taking into account the discretion of Article 335 CRR which allows an institution to cap the product of the weight and the net position at the maximum possible default-risk related loss. 0601 AFTER CAP/TOTAL OWN FUND REQUIREMENTS Article 337 CRR, taking into account the discretion of Article 335 CRR. Rows 0010 TOTAL EXPOSURES Total amount of outstanding securitisations and re-securitisations (held in the trading book) reported by the institution playing the role/s of originator or investor or sponsor. 0040, 0070 and 0100 SECURITISATION POSITIONS Point (62) of Article 4(1) CRR. 0020, 0050, 0080 and 0110 RE-SECURITISATIONS POSITIONS Point (64) of Article 4(1) CRR 0041, 0071 and 0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 CRR or Article 270 CRR and therefore qualify for differentiated capital treatment. 0030-0050 ORIGINATOR Point (13) of Article 4(1) CRR 0060-0080 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender. 0090-0110 SPONSOR Point (14) of Article 4(1) CRR. A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets.

5.3. C 20.00 – MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

5.3.

5.3.1.165.166.167.168.

General Remarks This template requests information on positions of the Correlation Trading Portfolio (CTP) (comprising securitisations, nth-to-default credit derivatives and other CTP positions included in accordance with Article 338(3) CRR) and the corresponding own funds requirements under the Standardised Approach. The MKR SA CTP template presents the own funds requirement only for the specific risk of positions assigned to the CTP in accordance with Article 335 CRR in conjunction with paragraphs 2 and 3 of Article 338 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 approach institutions apply to determine the risk weight for each of the positions in accordance with Chapter 5 of Title II of Part Three CRR. The own funds requirements for the general risk of these positions are reported in the MKR SA TDI or the MKR IM template. The template separates securitisation positions, n-th to default credit derivatives and other CTP-positions. Securitisation positions shall always be reported in rows 0030, 0060 or 0090 (depending on the role of the institution in the securitisation). N-th to default credit derivatives shall always be reported in row 0110. The other CTP-positions are positions that are neither securitisation positions nor n-th to default credit derivatives (see Article 338(3) CRR), but they are explicitly linked to one of those two positions (because of the hedging intent). Positions which receive a risk weight of 1250 % can alternatively be deducted from CET1 (see point (b) of Article 244(1), point (b) of Article 245(1) and Article 253 CRR). Where this is the case, those positions have to be reported in row 0460 of CA1.

5.3.2. Instructions concerning specific positions Columns 0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR in conjunction paragraphs (2) and (3) of Article 338 CRR (positions assigned to the Correlation Trading Portfolio) Regarding the distinction between long and short positions, also applicable to those gross positions, see Article 328(2) CRR. 0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 CRR 0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 CRR Regarding the distinction between long and short positions, see Article 328(2) CRR. 0071-0097 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Tables 1 and 2 of Article 263, Tables 3 and 4 of Article 264 and Article 266 CRR 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 CRR 0402 SEC-IRBA Articles 259 and 260 CRR 0403 SEC-SA Articles 261 and 262 CRR 0404 SEC-ERBA Articles 263 and 264 CRR 0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) CRR. 0406 OTHER (RW = 1250 %) Article 254(7) CRR 0410-0420 BEFORE CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, without taking into account the discretion of Article 335 CRR 0430-0440 AFTER CAP – WEIGHTED NET LONG/SHORT POSITIONS Article 338 CRR, taking into account the discretion of Article 335 CRR 0450 TOTAL OWN FUNDS REQUIREMENTS The own funds requirement is determined as the larger of either (i) the specific risk charge that would apply just to the net long positions (column 0430) or (ii) the specific risk charge that would apply just to the net short positions (column 0440). Rows 0010 TOTAL EXPOSURES Total amount of outstanding positions (held in the correlation trading portfolio) reported by the institution playing the role/s of originator, investor or sponsor. 0020-0040 ORIGINATOR Point (13) of Article 4(1) CRR 0050-0070 INVESTOR Credit institution that holds a securitisation positions in a securitisation transaction for which it is neither originator, sponsor nor original lender 0080-0100 SPONSOR Point (14) of Article 4(1) CRR A sponsor that also securitises its own assets shall fill in the originator’s rows with the information regarding its own securitised assets. 0030, 0060 and 0090 SECURITISATION POSITIONS The correlation trading portfolio shall comprise securitisations, n-th-to-default credit derivatives and possibly other hedging positions that meet the criteria set out in paragraphs 2 and 3 of Article 338 CRR. Derivatives of securitisation exposures that provide a pro-rata share as well as positions hedging CTP positions shall be included in row Other CTP positions. 0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES N-th to default credit derivatives that are hedged by n-th-to-default credit derivatives in accordance with Article 347 CRR shall both be reported here. The positions originator, investor and sponsor do not fit for n-th to default credit derivatives. As a consequence, the breakdown as for securitisation positions cannot be provided for n-th to default credit derivatives. 0040, 0070, 0100 and 0120 OTHER CTP POSITIONS The following positions are included:

Derivatives of securitisation exposures that provide a pro-rata share, as well as positions hedging CTP positions;

CTP positions hedged by credit derivatives in accordance with Article 346 CRR;

Other positions that satisfy Article 338(3) CRR.

5.4. C 21.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)

5.4.

5.4.1.169.170.

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 the 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).

5.4.2. Instructions concerning specific positions Columns 0010-0020 ALL POSITIONS (LONG AND SHORT) Article 102 and Article 105(1) CRR. These are gross positions not netted by instruments but excluding underwriting positions subscribed or sub-underwritten by third parties as referred to in the second sentence of the first subparagraph of Article 345(1) CRR. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 CRR. 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 2 of Title IV of Part Three CRR receive a capital charge. The capital charge has to be calculated for each national market separately. Positions in stock-index futures as referred to in the second sentence of Article 344(4) CRR shall not be included in this column. 0060 OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Chapter 2 of Title IV of Part Three CRR for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows 0010-0130 EQUITIES IN TRADING BOOK Own funds requirements for position risk as referred to in point (b)(i) of Article 92(3) CRR and Section 3 of Chapter 2 of Title IV of Part Three CRR. 0020-0040 GENERAL RISK Positions in equities subject to general risk (Article 343 CRR) and their correspondent own funds requirement in accordance with Section 3 of Chapter 2 of Title IV of Part Three CRR Both breakdowns (rows 0021/0022 as well as rows 0030/0040) are a breakdown related to all positions subject to general risk. Rows 0021 and 0022 request information on the breakdown by instruments. Only the breakdown in rows 0030 and 0040 shall be used as a basis for the calculation of own funds requirements. 0021 Derivatives Derivatives included in the calculation of equity risk of trading book positions taking into account Articles 329 and 332 CRR, where applicable 0022 Other assets and liabilities Instruments other than derivatives included in the calculation of equity risk of trading book positions. 0030 Exchange traded stock-index futures broadly diversified and subject to a particular approach Exchange traded stock-index futures broadly diversified and subject to a particular approach in accordance with Commission Implementing Regulation (EU) No 945/2014 Those positions shall be only subject to general risk and, accordingly, must not be reported in row 0050. 0040 Other equities than exchange traded stock-index futures broadly diversified Other positions in equities subject to specific risk as well as the correspondent own funds requirements in accordance with Article 343 CRR, including positions in stock index futures treated in accordance with Article 344(3) CRR 0050 SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 CRR, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) CRR 0090-0130 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 2 and 3 of Article 329 CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.5. C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

5.5.

5.5.1.171.172.

General Remarks Institutions shall report information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange risk treated under the Standardised Approach. The position shall be calculated for each currency (including EUR), gold, and positions to CIUs. Rows 0100 to 0480 of this template shall be reported even where institutions are not required to calculate own funds requirements for foreign exchange risk in accordance with Article 351 CRR. In those memorandum items, all the positions in the reporting currency are included, irrespective of whether they are considered for the purposes of Article 354 CRR. Rows 0130 to 0480 of the memorandum items of the template shall be filled out separately for all currencies of the Member States of the Union, the currencies GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2. Instructions concerning specific positions Columns 0020-0030 ALL POSITIONS (LONG AND SHORT) Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR In accordance with Article 352(2) CRR 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) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported. 0040-0050 NET POSITIONS (LONG AND SHORT) Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time. 0060-0080 POSITIONS SUBJECT TO CAPITAL CHARGE The third sentence of Article 352(4) and Articles 353 and 354 CRR 0060-0070 POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT) The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions. Long net positions for each operation in a currency shall be added to obtain the long net position in that currency. Short net positions for each operation in a currency shall be added to obtain the short net position in that currency. Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement. 0080 POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED) Matched positions for closely correlated currencies. 0090 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR 0100 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5. Rows 0010 TOTAL POSITIONS All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency). 0020 CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR. 0025 Currencies closely correlated: of which: reporting currency Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR. 0030 ALL OTHER CURRENCIES (including CIU's treated as different currencies) Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR. Reporting of CIU's treated as separate currencies in accordance with Article 353 CRR: There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements: The reporting of those CIU's shall follow the calculation of the capital requirements. 0040 GOLD Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR 0050 – 0090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Paragraphs 5 and 6 of Article 352 CRR The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation. 0100-0120 Breakdown of total positions (reporting currency included) by exposure types Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items. 0100 Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 0110 or 0120 shall be included here. 0110 Off-balance sheet items Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting. 0120 Derivatives Positions valued in accordance with Article 352 CRR. 0130-0480 MEMORANDUM ITEMS: CURRENCY POSITIONS The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, GBP, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.

5.5.2.

1. The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);

2. Where the direction of the CIU's investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).

5.6. C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

5.6.

5.6.1.173. General Remarks This template request information on the positions in commodities and the corresponding own funds requirements treated under the Standardised Approach.

5.6.2. Instructions concerning specific positions Columns 0010-0020 All POSITIONS (LONG AND SHORT) Gross long/short positions considered positions in the same commodity in accordance with Article 357(4) CRR (see also Article 359(1) CRR) 0030-0040 NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) CRR 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Chapter 4 of Title IV of Part Three CRR receive a capital charge. 0060 OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Chapter 4 of Title IV of Part Three CRR for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12,5 Rows 0010 TOTAL POSITIONS IN COMMODITIES Positions in commodities and their correspondent own funds requirements for market risk calculated in accordance with point (c)(iii) of Article 92(3) CRR and Chapter 4 of Title IV of Part Three CRR 0020-0060 POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Table 2 of Article 361 CRR. 0070 MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 CRR 0080 EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 CRR 0090 SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 CRR 0100-0140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) CRR The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.

5.7. C 24.00 – MARKET RISK INTERNAL MODEL (MKR IM)

5.7.

5.7.1.174.175.

General Remarks This template provides a breakdown of VaR and stressed VaR (sVaR) figures by the different market risks (debt, equity, FX, commodities) and other information relevant for the calculation of the own funds requirements. Generally, it depends on the structure of the model of the institutions whether the figures for general and specific risk can be determined and reported separately or only as a total. 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 refrain from reporting those decompositions if it proves that reporting those figures would be unduly burdensome.

5.7.2. Instructions concerning specific positions Columns 0030-0040 Value at Risk (VaR) VaR means the maximum potential loss that would result from a price change with a given probability over a specific time horizon. 0030 Multiplication factor (mc) x Average of previous 60 working days VaR (VaRavg) Point (a)(ii) of Article 364(1) and Article 365(1) CRR 0040 Previous day VaR (VaRt-1) Point (a)(i) of Article 364(1) and Article 365(1) CRR 0050-0060 Stressed VaR Stressed VaR means the maximum potential loss that would result from a price change with a given probability over a specific 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. 0050 Multiplication factor (ms) x Average of previous 60 working days (SVaRavg) Point (b)(ii) of Article 364(1) and Article 365(1) CRR 0060 Latest available (SVaRt-1) Point (b)(i) of Article 364(1) and Article 365(1) CRR 0070-0080 INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE Incremental default and migration risk capital charge means the maximum potential loss that would result from a price change linked to default and migration risks calculated in accordance with point (b) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR. 0070 12 weeks average measure Point (b)(ii) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR 0080 Last Measure Point (b)(i) of Article 364(2) in conjunction with Section 4 of Chapter 5 of Title IV of Part Three CRR 0090-0110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP 0090 FLOOR Point (c) of Article 364(3) CRR = 8 % of the capital charge that would be calculated in accordance with Article 338(1) CRR for all positions in the all price risks capital charge. 0100-0110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Point (b) of Article 364(3) CRR 0110 LAST MEASURE Point (a) of Article 364(3) CRR 0120 OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 CRR of all risk factors, taking into account correlation effects, where applicable, plus incremental default and migration risk and all price of risks for CTP, but excluding the Securitization capital charges for Securitization and nth-to-default credit derivative according to Article 364(2) CRR 0130 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Result of the multiplication of the own funds requirements by 12.5 0140 Number of overshootings (during previous 250 working days) Referred to in Article 366 CRR The number of overshootings based on which the addend is determined shall be reported. Where institutions are permitted to exclude certain overshootings from the calculation of the addend in accordance with Article 500c CRR, the number of overshootings reported in this column shall be net of those excluded overshootings. 0150-0160 VaR Multiplication Factor (mc) and SVaR Multiplication Factor (ms) As referred to in Article 366 CRR The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c CRR. 0170-0180 ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG/SHORT POSITIONS AFTER CAP The amount reported and serving as the basis to calculate the floor capital charge for all price risks in accordance with point (c) of Article 364(3) CRR, taking into account the discretion of Article 335 CRR which stipulates that the institution may cap the product of the weight and the net position at the maximum possible default-risk related loss. Rows 0010 TOTAL POSITIONS Corresponds to the part of position, foreign exchange and commodities risk referred to in Article 363(1) CRR linked to the risk factors specified in Article 367(2) CRR. Concerning the columns 0030 to 0060 (VAR and Stress-VAR), the figures in the total row are not equal to the decomposition of the figures for the VaR/Stress-VaR of the relevant risk components. 0020 TRADED DEBT INSTRUMENTS Corresponds to the part of position risk referred to in Article 363(1) CRR, linked to the interest rates risk factors specified in point (a) of Article 367(2) CRR. 0030 TDI – GENERAL RISK General risk component as referred to in Article 362 CRR 0040 TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR 0050 EQUITIES Corresponds to the part of position risk referred to in Article 363(1) CRR linked to the equity risk factors as specified in point (c) of Article 367(2) CRR. 0060 EQUITIES – GENERAL RISK General risk component as referred to in Article 362 CRR 0070 EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 CRR 0080 FOREIGN EXCHANGE RISK Articles 363(1) and point (b) of Article 367(2) CRR 0090 COMMODITY RISK Articles 363(1) and point (d) of Article 367(2) CRR 0100 TOTAL AMOUNT FOR GENERAL RISK Market risk caused by general market movements of traded debt instruments, equities, foreign exchange and commodities. VaR for general risk of all risk factors (taking into account correlation effects where applicable) 0110 TOTAL AMOUNT FOR SPECIFIC RISK Specific risk component of traded debt instruments and equities. VaR for specific risk of equities and traded debt instruments of trading book (taking into account correlation effects where applicable)

5.8. C 25.00 – CREDIT VALUATION ADJUSTMENT RISK (CVA)

5.8.

5.8.1. Instructions concerning specific positions Columns 0010 Exposure value Article 271 CRR in conjunction with Article 382 CRR. Total EAD from all transactions subject to CVA charge. 0020 Of which: OTC derivatives Article 271 CRR in conjunction with Article 382(1) CRR. The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. 0030 Of which: SFT Article 271 CRR in conjunction with Article 382(2) CRR The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set. 0040 MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 CRR in conjunction with point (d) of Article 363(1) CRR. VaR calculation based on internal models for market risk 0050 PREVIOUS DAY (VaRt-1) See instructions for column 0040. 0060 MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions for column 0040 0070 LATEST AVAILABLE (SVaRt-1) See instructions for column 0040 0080 OWN FUNDS REQUIREMENTS Point (d) of Article 92(3) CRR. Own funds requirements for CVA Risk calculated via the chosen method. 0090 TOTAL RISK EXPOSURE AMOUNT Point (b) of Article 92(4) CRR. Own funds requirements multiplied by 12.5. Memorandum items 0100 Number of counterparties Article 382 CRR Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are the other contracting party. 0110 Of which: proxy was used to determine credit spread Number of counterparties where the credit spread was determined using a proxy instead of directly observed market data. 0120 INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties. 0130 SINGLE NAME CDS Point (a) of Article 386(1) CRR Total notional amounts of single name CDS used as hedge for CVA risk. 0140 INDEX CDS Point (b) of Article 386(1) CRR Total notional amounts of index CDS used as hedge for CVA risk. Rows 0010 CVA risk total Sum of rows 0020-0040 0020 Advanced method Advanced CVA risk method as prescribed by Article 383 CRR 0030 Standardised method Standardised CVA risk method as prescribed by Article 384 CRR 0040 Based on OEM Amounts subject to the application of Article 385 CRR

6. PRUDENT VALUATION (PRUVAL)

6.

6.1. C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

6.1.

6.1.1.176.177.

General remarks This template shall be completed by all institutions, irrespective of whether they have adopted the simplified approach for the determination of Additional Valuation Adjustments (AVAs). This template is dedicated to the absolute value of fair-valued assets and liabilities used to determine whether the conditions set out in Article 4 of Commission Delegated Regulation (EU) 2016/101 for using the simplified approach for the determination of AVAs are met. With regard to institutions using the simplified approach, this template shall provide the total AVA to be deducted from own funds pursuant to Articles 34 and 105 CRR as set out in Article 5 of the Delegated Regulation (EU) 2016/101, which shall be reported accordingly in row 0290 of C 01.00.

6.1.2. Instructions concerning specific positions Columns 0010 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities, as stated in the financial statements under the applicable accounting framework, as referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, before any exclusion in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0020 OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in 010, corresponding to positions held in the trading book. 0030-0070 FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0030 Exactly matching Exactly matching, offsetting fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0040 Hedge accounting For positions subject to hedge accounting under the applicable accounting framework, absolute value of fair-valued assets and liabilities excluded in proportion to the impact of the relevant valuation change on CET1 capital in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101. 0050 PRUDENTIAL Filters Absolute value of fair-valued assets and liabilities excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to the transitional application of the prudential filters referred to in Articles 467 and 468 CRR. 0060 Other Any other positions excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 due to adjustments to their accounting value having only a proportional effect on CET1 capital. This row shall only be populated in rare cases where elements excluded in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 cannot be assigned to columns 0030, 0040 or 0050 of this template. 0070 Comment for other The main reasons why the positions reported in column 0060 were excluded shall be provided. 0080 FAIR-VALUED Assets and Liabilities included in ARTICLE 4(1) threshold Absolute value of fair-valued assets and liabilities actually included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101. 0090 OF WHICH: trading book Absolute value of fair-valued assets and liabilities, as reported in column 0080, corresponding to positions held in the trading book. Rows 0010 – 0210 The definitions of these categories shall match those of the corresponding rows of FINREP templates 1.1 and 1.2. 0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES Total of fair-valued assets and liabilities reported in rows 0020 to 0210. 0020 1.1 TOTAL FAIR-VALUED ASSETS Total of fair-valued assets reported in rows 0030 to 0140. Relevant cells of rows 0030 to 0130 shall be reported in line with FINREP template F 01.01 of Annexes III and IV to this Implementing Regulation, depending on the institution’s applicable standards: 0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A. The information reported in this row shall correspond to row 0050 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0040 1.1.2 TRADING FINANCIAL ASSETS Articles 32 and 33 BAD; Part 1.17 of Annex V to this Implementing Regulation The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0091 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4. The information reported in this row shall correspond to row 0096 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5; point (a) of Article 8(1) and Article 8(6) AD The information reported in this row shall correspond to row 0100 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2 A. The information reported in this row shall correspond to row 0141 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS Article 36(2) BADThe information reported in this row shall correspond to row 0171 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Point (a) of Article 8(1) and Article 8(8) AD The information reported in this row shall correspond to row 0175 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS Article 37 BAD; Article 12(7) AD; Part 1.20 of Annex V to this Implementing Regulation The information reported in this row shall correspond to assets measured at fair value that are included in the value reported in row 0234 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0110 1.1.9 DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.22 of Annex V to this Implementing Regulation; point (a) of Article 8(1) and paragraphs 6 and 8 of Article 8 AD; IAS 39.9 The information reported in this row shall correspond to row 0240 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(a); IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 ADThe information reported in this row shall correspond to row 0250 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0130 1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES IAS 1.54(e); Parts 1.21 and 2.4 of Annex V to this Implementing Regulation; points (7) and (8) of Article 4 BAD; Article 2(2) AD The information reported in this row shall correspond to row 0260 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 0375 of template F 01.01 of Annexes III and IV to this Implementing Regulation. 0150 1.2 TOTAL FAIR-VALUED LIABILITIES Total of fair-valued liabilities reported in rows 0160 to 0210. Relevant cells of rows 0150 to 0190 shall be reported in line with FINREP template F 01.02 of Annexes III and IV to this Implementing Regulation depending on the institution’s applicable standards: 0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING IFRS 7.8 (e) (ii); IFRS 9.BA.6. The information reported in this row shall correspond to row 0010 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0170 1.2.2 TRADING FINANCIAL LIABILITIES Point (a) of Article 8(1) and paragraphs 3 and 6 of Article 8 AD The information reported in this row shall correspond to row 0061 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8 (e)(i); IFRS 9.4.2.2; point (a) of Article 8(1) and Article 8(6) AD; IAS 39.9. The information reported in this row shall correspond to row 0070 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0190 1.2.4 DERIVATIVES – HEDGE ACCOUNTING IFRS 9.6.2.1; Part 1.26 of Annex V to this Implementing Regulation; point (a) of Article 8(1), Article 8(6) and point (a) of Article 8(8) AD The information reported in this row shall correspond to row 0150 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK IAS 39.89 A(b), IFRS 9.6.5.8; Paragraphs 5 and 6 of Article 8 AD; Part 2.8 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 0160 of template F 01.02 of Annexes III and IV to this Implementing Regulation. 0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE Part 1.29 of Annex V to this Implementing Regulation The information reported in this row shall correspond to row 0295 of template F 01.02 of Annexes III and IV to this Implementing Regulation.

IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 of the European Parliament and of the Council (EU IFRS);

National accounting standards compatible with EU IFRS (National GAAP compatible IFRS); or

National GAAP based on BAD (FINREP National GAAP based on BAD).

IFRS as endorsed by the Union in application of Regulation (EC) No 1606/2002 (EU IFRS)

National accounting standards compatible with EU IFRS (National GAAP compatible IFRS)

or National GAAP based on BAD (FINREP National GAAP based on BAD).

6.2. C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

6.2.

6.2.1.178.179.180.

General remarks The purpose of this template is to provide information on the composition of the total AVA to be deducted from own funds under Articles 34 and 105 CRR alongside relevant information about the accounting valuation of the positions that give rise to the determination of AVAs. This template shall be completed by all institutions that: For the purposes of this template, upside uncertainty shall mean the following: As determined by Article 8(2) of Delegated Regulation (EU) 2016/101, AVAs are calculated as the difference between the fair value and a prudent valuation that is determined on the basis of a 90 % confidence that institutions can exit the exposure at that point or better within the notional range of plausible values. The upside value or upside uncertainty is the opposing point in the distribution of plausible values at which institutions are only 10 % confident that they can exit the position at that point or better. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA but substituting a 10 % level of certainty for the 90 % used when determining the total AVA.

6.2.1.178.179.

(a) are required to use the core approach because they exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101, either on an individual basis or on a consolidated basis as set out in Article 4(3) of that Regulation; or

(b) have chosen to apply the core approach despite not exceeding the threshold.

6.2.2. Instructions concerning specific positions Columns 0010 – 0100 CATEGORY LEVEL AVA The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk are calculated as described in Articles 9, 10, 11 and 14 to 17 of Delegated Regulation (EU) 2016/101 respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out in Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101, respectively, category level AVAs shall be, unless indicated otherwise, reported as the straight sum of the individual AVAs before diversification benefit [since diversification benefits calculated using method 1 or method 2 of the Annex of Delegated Regulation (EU) 2016/101 are reported in items 1.1.2, 1.1.2.1 and 1.1.2.2 of the template]. For the market uncertainty, close-out cost and model risk categories, amounts calculated under the expert-based approach as referred to in point (b) of Article 9(5), point (b) of Article 10(6) and Article 11(4) of Delegated Regulation (EU) 2016/101 shall be separately reported in columns 0020, 0040 and 0060. 0010 MARKET PRICE UNCERTAINTY Article 105(10) CRR. Market price uncertainty AVAs calculated in accordance with Article 9 of Delegated Regulation (EU) 2016/101. 0020 OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Market price uncertainty AVAs calculated in accordance with point (b) of Article 9(5) of Delegated Regulation (EU) 2016/101. 0030 CLOSE-OUT COSTS Article 105(10) CRR. Close-out costs AVAs calculated in accordance with Article 10 of Delegated Regulation (EU) 2016/101. 0040 OF WHICH: CALCULATED USING THE EXPERT-BASED APPROACH Close-out costs AVAs calculated in accordance with point (b) of Article 10(6) of Delegated Regulation (EU) 2016/101. 0050 MODEL RISK Article 105(10) CRR Model risk AVAs calculated in accordance with Article 11 of Delegated Regulation (EU) 2016/101. 0060 OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH Model risk AVAs calculated in accordance with Article 11(4) of Delegated Regulation (EU) 2016/101. 0070 CONCENTRATED POSITIONS Article 105(11) CRR Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101. 0080 FUTURE ADMINISTRATIVE COSTS Article 105(10) CRR Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101. 0090 EARLY TERMINATION Article 105(10) CRR Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101. 0100 OPERATIONAL RISK Article 105(10) CRR Operational risk AVAs calculated in accordance with Article 17 of Delegated Regulation (EU) 2016/101. 0110 TOTAL AVA Row 0010: total AVA to be deducted from own funds in accordance with Articles 34 and 105 CRR and reported accordingly in row 0290 of C 01.00. The total AVA shall be the sum of rows 0030 and 0180. Row 0020: Share of the total AVA reported in row 0010 stemming from trading book positions (absolute value). Rows 0030 to 0160: Sum of columns 0010, 0030, 0050 and 0070 to 0100. Rows 0180 to 0210: Total AVA stemming from portfolios under the fall-back approach. 0120 UPSIDE UNCERTAINTY Article 8(2) of Delegated Regulation (EU) 2016/101. The upside uncertainty shall be calculated and aggregated on the same basis as the total AVA computed in column 0110, but substituting a 10 % level of certainty for the 90 % used when determining the total AVA. 0130 -0140 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities corresponding to the AVA amounts reported in rows 0010 to 0130 and row 0180. For some rows, in particular rows 0090 to 0130, these amounts may have to be approximated or allocated based on expert judgement. Row 0010: Total absolute value of fair-valued assets and liabilities included in the threshold computation of Article 4(1) of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0010 is the sum of row 0030 and row 0180. Row 0020: share of total absolute value of fair-valued assets and liabilities reported in row 0010 stemming from trading book positions (absolute value). Row 0030: Absolute value of fair-valued assets and liabilities corresponding to the portfolios referred to in Articles 9 to 17 of Delegated Regulation (EU) 2016/101. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0030 shall be the sum of rows 0090 to 0130. Row 0050: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore. Row 0060: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101, may not be considered exactly matching, offsetting anymore. Row 0070: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in Article 9(2) of Delegated Regulation (EU) 2016/101. Row 0080: Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value referred to in paragraphs 2 and 3 of Article 10 of Delegated Regulation (EU) 2016/101. Rows 0090 to 0130: Absolute value of fair-valued assets and liabilities allocated as set out below (see corresponding row instructions) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. That includes the absolute value of fair-valued assets and liabilities for which AVAs are assessed to have zero value in accordance with Articles 9(2), 10(2) or 10(3) of Delegated Regulation (EU) 2016/101, which are also separately reported in rows 0070 and 0080. Row 0180: Absolute value of fair-valued assets and liabilities corresponding to the portfolios under the fall-back approach 0130 FAIR-VALUED ASSETS Absolute value of fair-valued assets corresponding to the different rows as explained in the instructions on columns 0130-0140 above. 0140 FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above. 0150 QTD REVENUE The quarter-to-date revenues (QTD revenue) since the last reporting date attributed to the fair valued assets and liabilities corresponding to the different rows as explained in the instructions on columns 0130-0140 above, where relevant allocated or approximated based on expert judgment. 0160 IPV DIFFERENCE The sum across all positions and risk factors of unadjusted difference amounts (IPV difference) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the relevant position or risk factor. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. 0170 – 0250 FAIR VALUE ADJUSTMENTS Adjustments, sometimes also referred to as reserves, potentially applied in the institution’s accounting fair value that are made outside of the valuation model used to generate carrying amounts (excluding deferral of day one gains and losses) and that can be identified as addressing the same source of valuation uncertainty as the relevant AVA. They could reflect risk factors not captured within the valuation technique that are in a form of a risk premium or exit cost and are compliant with the definition of fair value. They shall nevertheless be considered by market participants when setting a price. (IFRS 13.9 and IFRS13.88) 0170 MARKET PRICE UNCERTAINTY Adjustment applied in the institution’s fair value to reflect the risk premium arising from the existence of a range of observed prices for equivalent instruments or, in respect of a market parameter input to a valuation model, the instruments from which the input has been calibrated, and thus that can be identified as addressing the same source of valuation uncertainty as the Market price uncertainty AVA. 0180 CLOSE-OUT COSTS Adjustment applied in the institution’s fair value to adjust for the fact that the position level valuations do not reflect an exit price for the position or portfolio, in particular where such valuations are calibrated to a mid-market price, and thus that can be identified as addressing the same source of valuation uncertainty as the close-out costs AVA. 0190 MODEL RISK Adjustment applied in the institution’s fair value to reflect market or product factors that are not captured by the model used to calculate daily position values and risks (valuation model) or to reflect an appropriate level of prudence given the uncertainty arising from the existence of a range of alternative valid models and model calibrations and thus that can be identified as addressing the same source of valuation uncertainty as the model risk AVA. 0200 CONCENTRATED POSITIONS Adjustment applied in the institution’s fair value to reflect the fact that the aggregate position held by the institution is larger than normal traded volume or larger than the position sizes on which observable quotes or trades that are used to calibrate the price or inputs used by the valuation model are based and thus can be identified as addressing the same source of valuation uncertainty as the concentrated positions AVA. 0210 UNEARNED CREDIT SPREADS Adjustment applied in the institution’s fair value to cover expected losses due to counterparty default on derivative positions (i.e. total Credit Valuation Adjustment CVA at institution level). 0220 INVESTING AND FUNDING COSTS Adjustment applied in the institution’s fair value to compensate where valuation models do not fully reflect the funding cost that market participants would factor into the exit price for a position or portfolio (i.e. total Funding Valuation Adjustment at institution level where an institution computes such adjustment, or alternatively, equivalent adjustment). 0230 FUTURE ADMINISTRATION COSTS Adjustment applied in the institution’s fair value to reflect administrative costs that are incurred by the portfolio or position but are not reflected in the valuation model or the prices used to calibrate inputs to that model, and thus that can be identified as addressing the same source of valuation uncertainty as the Future administrative costs AVA. 0240 EARLY TERMINATION Adjustments applied in the institution’s fair value to reflect contractual or non-contractual early termination expectations that are not reflected in the valuation model and thus can be identified as addressing the same source of valuation uncertainty as the Early termination AVA. 0250 OPERATIONAL RISK Adjustments applied in the institution’s fair value to reflect the risk premium that market participants would charge to compensate for operational risks arising from hedging, administration and settlement of contracts in the portfolio, and thus can be identified as addressing the same source of valuation uncertainty as the operational risk AVA. 0260 DAY 1 P&L Adjustments to reflect instances where the valuation model plus all other relevant fair value adjustments applicable to a position or portfolio did not reflect the price paid or received at first day recognition, i.e. the deferral of day one gains and losses (IFRS 9.B5.1.2.A). 0270 EXPLANATION DESCRIPTION Description of the positions treated in accordance with point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101 and the reason why it was not possible to apply Articles 9 to 17 thereof. Rows 0010 1. TOTAL CORE APPROACH Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed under the core approach as set out in Chapter 3 of Delegated Regulation (EU) 2016/101 o for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. 0020 OF WHICH: TRADING BOOK Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, share of total AVAs reported in row 0010 stemming from trading book positions (absolute value). 0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISSION DELEGATED REGULATION (EU) 2016/101- TOTAL CATEGORY LEVEL POST-DIVERSIFICATION Point (a) of Article 7(2) of Delegated Regulation (EU) 2016/101. For each relevant category of AVAs referred to in columns 0010 to 0110, total AVAs computed in accordance with Articles 9 to 17 of Delegated Regulation (EU) 2016/101 for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of that Regulation, except fair-valued assets and liabilities subject to the treatment described in point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. That includes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. That includes the diversification benefits reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101. Row 0030 shall be the difference between rows 0040 and 0140. 0040 – 0130 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION For rows 0090 to 0130, institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Delegated Regulation (EU) 2016/101 (trading book and non-trading book) to the following risk categories: interest rates, foreign exchange, credit, equities, commodities. To that end, institutions shall rely on their internal risk management structure and, following a mapping developed based on expert judgement, allocate their business lines or trading desks to the most appropriate risk category. AVAs, Fair Value Adjustments and other required information which correspond to the allocated business lines or trading desks, shall be allocated to the same relevant risk category to provide at row level for each risk category a consistent overview of the adjustments performed both for prudential purposes and accounting purposes, as well as an indication of the size of the positions concerned (in terms of fair-valued assets and liabilities). Where AVAs or other adjustments are computed at a different level of aggregation, in particular at firm level, institutions shall develop an allocation methodology of the AVAs to the relevant sets of positions. The allocation methodology shall lead to row 0040 being the sum of rows 0050 to 0130 for columns 0010 to 0100. Regardless of the approach applied, the information reported shall, as much as possible, be consistent at row level, since the information provided will be compared at this level (AVA amounts, upside uncertainty, fair-value amounts and potential fair-value adjustments). The breakdown in rows 0090 to 0130 excludes the AVAs computed in accordance with Articles 12 and 13 of Delegated Regulation (EU) 2016/101 that are reported in rows 0050 and 0060 and are included in market price uncertainty AVAs, close-out costs AVAs and model risk AVAs as set out in Articles 12(2) and 13(2) of that Regulation. Diversification benefits are reported in row 0140 in accordance with Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 and are therefore excluded from rows 0040 to 0130. 0050 OF WHICH: UNEARNED CREDIT SPREADS AVA Article 105(10) CRR, Article 12 of Delegated Regulation (EU) 2016/101. The total AVA calculated for unearned credit spreads (AVA on CVA) and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 12 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of unearned credit spread AVAs. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore. 0060 OF WHICH: INVESTMENT AND FUNDING COSTS AVA Article 105(10) CRR, Article 17 of Delegated Regulation (EU) 2016/101. The total AVA calculated for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs under Article 13 of Delegated Regulation (EU) 2016/101. Column 0110: The total AVA is given for information only as its allocation between market price uncertainty, close-out cost or model risk AVAs leads to its inclusion – after taking into account diversification benefits – under the respective category level AVAs. Columns 0130 and 0140: Absolute value of fair-valued assets and liabilities included in the scope of the computation of investment and funding costs AVA. For the purpose of the computation of this AVA, exactly matching, offsetting fair-valued assets and liabilities, excluded from the threshold computation in accordance with Article 4(2) of Delegated Regulation (EU) 2016/101 shall not be considered exactly matching, offsetting anymore. 0070 OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 9(2) of Delegated Regulation (EU) 2016/101. 0080 OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF Delegated Regulation (EU) 2016/101 Absolute value of fair-valued assets and liabilities corresponding to the valuation exposures assessed to have zero AVA value under Article 10(2) or 10(3) of Delegated Regulation (EU) 2016/101. 0090 1.1.1.1 INTEREST RATES 0100 1.1.1.2 FOREIGN EXCHANGE 0110 1.1.1.3 CREDIT 0120 1.1.1.4 EQUITIES 0130 1.1.1.5 COMMODITIES 0140 1.1.2 (-) Diversification BenefitS Total diversification benefit. Sum of rows 0150 and 0160. 0150 1.1.2.1 (-) Diversification Benefit calculated using Method 1 For those categories of AVA aggregated under Method 1 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. 0160 1.1.2.2 (-) Diversification Benefit calculated using Method 2 For those categories of AVA aggregated under Method 2 in accordance with Articles 9(6), 10(7) and 11(6) of Delegated Regulation (EU) 2016/101, the difference between the sum of the individual AVAs and the total category level AVA after adjusting for aggregation. 0170 1.1.2.2* Memorandum item: pre-diversification AVAs reduced by more than 90 % by diversification under Method 2 In the terminology of Method 2, the sum of FV – PV for all valuation exposures for which APVA < 10 % (FV – PV). 0180 1.2 Portfolios calculated under the fall-back approach Point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101. For portfolios subject to the fall-back approach under point (b) of Article 7(2) of Delegated Regulation (EU) 2016/101, the total AVA shall be computed as a sum of rows 0190, 0200 and 0210. Relevant balance sheet and other contextual information shall be provided in columns 0130 – 0260. A description of the positions and the reason why it was not possible to apply Articles 9 to 17 of Delegated Regulation (EU) 2016/101 shall be provided in column 0270. 0190 1.2.1 Fall-back approach; 100 % unrealised profit Point (b)(i) of Article 7(2) of Delegated Regulation (EU) 2016/101. 0200 1.2.2 Fall-back approach; 10 % notional value Point (b)(ii) of Article 7(2) of Delegated Regulation (EU) 2016/101. 0210 1.2.3 Fall-back approach; 25 % of inception value Point (b)(iii) of Article 7(2) of Delegated Regulation (EU) 2016/101.

6.3. C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

6.3.

6.3.1.181.182.183.184.185.

General remarks This template is to be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101 at their level. Institutions that are part of a group breaching the threshold on a consolidated basis are required to report this template only where they also exceed the threshold at their level. This template shall be used to report details of the top 20 individual model risk AVAs in terms of AVA amount that contribute to the total category level model risk AVA computed in accordance with Article 11 of Delegated Regulation (EU) 2016/101. That information corresponds to the information reported in column 0050 of template C 32.02. The top 20 individual model risk AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual model risk AVAs. Products corresponding to those top individual model risk AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101. Where products are sufficiently homogenous with respect to the valuation model and the model risk AVA, they shall be merged and shown on one line for the purpose of maximising coverage of this template in respect of the total category level Model Risk AVA of the institution.

6.3.2. Instructions concerning specific positions Columns 0005 RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest individual model risk AVAs, 2 to the second highest and so on. 0010 MODEL Internal name (alpha-numerical) of the model used by the institution to identify the model. 0020 RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the product or group of products that give rise to the model risk valuation adjustment. Institutions shall report the following codes: IR – interest rates FX – foreign exchange CR – credit EQ – equities CO – commodities 0030 PRODUCT Internal name (alpha-numerical) for the product or group of products, in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101, that is valued using the model. 0040 OBSERVABILITY Number of price observations for the product or group of products in the last 12 months that meet either of the following criteria: Institutions shall report one of the following values: none, 1-6, 6-24, 24-100, 100+. 0050 MODEL RISK AVA Article 11(1) of Delegated Regulation (EU) 2016/101. Individual model risk AVA before diversification benefit, but after portfolio netting where relevant. 0060 OF WHICH: USING EXPERT-BASED APPROACH Amounts in column 0050 that have been calculated under the expert-based approach referred to in Article 11(4) of Delegated Regulation (EU) 2016/101. 0070 OF WHICH: AGGREGATED USING METHOD 2 Amounts in column 0050 that have been aggregated under Method 2 of the Annex to Delegated Regulation (EU) 2016/101. These amounts correspond to FV – PV in the terminology of that Annex. 0080 AGGREGATED AVA CALCULATED UNDER METHOD 2 The contribution towards the total category level AVA for model risk, as computed in accordance with Article 11(7) of the Delegated Regulation (EU) 2016/101 of individual model risk AVAs that are aggregated using Method 2 of the Annex to that Regulation (EU). That amount corresponds to APVA in the terminology of the Annex. 0090 -0100 FAIR-VALUED ASSETS AND LIABILITIES Absolute value of fair-valued assets and liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0090 FAIR-VALUED ASSETS Absolute value of fair-valued assets valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0100 FAIR-VALUED LIABILITIES Absolute value of fair-valued liabilities valued using the model reported in column 0010 as stated in the financial statements under the applicable framework. 0110 IPV DIFFERENCE (OUTPUT TESTING) The sum of unadjusted difference amounts (IPV difference) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the corresponding product or group of products. Unadjusted difference amounts refer to unadjusted differences between the trading system generated valuations and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference. Only results that have been calibrated from prices of instruments that would be mapped to the same product (output testing) shall be included here. Input testing results from market data inputs that are tested against levels that have been calibrated from different products shall not be included. 0120 IPV COVERAGE (OUTPUT TESTING) The percentage of those positions mapped to the model weighted by model risk AVA that is covered by the output IPV testing results given in column 0110. 0130 – 0140 FAIR VALUE ADJUSTMENTS Fair Value adjustments as referred to in columns 0190 and 0240 of template C 32.02 that have been applied to the positions mapped to the model in column 0010. 0150 DAY 1 P&L Adjustments as defined in column 0260 of template C 32.02 that have been applied to the positions mapped to the model in column 0010.

The price observation is a price at which the institution has conducted a transaction;

It is a verifiable price for an actual transaction between third parties;

The price is obtained from a committed quote.

6.4. C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

6.4.

6.4.1.186.187.188.189.190.

General remarks This template shall be completed only by institutions that exceed the threshold referred to in Article 4(1) of Delegated Regulation (EU) 2016/101. Institutions that are part of a group breaching the threshold on a consolidated basis shall report this template only where they also exceed the threshold at their level. This template shall be used to report details of the top 20 individual concentrated positions AVAs in terms of AVA amount that contribute to the total category level concentrated positions AVA computed in accordance with Article 14 of Delegated Regulation (EU) 2016/101. This information shall correspond to the information reported in column 0070 of template C 32.02. The top 20 concentrated positions AVAs, and corresponding product information, shall be reported in decreasing order starting from the largest individual concentrated positions AVAs. Products corresponding to these top individual concentrated positions AVAs shall be reported using the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101. Positions that are homogenous in terms of AVA calculation methodology shall be aggregated where this is possible to maximise the coverage of this template.

6.4.2. Instructions concerning specific positions Columns 0005 RANK The rank is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc., with 1 being assigned to the highest concentrated positions AVAs, 2 to the second highest and so on. 0010 RISK CATEGORY The risk category (interest rates, FX, credit, equities, commodities) that most appropriately characterises the position. Institutions shall report the following codes: IR – Interest Rates FX – Foreign exchange CR – Credit EQ – Equities CO – Commodities 0020 PRODUCT Internal name for the product or group of products in line with the product inventory required by point (a) of Article 19(3) of Delegated Regulation (EU) 2016/101. 0030 UNDERLYING Internal name of the underlying, or underlyings, in the case of derivatives or of the instruments in the case of non-derivatives. 0040 CONCENTRATED POSITION SIZE Size of the individual concentrated valuation position identified in accordance with point (a) of Article 14(1) of Delegated Regulation (EU) 2016/101, expressed in the unit described in column 0050. 0050 SIZE MEASURE Unit of size measure used internally as part of the identification of the concentrated valuation position to compute the concentrated position size referred in column 0040. In the case of positions in bonds or equity, please report the unit used for internal risk management, such as number of bonds, number of shares or market value. In the case of position in derivatives, please report the unit used for internal risk management, such as PV01; EUR per 1 basis point parallel yield curve shift. 0060 MARKET VALUE Market value of the position. 0070 PRUDENT EXIT PERIOD The prudent exit period in number of days estimated in accordance with point (b) of Article 14(1) of Delegated Regulation (EU) 2016/101. 0080 CONCENTRATED POSITIONS AVA The concentrated positions AVA amount calculated in accordance with Article 14(1) of Delegated Regulation (EU) 2016/101 for the individual concentrated valuation position concerned. 0090 CONCENTRATED POSITION FAIR VALUE ADJUSTMENT The amount of any fair value adjustments taken to reflect the fact that the aggregate position held by the institution is larger than the normal traded volume or larger than position sizes and on which quotes or trades, which are used to calibrate the price or inputs used by the valuation model, are based. The amount reported shall correspond to the amount that has been applied to the individual concentrated valuation position concerned. 0100 IPV DIFFERENCE The sum of unadjusted difference amounts (IPV difference) calculated at the month end closest to the reporting date under the independent price verification process performed in accordance with Article 105(8) CRR, with respect to the best available independent data for the individual concentrated valuation position concerned. Unadjusted difference amounts shall refer to unadjusted differences between the valuations generated by the trading system and the valuations assessed during the monthly IPV process. No adjusted difference amounts in the books and records of the institution for the relevant month end date shall be included in the calculation of IPV difference.

7. C 33.00 – EXPOSURES TO GENERAL GOVERNMENTS (GOV)

7.

7.1.191.192.193.194.195.196.

GENERAL REMARKS The information for the purpose of template C 33.00 shall cover all exposures to General governments as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation. Where the exposures to General governments are subject to own funds requirements in accordance with Title II of Part Three CRR, exposures to General governments are included in different exposure classes in accordance with Article 112 and Article 147 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 V to this Implementing Regulation, shall be observed for the mapping of exposure classes used to calculate capital requirements under 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 shall include 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 laid down in Article 6(3) of this Implementing Regulation.

7.2.197.198.199.

SCOPE OF THE TEMPLATE ON EXPOSURES TO GENERAL GOVERNMENTS The scope of the GOV template covers on-balance sheet, 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 that is a General government as referred to in point (b) of paragraph 42 of Annex V to this Implementing Regulation. 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

7.3. INSTRUCTIONS CONCERNING SPECIFIC POSITIONS Columns Instructions 0010-0260 DIRECT EXPOSURES 0010-0140 ON-BALANCE SHEET EXPOSURES 0010 Total gross carrying amount of non-derivative financial assets Aggregate of gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments, for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation, and listed in columns 0030 to 0120 Prudent valuation adjustments shall not reduce the gross carrying amount of trading and non-trading exposures measured at fair value. 0020 Total carrying amount of non-derivative financial assets (net of short positions) Aggregate of the carrying amount, as referred to in paragraph 27 of Part 1 of Annex V to this Implementing Regulation, of non-derivative financial assets to General governments for all accounting portfolios under IFRS or national GAAP based on BAD defined in paragraphs 15 to 22 of Part 1 of Annex V to this Implementing Regulation and listed in columns 0030 to 0120, net of short positions. Where the institution has a short position for the same residual maturity and the same immediate counterparty that is denominated in the same currency, the carrying amount of the short position shall be netted against the carrying amount of the direct position. That net amount shall be considered to be zero when it is a negative amount. Where an institution has a short position without a matching direct position, the amount of the short position shall be considered zero for the purposes of this column. 0030-0120 NON-DERIVATIVE FINANCIAL ASSETS BY ACCOUNTING PORTFOLIOS Aggregate carrying amount of non-derivative financial assets, as defined in the row above of this table, to General governments, broken down by accounting portfolio under the applicable accounting framework. 0030 Financial assets held for trading IFRS 7.8(a)(ii); IFRS 9 Appendix A 0040 Trading financial assets Articles 32 and 33 BAD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 0050 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 0060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 and point (a) of Article 8(1) and Article 8(6) AD 0070 Non-trading non-derivative financial assets measured at fair value through profit or loss Article 36(2) BAD; point (a) of Article 8(1) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 0080 Financial assets at fair value through other comprehensive income IFRS 7.8(d); IFRS 9.4.1.2 A 0090 Non-trading non-derivative financial assets measured at fair value to equity Point (a) of Article 8(1) and Article 8(8) AD Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 0100 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2; Paragraph 15 of Part 1 of Annex V to this Implementing Regulation 0110 Non-trading non-derivative financial assets measured at a cost-based method Article 35 BAD; point (i) of Article 6(1) and Article 8(2) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 0120 Other non-trading non-derivative financial assets Article 37 BAD; Article 12(7) AD; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation Only to be reported by institutions under national Generally Accepted Accounting Principles (GAAP). 0130 Short positions Carrying amount of short positions, as defined in IFRS 9 BA.7(b) where the direct counterparty is a General government as defined in paragraphs 155 to 160 of this Annex. Short positions arise where the institution sells securities acquired in a reverse repurchase loan or borrowed in a securities lending transaction. The carrying amount is the fair value of the short positions. Short positions shall be reported by residual maturity bucket, as listed in rows 0170 to 0230, and by immediate counterparty. The short positions reported in this column can be netted against positions with the same residual maturity and immediate counterparty and denominated in the same currency that are reported in columns 0030 to 0120 in order to obtain the net position that is reported in column 0020. 0140 Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets Carrying amount of short positions, as defined in IFRS 9 BA.7(b), that arise when the institution sells the securities acquired in reverse repurchase loans, where the direct counterparty of those securities is a General government and that are included in the held for trading or trading financial assets accounting portfolios (columns 0030 or 0040). Short positions that arise when the sold securities were borrowed in a securities lending transition shall not be included in this column. 0150 Accumulated impairment Aggregate accumulated impairment related to non-derivative financial assets reported in columns 0080 to 0120 (paragraphs 70 and 71 of Part 2 of Annex V to this Implementing Regulation) 0160 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 Aggregate of accumulated impairment related to non-derivative financial assets reported in columns 0080 and 0090. 0170 Accumulated negative changes in fair value due to credit risk Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0050, 0060, 0070, 0080 and 0090 (paragraph 69 of Part 2 of Annex V to this Implementing Regulation) 0180 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 Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0050, 0060 and 0070. 0190 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 Aggregate of accumulated negative changes in fair value due to credit risk related to positions informed in columns 0080 and 0090. 0200-0230 DERIVATIVES Direct derivative positions shall be reported in columns 0200 to 0230. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown. 0200-0210 Derivatives with positive fair value All derivative instruments with a General government counterparty with a positive fair value for the institution at the reporting date, regardless of whether those instruments are used in a qualifying hedging relationship, are held for trading, or are included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation). 0200 Derivatives with positive fair value: Carrying amount Carrying amount of the derivatives accounted for as financial assets at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments. 0210 Derivatives with positive fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reporting reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is positive for the institution at the reference date. 0220-0230 Derivatives with negative fair value All derivative instruments with a General government counterparty with a negative fair value for the institution at the reporting reference date, regardless of whether those instruments are used in a qualifying hedging relationship or are held for trading or included in the trading portfolio under IFRS and national GAAP based on BAD. Derivatives used in economic hedging shall be reported here when they are included in the trading or held for trading accounting portfolios (paragraphs 120, 124, 125 and 137 to 140 of Part 2 of Annex V to this Implementing Regulation). 0220 Derivatives with negative fair value: Carrying amount Carrying amount of the derivatives accounted for as financial liabilities at the reporting reference date. Under GAAP based on BAD, derivatives to be reported in these columns include the derivative instruments measured at cost or at the lower of cost or market included in the trading portfolio or designated as hedging instruments. 0230 Derivatives with negative fair value: Notional amount Under IFRS and national GAAP based on BAD, notional amount, as defined in paragraphs 133 to 135 of Part 2 of Annex V to this Implementing Regulation, of all derivative contracts concluded and not yet settled at the reference date, where the counterparty is a General government as defined in paragraphs 155 to 160 of this Annex and the fair value of the derivative is negative for the institution at the reference date. 0240-0260 OFF-BALANCE SHEET EXPOSURES 0240 Nominal amount Where the direct counterparty of the off-balance sheet item is a General government as defined in paragraphs 155 to 160 of this Annex, nominal amount of the commitments and financial guarantees that are not considered as a derivative in accordance with IFRS or under national GAAP based on BAD (paragraphs 102-119 of Part 2 of Annex V to this Implementing Regulation,). In accordance with paragraphs 43 and 44 of Part 2 of Annex V to this Implementing Regulation, the General government is the direct counterparty: (a) in a financial guarantee given, when it is the direct counterparty of the guaranteed debt instrument, and (b) in a loan commitment and other commitment given, when it is the counterparty whose credit risk is assumed by the reporting institution. 0250 Provisions Point (6)(c) and Off balance sheet items of Article 4, Articles 27(11), 28(8) and Article 33 BAD; IFRS 9.4.2.1(c)(ii),(d)(ii), 9.5.5.20;IAS 37, IFRS 4, Part 2.11 of Annex V to this Implementing Regulation. Provisions on all off-balance sheet exposures regardless of how they are measured, except those that are measured at fair value through profit or loss in accordance with IFRS 9. Under IFRS, the impairment of a loan commitment given shall be reported in column 150 where the institution cannot separately identify the expected credit losses related to the drawn and undrawn amount of the debt instrument. In case the combined expected credit losses for that financial instrument exceed the gross carrying amount of the loan component of the instrument, the remaining balance of the expected credit losses shall be reported as a provision in column 0250. 0260 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 (paragraph 110 of Part 2 of Annex V to this Implementing Regulation) 0270-280 Memorandum item: credit derivatives sold on general government exposures Credit derivatives that do not meet the definition of financial guarantees in Annex V, Part 2, paragraph 58 that the reporting institution has underwritten with counterparties other than General governments and whose reference exposure is a General government shall be reported. These columns shall not be reported for exposures broken down by risk, regulatory approach and exposure class (rows 0020 to 0160). 0270 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 shall be the fair value of the derivatives with a positive fair value at the reference reporting date, independently of how they are accounted for. 0280 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 shall be 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 of how they are accounted for. 0290 Exposure value Exposure value for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see Article 111 CRR. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) CRR. For the reporting of derivatives subject to both counterparty credit risk and market risk capital charges, see instructions for the row breakdown. The exposures reported in columns 0270 and 0280 are not to be considered for the purposes of this column, as the value in this column is based solely on direct exposures. 0300 Risk weighted exposure amount Risk weighted exposure amount for exposures subject to the credit risk framework. For exposures under the Standardised Approach (SA): see paragraphs 1 to 5 of Article 113 CRR. For exposures under the IRB Approach: see paragraphs 1 and 3 of Article 153 CRR. For the reporting of direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk, see instructions for the row breakdown. The exposures reported in columns 0270 and 0280 shall not be considered for the purposes of this column, as the value in this column is based solely on direct exposures. Rows Instructions BREAKDOWN OF EXPOSURES BY REGULATORY APPROACH 0010 Total exposures Aggregate of exposures to General governments, as defined in paragraphs 155 to 160 of this Annex. 0020-0155 Exposures under the credit risk framework Aggregate of exposures to General governments that shall be risk-weighted in accordance with Title II of Part Three CRR. Exposures under the credit risk framework include exposures from both the non-trading book and the trading book subject to a capital charge for counterparty credit risk. Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (0020 to 0155) and the market risk row (row 0160): the exposures due to counterparty credit risk shall be reported in the credit risk rows, while the exposures due to market risk shall be reported in the market risk row. 0030 Standardised Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk. 0040 Central governments Exposures to General governments that are central governments. These exposures are allocated to the Central governments or central banks exposure class in accordance with Articles 112 and 114 CRR, as specified by the instructions for template C 07.00, 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. 0050 Regional governments or local authorities Exposures to General governments that are regional governments or local authorities. These exposures are allocated to the Regional governments or local authorities exposure class in accordance with Articles 112 and 115 CRR, as specified by the instructions for template C 07.00, 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. 0060 Public sector entities Exposures to General governments that are public sector entities. These exposures are allocated to the Public sector entities exposure class in accordance with Articles 112 and 116 CRR, as specified by the instructions for template C 07.00, 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. 0070 International Organisations Exposures to General governments that are international organisations. These exposures are allocated to the International Organisations exposure classes in accordance with Articles 112 and 118 CRR, as specified by the instructions for template C 07.00, 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. 0075 Other general government exposures subject to Standardised Approach Exposures to General governments other than those included in rows 0040 to 0070 above, which are allocated to SA exposure classes in accordance with Article 112 CRR for the purposes of calculating own funds requirements. 0080 IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Chapter 3 of Title II of Part Three CRR, including exposures from the non-trading book for which the risk-weighting in accordance with that Chapter addresses counterparty credit risk. 0090 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 point (a) of Article 147(3) 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.. 0100 Regional governments or local authorities [Central governments and central banks] Exposures to General governments that are regional governments or local authorities and that are allocated to the Central governments and central banks exposure class in accordance with point (a) of Article 147(3) 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. 0110 Regional governments or local authorities [Institutions] Exposures to General governments that are regional governments or local authorities and that are allocated to the Institutions exposure class in accordance with point (a) of Article 147(4) 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. 0120 Public sector entities [Central governments and central banks] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the Central governments and central banks exposure class in accordance with point (a) of Article 147(3) 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. 0130 Public sector entities [Institutions] Exposures to General governments that are public sector entities in accordance with Article 4(8) CRR and that are allocated to the Institutions exposure class in accordance with point (b) of Article 147(4) 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. 0140 International Organisations [Central governments and central banks] Exposures to General governments that are International Organisations and that are allocated to the Central governments and central banks exposure class in accordance with point (c) of Article 147(3) 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. 0155 Other general government exposures subject to IRB Approach Exposures to General governments other than those included in rows 0090 to 0140 above which are allocated to IRB exposure classes in accordance with Article 147 CRR for the purposes of calculating own funds requirements. 0160 Exposures subject to market risk This row covers positions for which one of the following own funds requirements of Title IV of Part Three CRR is calculated: Direct exposures within the scope of Article 271 CRR subject to own funds requirements for both counterparty credit risk and market risk shall be reported both in the credit risk rows (0020 to 0155) and the market risk row (row 0160): the exposure due to counterparty credit risk shall be reported in the credit risk rows, while the exposure due to market risk shall be reported in the market risk row. 0170-0230 BREAKDOWN OF EXPOSURES BY RESIDUAL MATURITY Residual maturity shall be computed in days between the contractual date of maturity and the reporting reference date for all positions. Exposures to General governments shall be broken-down by residual maturity and allocated to the buckets provided as follows: Where the contractual date of maturity is earlier than the reporting reference date (i.e. the difference between reporting reference date and maturity date is a negative value), the exposure shall be allocated to the bucket [0 – 3M]. Exposures without a residual maturity shall be allocated to the residual maturity bucket on the basis of their period of notice or other contractual indications about the maturity. If there is no predefined period of notice nor other contractual indication about the maturity, exposures shall be allocated to the residual maturity bucket [10Y – more].

Own funds requirements for position risk in accordance with Article 326 CRR

Own funds requirements for specific or general risk in accordance with Chapter 5 of Title IV of Part Three CRR.

[0 – 3M [: Less than 90 days;

[3M – 1Y [: Equal or greater than 90 days and less than 365 days;

[1Y – 2Y [: Equal or greater than 365 days and less than 730 days;

[2Y – 3Y [: Equal or greater than 730 days and less than 1095 days;

[3Y – 5Y [: Equal or greater than 1095 days and less than 1825 days;

[5Y – 10Y [: Equal or greater than 1825 days and less than 3650 days;

[10Y – more: Equal or greater than 3650 days.

8. NPE LOSS COVERAGE (NPE LC)

8.

8.1.200.201.202.203.204.205.

GENERAL REMARKS The NPE loss coverage templates contain information about non-performing exposures (NPEs) for the purposes of calculating the minimum loss coverage requirement for non-performing exposures as specified in Articles 47a, 47b and 47c CRR. The block of templates consists of a set of three templates: The the minimum loss coverage requirement for non-performing exposures applies to (i) exposures, originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated before 26 April 2019 when they are modified after that date in a way that increases their exposure value to the obligor (Article 469a CRR), that become non-performing. Institutions shall calculate the deductions for NPEs in accordance with points (a) and (b) of Article 47c(1) CRR„ including the calculation of minimum coverage requirements and total provisions and adjustments or deductions, at individual exposure level (transaction based) and not at debtor or portfolio levels. For the purposes of calculating the deductions for NPEs, institutions shall differentiate between the unsecured and secured part of a NPE in accordance with Article 47c(1) CRR. To this end, institutions shall report exposure values and minimum coverage requirements separately for the unsecured part of NPEs and for the secured part of NPEs. For the purposes of mapping of relevant applicable factors and calculating minimum coverage requirements, institutions shall classify the secured part of NPEs depending on the type of credit protection in accordance with Article 47c(3) CRR as follows: (i) secured by immovable property or residential loan guaranteed by an eligible protection provider as referred to in Art. 201, (ii) secured by other funded or unfunded credit protection or (iii) guaranteed or insured by an official export credit agency,. When a non-performing exposure is secured by more than one type of credit protection, its exposure value shall be allocated according to the quality of the credit protection, starting from the one with the best quality.

8.1.200.201. a)

The calculation of deductions for NPEs (C 35.01): this is an overview template indicating the applicable amount of insufficient coverage, calculated as the difference between the total minimum coverage requirements for NPEs and the total provisions and adjustments or deductions already made. The template covers both the non-performing exposures where forbearance measure has not been granted, and non-performing forborne exposures.

b)

Minimum coverage requirements and exposure values of non-performing exposures, excluding forborne exposures that fall under Article 47c(6) CRR (C 35.02): the template calculates the total minimum coverage requirements for non-performing exposures that are not non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.

c)

Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under Article 47c(6) CRR (C 35.03): the template calculates the total minimum coverage requirements for non-performing forborne exposures that fall under Article 47c(6) CRR, indicating the factors to be applied on the exposure values for the purposes of this calculation given whether the exposure is secured or unsecured and given the time since the exposure became non-performing.

8.2. C 35.01 – THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)

8.2.

8.2.1. Instructions concerning specific positions Columns Instructions 0010 – 0100 Time passed since exposures classified as non-performing The time passed since exposures classified as non-performing shall mean the time in years passed, as of the reference date, since exposure has been classified as non-performing. For purchased non-performing exposures, the time in years shall start to run from the date on which the exposures was originally classified as non- performing, and not from the date of their purchase. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures. For the time interval, > X year(s), <= Y year(s), institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing. 0110 Total Institutions shall report the sum of all columns from 0010 to 0100. Rows Instructions 0010 Applicable amount of insufficient coverage Article 47c(1) CRR For the calculation of the applicable amount of insufficient coverage, institutions shall deduct the total provisions and adjustments or deductions (capped) (row 0080) from the total minimum coverage requirement for non-performing exposures (row 0020). The applicable amount of insufficient coverage (i.e. the shortfall in the total minimum coverage requirement for non-performing exposures) shall be equal to or greater than zero. 0020 Total minimum coverage requirement for non-performing exposures Point (a) of Article 47c(1) CRR For the calculation of the total minimum coverage requirement for non-performing exposures, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0030) and for the secured part of NPEs (row 0040). 0030 Unsecured part of NPEs Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR Institution shall report the total minimum coverage requirement for the unsecured part of NPEs, i.e. the aggregate of calculations at exposure level. The amount reported in each column shall be equal to the sum of the amounts reported in row 0020 of C 35.02 and row 0020 of C 35.03 (where applicable) in the respective columns. 0040 Secured part of NPEs Point (a)(ii) Article 47c(1), Article 47c(3), Article 47c(4), Article 47c(6) CRR. Institutions shall report the total minimum coverage requirement for the secured part of NPEs, i.e. the aggregate of calculations at exposure level. The amount reported in each column shall be equal to the sum of the amounts reported in row 0030-0050 of C 35.02 and row 0030-0040 of C 35.03 (where applicable) in the respective columns. 0050 Exposure value Article 47a(2) CRR Institutions shall report the total exposure value of NPEs including both unsecured and secured exposures. This shall correspond to the sum of row 0060 and row 0070. 0060 Unsecured part of NPEs Article 47a(2) and Article 47c(1) CRR 0070 Secured part of NPEs Article 47a(2) and Article 47c(1) CRR 0080 Total provisions and adjustments or deductions (capped) Institutions shall report the capped amount of the sum of the items listed in rows 0100-0150 in accordance with point (b) of Article 47c(1) CRR. The maximum limit for capped provisions and adjustment or deductions is the amount of minimum coverage requirement at exposure level. Capped amount shall be calculated separately for each exposure as the lower amount between minimum coverage requirement for this exposure and total provisions and adjustments or deductions for the same exposure. 0090 Total provisions and adjustments or deductions (uncapped) Institutions shall report the sum of uncapped amount of the items listed in rows 0100-0150 in accordance with point (b) of Article 47c(1) CRR. Provisions and adjustment or deductions (uncapped) shall not be limited to the amount of minimum coverage requirement at exposure level. 0100 Specific credit risk adjustments Point (b)(i) of Article 47c(1) CRR 0110 Additional valuation adjustments Point (b)(ii) of Article 47c(1) CRR 0120 Other own funds reductions Point (b)(iii) of Article 47c(1) CRR 0130 IRB shortfall Point (b)(iv) of Article 47c(1) CRR 0140 Difference between the purchase price and the amount owed by the debtor Point (b)(v) of Article 47c(1) CRR 0150 Amounts written-off by the institution since the exposure was classified as non-performing Point (b)(vi) of Article 47c(1) CRR

8.3. C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC2)

8.3.

8.3.1. Instructions concerning specific positions Columns Instructions 0010 – 0100 Time passed since exposures classified as non-performing The time passed since exposures classified as non-performing shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures. For the time interval, > X year(s), <= Y year(s), institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing. 0110 Total Institutions shall report the sum of all columns from 0010 to 0100. Rows Instructions 0010 Total minimum coverage requirement Point (a) of Article 47c(1) CRR For the calculation of the total minimum coverage requirement for non-performing exposures, excluding forborne exposures that fall under Article 47c(6) CRR, institutions shall sum the minimum coverage requirement for the unsecured part of NPEs (row 0020) and the minimum coverage requirement for the secured part of NPEs (rows 0030-0050). 0020 Unsecured part of NPEs Point (a)(i) of Article 47c(1), Article 47c(2) CRR The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0070 by the corresponding factor per column. 0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0080 by the corresponding factor per column. 0040 Part of NPEs secured by other funded or unfunded credit protection Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0090 by the corresponding factor per column. 0050 Part of NPEs guaranteed or insured by an official export credit agency Article 47c(4) CRR. The minimum coverage requirement shall be calculated by multiplying the aggregate exposure values in row 0100 by the corresponding factor per column. 0060 Exposure value Article 47a(2) CRR For the calculation of row 0060, institutions shall sum the exposure values reported for the unsecured part of NPEs (row 0070), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0080), the part of NPEs secured by other funded or unfunded credit protection (row 0090) and the part of NPEs guaranteed or insured by an official export credit agency (row 0100). 0070 Unsecured part of NPEs Article 47a(2), Article 47c(1), Article 47c(2) CRR Institutions shall report the total exposure value of unsecured part of NPEs broken-down by time passed since exposures classified as non-performing. 0080 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3) CRR Institutions shall report the total exposure value of the parts of NPEs secured by immovable property pursuant to Title II of Part Three CRR or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 CRR. 0090 Part of NPEs secured by other funded or unfunded credit protection Article 47a(2), Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3) CRR Institutions shall report the total exposure value of the parts of NPEs secured by other funded or unfunded credit protection pursuant to Title II of Part Three CRR. 0100 Part of NPEs guaranteed or insured by an official export credit agency Article 47a(2) and Article 47c(4) CRR Institutions shall report the total exposure value of the parts of NPEs guaranteed or insured by an official export credit agency or guaranteed or counter-guaranteed by another eligible protection provider as referred to in article 47c(4) CRR.

8.4. C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)

8.4.

8.4.1. Instructions concerning specific positions Columns Instructions 0010 – 0100 Time passed since exposures classified as non-performing The time passed since exposures classified as non-performing shall mean the time in years passed since exposure has been classified as non-performing. Institutions shall report data on exposures for which the reference date falls under the corresponding time interval indicating the period in years following exposures’ classification as non-performing, regardless of any application of forbearance measures. For the time interval, > X year(s), <= Y year(s), institutions shall report data on exposures for which the reference date corresponds to the period between the first and the last day of the Yth year following the classification of these exposures as non-performing. 0110 Total Institutions shall report the sum of all columns from 0010 to 0100. Rows Instructions 0010 Total minimum coverage requirement Point (a) of Article 47c(1) and Article 47c(6) CRR For the calculation of total minimum coverage requirement of non-performing forborne exposures that fall under Article 47c(6) CRR, institutions shall sum minimum coverage requirements for the unsecured part of forborne NPEs (row 0020), the part of forborne NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0030) and the part of forborne NPEs secured by other funded or unfunded credit protection (row 0040). 0020 Unsecured part of NPEs Point (a)(i) of Article 47c(1), Article 47c(2), Article 47c(6) CRR Institutions shall report the total minimum coverage requirement for the unsecured part of non-performing forborne exposures that fall under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level. 0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures secured by immovable property pursuant to Title II of Part Three CRR or that are residential loans guaranteed by an eligible protection provider as referred to in Article 201 CRR, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level. 0040 Part of NPEs secured by other funded or unfunded credit protection Point (a)(ii) of Article 47c(1) and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures se-cured by other funded or unfunded credit protection, falling under Article 47c(6) CRR, i.e. the aggregate of calculations at exposure level. 0050 Exposure value Article 47a(2) and Article 47c(6) CRR For the calculation of exposure value, institutions shall sum exposure values for the unsecured part of NPEs (row 0060), the part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider (row 0070) and the part of NPEs secured by other funded or unfunded credit protection (row 0120), where applicable. 0060 Unsecured part of NPEs Article 47a(2), Article 47c(1), Article 47c(2), Article 47c(6) CRR Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall under Article 47c(6) CRR where the first forbearance measure has been granted between the first and the last day of the second year after the classification of the exposure as non-performing (> 1 year; <=2 years). 0070 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Article 47a(2), Article 47c(1) and points (a), (b), (c), (d), (f), (h) and (i) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property pursuant to Title II or Part Three CRR or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 CRR. 0080 > 2 and <= 3 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing. 0090 > 3 and <= 4 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing. 0100 > 4 and <= 5 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing. 0110 > 5 and <= 6 years after classification as NPE Institutions shall report exposure value of forborne NPEs secured that fall under Article 47c(6) CRR by immovable property or residential loan guaranteed by an eligible protection provider where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing. 0120 Part of NPEs secured by other funded or unfunded credit protection Article 47c(1), and points (a), (b), (c), (e) and (g) of Article 47c(3), Article 47c(6) CRR Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection pursuant to Title II of Part Three CRR. 0130 > 2 and <= 3 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the third year after the classification of the exposure as non-performing. 0140 > 3 and <= 4 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fourth year after the classification of the exposure as non-performing. 0150 > 4 and <= 5 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the fifth year after the classification of the exposure as non-performing. 0160 > 5 and <= 6 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) CRR secured by other funded or unfunded credit protection, where the first forbearance measure has been granted between the first and the last day of the sixth year after the classification of the exposure as non-performing.

ANNEX III REPORTING FINANCIAL INFORMATION ACCORDING TO IFRS

FINREP TEMPLATES FOR IFRS TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE PART 1 [QUARTERLY FREQUENCY] Balance Sheet Statement [Statement of Financial Position] 1.1 F 01.01 Balance Sheet Statement: assets 1.2 F 01.02 Balance Sheet Statement: liabilities 1.3 F 01.03 Balance Sheet Statement: equity 2 F 02.00 Statement of profit or loss 3 F 03.00 Statement of comprehensive income Breakdown of financial assets by instrument and by counterparty sector 4.1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading 4.2.1 F 04.02.1 Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss 4.2.2 F 04.02.2 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4.3.1 F 04.03.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income 4.4.1 F 04.04.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost 4.5 F 04.05 Subordinated financial assets 5.1 F 05.01 Loans and advances other than held for trading, trading or held for sale assets by product 6.1 F 06.01 Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes Financial assets subject to impairment that are past due 7.1 F 07.01 Financial assets subject to impairment that are past due Breakdown of financial liabilities 8.1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector 8.2 F 08.02 Subordinated financial liabilities Loan commitments, financial guarantees and other commitments 9.1.1 F 09.01.1 Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given 9.2 F 09.02 Loan commitments, financial guarantees and other commitments received 10 F 10.00 Derivatives - Trading and economic hedges Hedge accounting 11.1 F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge 11.3 F 11.03 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge 11.4 F 11.04 Hedged items in fair value hedges Movements in allowances and provisions for credit losses 12.1 F 12.01 Movements in allowances and provisions for credit losses 12.2 F 12.02 Transfers between impairment stages (gross basis presentation) Collateral and guarantees received 13.1 F 13.01 Breakdown of collateral and guarantees by loans and advances other than held for trading 13.2.1 F 13.02.1 Collateral obtained by taking possession during the period [held at the reference date] 13.3.1 F 13.03.1 Collateral obtained by taking possession accumulated 14 F 14.00 Fair value hierarchy: financial instruments at fair value 15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets Breakdown of selected statement of profit or loss items 16.1 F 16.01 Interest income and expenses by instrument and counterparty sector 16.2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument 16.3 F 16.03 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument 16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk 16.4.1 F 16.04.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument 16.5 F 16.05 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument 16.6 F 16.06 Gains or losses from hedge accounting 16.7 F 16.07 Impairment on non-financial assets 16.8 F 16.08 Other administrative expenses Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 17.1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets 17.2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given 17.3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities Information on performing and non-performing exposures 18 F 18.00 Information on performing and non-performing exposures 18.1 F 18.01 Inflows and outflows of non-performing exposures - loans and advances by counterparty sector 18.2 F 18.02 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property 19 F 19.00 Forborne exposures PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] Geographical breakdown 20.1 F 20.01 Geographical breakdown of assets by location of the activities 20.2 F 20.02 Geographical breakdown of liabilities by location of the activities 20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20.7.1 F 20.07.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 22.1 F 22.01 Fee and commission income and expenses by activity 22.2 F 22.02 Assets involved in the services provided Loans and advances: additional information 23.1 F 23.01 Loans and advances: Number of instruments 23.2 F 23.02 Loans and advances: Additional information on gross carrying amounts 23.3 F 23.03 Loans and advances collateralised by immovable property: Breakdown by LTV ratios 23.4 F 23.04 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk 23.5 F 23.05 Loans and advances: Collateral received and financial guarantees received 23.6 F 23.06 Loans and advances: Accumulated partial write-offs Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year 24.1 F 24.01 Loans and advances: Inflows and outflows of non-performing exposures 24.2 F 24.02 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures 24.3 F 24.03 Loans and advances: Inflow of write-offs of non-performing exposures Collateral obtained by taking possession and execution processes 25.1 F 25.01 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows 25.2 F 25.02 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained 25.3 F 25.03 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) 26 F 26.00 Forbearance management and quality of forbearance PART 3 [SEMI-ANNUAL] Off-balance sheet activities: interests in unconsolidated structured entities 30.1 F 30.01 Interests in unconsolidated structured entities 30.2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities Related parties 31.1 F 31.01 Related parties: amounts payable to and amounts receivable from 31.2 F 31.02 Related parties: expenses and income generated by transactions with PART 4 [ANNUAL] Group structure 40.1 F 40.01 Group structure: entity-by-entity 40.2 F 40.02 Group structure: instrument-by-instrument Fair value 41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41.2 F 41.02 Use of the Fair Value Option 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 44.1 F 44.01 Components of net defined benefit plan assets and liabilities 44.2 F 44.02 Movements in defined benefit plan obligations 44.3 F 44.03 Staff expenses by type of benefits 44.4 F 44.04 Staff expenses by structure and category of staff Breakdown of selected items of statement of profit or loss 45.1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio 45.2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates 45.3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity 47 F 47.00 Average duration and recovery periods

1. Balance Sheet Statement [Statement of Financial Position]

1.

1.1 Assets References Breakdown in table Carrying amount Annex V.Part 1.27 0010 0010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i) 0020 Cash on hand Annex V.Part 2.1 0030 Cash balances at central banks Annex V.Part 2.2 0040 Other demand deposits Annex V.Part 2.3 5 0050 Financial assets held for trading IFRS 9.Appendix A 0060 Derivatives IFRS 9.Appendix A 10 0070 Equity instruments IAS 32.11 4 0080 Debt securities Annex V.Part 1.31 4 0090 Loans and advances Annex V.Part 1.32 4 0096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 4 0097 Equity instruments IAS 32.11 4 0098 Debt securities Annex V.Part 1.31 4 0099 Loans and advances Annex V.Part 1.32 4 0100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 4 0120 Debt securities Annex V.Part 1.31 4 0130 Loans and advances Annex V.Part 1.32 4 0141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 4 0142 Equity instruments IAS 32.11 4 0143 Debt securities Annex V.Part 1.31 4 0144 Loans and advances Annex V.Part 1.32 4 0181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 4 0182 Debt securities Annex V.Part 1.31 4 0183 Loans and advances Annex V.Part 1.32 4 0240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 11 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 0260 Investments in subsidiaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4 40 0270 Tangible assets 0280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a); IFRS 16.47(a) 21, 42 0290 Investment property IAS 40.5; IAS 1.54(b); IFRS 16.48 21, 42 0300 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 0310 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 0320 Other intangible assets IAS 38.8,118; IFRS 16.47 (a) 21, 42 0330 Tax assets IAS 1.54(n-o) 0340 Current tax assets IAS 1.54(n); IAS 12.5 0350 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 0360 Other assets Annex V.Part 2.5 0370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 0380 TOTAL ASSETS IAS 1.9(a), IG 6

1.2 Liabilities References Breakdown in table Carrying amount Annex V.Part 1.27 0010 0010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 8 0020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 10 0030 Short positions IFRS 9.BA7(b) 8 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0050 Debt securities issued Annex V.Part 1.37 8 0060 Other financial liabilities Annex V.Part 1.38-41 8 0070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 8 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0090 Debt securities issued Annex V.Part 1.37 8 0100 Other financial liabilities Annex V.Part 1.38-41 8 0110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 8 0120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0130 Debt securities issued Annex V.Part 1.37 8 0140 Other financial liabilities Annex V.Part 1.38-41 8 0150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 11 0160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 0170 Provisions IAS 37.10; IAS 1.54(l) 43 0180 Pensions and other post employment defined benefit obligations IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 43 0190 Other long term employee benefits IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 43 0200 Restructuring IAS 37.71 43 0210 Pending legal issues and tax litigation IAS 37.14, Appendix C. Examples 6 and 10 43 0220 Commitments and guarantees given IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 91243 0230 Other provisions IAS 37.14 43 0240 Tax liabilities IAS 1.54(n-o) 0250 Current tax liabilities IAS 1.54(n); IAS 12.5 0260 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 0270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 0280 Other liabilities Annex V.Part 2.13 0290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 0300 TOTAL LIABILITIES IAS 1.9(b);IG 6

1.3(-)(-) Equity References Breakdown in table Carrying amount 0010 0010 Capital IAS 1.54(r), BAD art 22 46 0020 Paid up capital IAS 1.78(e) 0030 Unpaid capital which has been called up Annex V.Part 2.14 0040 Share premium IAS 1.78(e); CRR art 4(1)(124) 46 0050 Equity instruments issued other than capital Annex V.Part 2.18-19 46 0060 Equity component of compound financial instruments IAS 32.28-29; Annex V.Part 2.18 0070 Other equity instruments issued Annex V.Part 2.19 0080 Other equity IFRS 2.10; Annex V.Part 2.20 0090 Accumulated other comprehensive income CRR art 4(1)(100) 46 0095 Items that will not be reclassified to profit or loss IAS 1.82A(a) 0100 Tangible assets IAS 16.39-41 0110 Intangible assets IAS 38.85-87 0120 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c) 0122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 0124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 0320 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 0330 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 0340 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 0350 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 0360 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 0128 Items that may be reclassified to profit or loss IAS 1.82A(a) (ii) 0130 Hedge of net investments in foreign operations [effective portion] IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 0140 Foreign currency translation IAS 21.52(b); IAS 21.32, 38-49 0150 Hedging derivatives. Cash flow hedges reserve [effective portion] IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 0155 Fair value changes of debt instruments measured at fair value through other comprehensive income IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 0165 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24 E (b)(c); Annex V.Part 2.60 0170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 0180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 0190 Retained earnings CRR art 4(1)(123) 0200 Revaluation reserves IFRS 1.30, D5-D8; Annex V.Part 2.28 0210 Other reserves IAS 1.54; IAS 1.78(e) 0220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method IAS 28.11; Annex V.Part 2.29 0230 Other Annex V.Part 2.29 0240 Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 46 0250 Profit or loss attributable to owners of the parent IAS 1.81B (b)(ii) 2 0260 Interim dividends IAS 32.35 0270 Minority interests [Non-controlling interests] IAS 1.54(q) 0280 Accumulated Other Comprehensive Income CRR art 4(1)(100) 46 0290 Other items 46 0300 TOTAL EQUITY IAS 1.9(c), IG 6 46 0310 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6

2. Statement of profit or loss References Breakdown in table Current period 0010 0010 Interest income IAS 1.97; Annex V.Part 2.31 16 0020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 0025 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 0030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 0041 Financial assets at fair value through other comprehensive income IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A 0051 Financial assets at amortised cost IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 0070 Derivatives - Hedge accounting, interest rate risk IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 0080 Other assets Annex V.Part 2.36 0085 Interest income on liabilities IFRS 9.5.7.1, Annex V.Part 2.37 0090 (Interest expenses) IAS 1.97; Annex V.Part 2.31 16 0100 (Financial liabilities held for trading) IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 0110 (Financial liabilities designated at fair value through profit or loss) IFRS 7.20(a)(i), B5(e) 0120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IFRS 9.5.7.2 0130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.35 0140 (Other liabilities) Annex V.Part 2.38 0145 (Interest expense on assets) IFRS 9.5.7.1, Annex V.Part 2.39 0150 (Expenses on share capital repayable on demand) IFRIC 2.11 0160 Dividend income Annex V.Part 2.40 31 0170 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 0175 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 0191 Financial assets at fair value through other comprehensive income IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 0192 Investments in subsidiaries, joint ventures and associates accounted for using other than equity method Annex V Part 2 .42 0200 Fee and commission income IFRS 7.20(c) 22 0210 (Fee and commission expenses) IFRS 7.20(c) 22 0220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net Annex V.Part 2.45 16 0231 Financial assets at fair value through other comprehensive income IFRS 9.4.12A; IFRS 9.5.7.10-11 0241 Financial assets at amortised cost IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 0260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IFRS 9.5.7.2 0270 Other 0280 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 16 0287 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 0290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 16, 45 0300 Gains or (-) losses from hedge accounting, net Annex V.Part 2.47 16 0310 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a) 0320 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net Annex V.Part 2.56 0330 Gains or (-) losses on derecognition of non-financial assets, net IAS 1.34; Annex V. Part 2.48 45 0340 Other operating income Annex V.Part 2.314-316 45 0350 (Other operating expenses) Annex V.Part 2.314-316 45 0355 TOTAL OPERATING INCOME, NET 0360 (Administrative expenses) 0370 (Staff expenses) IAS 19.7; IAS 1.102, IG 6 44 0380 (Other administrative expenses) 16 0385 (Cash contributions to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i 0390 (Depreciation) IAS 1.102, 104 0400 (Property, Plant and Equipment) IAS 1.104; IAS 16.73(e)(vii) 0410 (Investment Properties) IAS 1.104; IAS 40.79(d)(iv) 0420 (Other intangible assets) IAS 1.104; IAS 38.118(e)(vi) 0425 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 0426 Financial assets at fair value through other comprehensive income IFRS 7.35J 0427 Financial assets at amortised cost IFRS 7.35J 0430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 91243 0435 (payment commitments to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i 0440 (Commitments and guarantees given) IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 0450 (Other provisions) 0460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 12 0481 (Financial assets at fair value through other comprehensive income) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 12 0491 (Financial assets at amortised cost) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 12 0510 (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) IAS 28.40-43 16 0520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 0530 (Property, plant and equipment) IAS 16.73(e)(v-vi) 0540 (Investment properties) IAS 40.79(d)(v) 0550 (Goodwill) IFRS 3.Appendix B67(d)(v); IAS 36.124 0560 (Other intangible assets) IAS 38.118 (e)(iv)(v) 0570 (Other) IAS 36.126 (a)(b) 0580 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 0590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method Annex V.Part 2.54 0600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.55 0610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 0620 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 0630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 0640 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 0650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i) 0660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv) 0670 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a) 0680 Attributable to minority interest [non-controlling interests] IAS 1.81B (b)(i) 0690 Attributable to owners of the parent IAS 1.81B (b)(ii)

3. Statement of comprehensive income References Current period 0010 0010 Profit or (-) loss for the year IAS 1.7, IG6 0020 Other comprehensive income IAS 1.7, IG6 0030 Items that will not be reclassified to profit or loss IAS 1.82A(a)(i) 0040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 0050 Intangible assets IAS 1.7; IAS 38.85-86 0060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c) 0070 Non-current assets and disposal groups held for sale IFRS 5.38 0080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.IG6; IAS 28.10 0081 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d) 0083 Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 0084 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 0085 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 0086 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f) 0090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.66 0100 Items that may be reclassified to profit or loss IAS 1.82A(a)(ii) 0110 Hedge of net investments in foreign operations [effective portion] IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 0120 Valuation gains or (-) losses taken to equity IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 0130 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 0140 Other reclassifications Annex V.Part 2.65 0150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 0160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 0170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 0180 Other reclassifications Annex V.Part 2.65 0190 Cash flow hedges [effective portion] IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 0200 Valuation gains or (-) losses taken to equity IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) 0210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 0220 Transferred to initial carrying amount of hedged items IAS 1.IG6;IFRS 9.6.5.11(d)(i) 0230 Other reclassifications Annex V.Part 2.65 0231 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.60 0232 Valuation gains or (-) losses taken to equity IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) 0233 Transferred to profit or loss IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 0234 Other reclassifications Annex V.Part 2.65 0241 Debt instruments at fair value through other comprehensive income IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 0251 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 0261 Transferred to profit or loss IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 0270 Other reclassifications IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 0280 Non-current assets and disposal groups held for sale IFRS 5.38 0290 Valuation gains or (-) losses taken to equity IFRS 5.38 0300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 0310 Other reclassifications IFRS 5.IG Example 12 0320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 0330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.66 0340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 0350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 0360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6

4. Breakdown of financial assets by instrument and by counterparty sector

4.

4.1 Financial assets held for trading References Carrying amount Annex V.Part 1.27 0010 0005 Derivatives 0010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 0030 of which: credit institutions Annex V.Part 1.42(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 FINANCIAL ASSETS HELD FOR TRADING IFRS 9.Appendix A

4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss References Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 0010 0020 0010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 0020 of which: credit institutions Annex V.Part 1.42(c) 0030 of which: other financial corporations Annex V.Part 1.42(d) 0040 of which: non-financial corporations Annex V.Part 1.42(e) 0050 Debt securities Annex V.Part 1.31, 44(b) 0060 Central banks Annex V.Part 1.42(a) 0070 General governments Annex V.Part 1.42(b) 0080 Credit institutions Annex V.Part 1.42(c) 0090 Other financial corporations Annex V.Part 1.42(d) 0100 Non-financial corporations Annex V.Part 1.42(e) 0110 Loans and advances Annex V.Part 1.32, 44(a) 0120 Central banks Annex V.Part 1.42(a) 0130 General governments Annex V.Part 1.42(b) 0140 Credit institutions Annex V.Part 1.42(c) 0150 Other financial corporations Annex V.Part 1.42(d) 0160 Non-financial corporations Annex V.Part 1.42(e) 0170 Households Annex V.Part 1.42(f) 0180 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4

4.2.2 Financial assets designated at fair value through profit or loss References Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 0010 0020 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(i); IFRS 9.4.1.5

4.3.1 Financial assets at fair value through other comprehensive income References Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(b), 71 Accumulated partial write-offs Accumulated total write-offs Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67 IFRS 9.5.5.5; IFRS7.35H(a); IFRS 7.16A IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i); IFRS 7.16A IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 0010 0015 0020 0030 0040 0041 0050 0060 0070 0071 0080 0090 0010 Equity instruments IAS 32.11; Annex V.Part 1.44(b) 0020 of which: credit institutions Annex V.Part 1.42(c) 0030 of which: other financial corporations Annex V.Part 1.42(d) 0040 of which: non-financial corporations Annex V.Part 1.42(e) 0050 Debt securities Annex V.Part 1.31, 44(b) 0060 Central banks Annex V.Part 1.42(a) 0070 General governments Annex V.Part 1.42(b) 0080 Credit institutions Annex V.Part 1.42(c) 0090 Other financial corporations Annex V.Part 1.42(d) 0100 Non-financial corporations Annex V.Part 1.42(e) 0110 Loans and advances Annex V.Part 1.32, 44(a) 0120 Central banks Annex V.Part 1.42(a) 0130 General governments Annex V.Part 1.42(b) 0140 Credit institutions Annex V.Part 1.42(c) 0150 Other financial corporations Annex V.Part 1.42(d) 0160 Non-financial corporations Annex V.Part 1.42(e) 0165 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0170 Households Annex V.Part 1.42(f) 0180 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2A

4.4.1 Financial assets at amortised cost References Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(a), 71 Accumulated partial write-offs Accumulated total write-offs Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67 IFRS 9.5.5.5; IFRS7.35H(a) IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 0010 0015 0020 0030 0040 0041 0050 0060 0070 0071 0080 0090 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0125 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0130 Households Annex V.Part 1.42(f) 0140 FINANCIAL ASSETS AT AMORTISED COST IFRS 7.8(f); IFRS 9.4.1.2

4.5 Subordinated financial assets References Carrying amount Annex V.Part 1.27 0010 0010 Loans and advances Annex V.Part 1.32 0020 Debt securities Annex V.Part 1.31 0030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Annex V.Part 2.78, 100

5. Breakdown of non-trading loans and advances by product

5.

5.1 Loans and advances other than held for trading, trading or held for sale assets by product References Gross carrying amount Carrying amount Annex V.Part 1.27 Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households Annex V.Part 1.34 Annex V.Part 1.42(a) Annex V.Part 1.42(b) Annex V.Part 1.42(c) Annex V.Part 1.42(d) Annex V.Part 1.42(e) Annex V.Part 1.42(f) 0005 0010 0020 0030 0040 0050 0060 By product 0010 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 0020 Credit card debt Annex V.Part 2.85(b) 0030 Trade receivables Annex V.Part 2.85(c) 0040 Finance leases Annex V.Part 2.85(d) 0050 Reverse repurchase loans Annex V.Part 2.85(e) 0060 Other term loans Annex V.Part 2.85(f) 0070 Advances that are not loans Annex V.Part 2.85(g) 0080 LOANS AND ADVANCES Annex V.Part 1.32, 44(a) By collateral 0090 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87 0100 of which: other collateralized loans Annex V.Part 2.86(b), 87 By purpose 0110 of which: credit for consumption Annex V.Part 2.88(a) 0120 of which: lending for house purchase Annex V.Part 2.88(b) By subordination 0130 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)

6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes

6.

6.1 Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes References Non-financial corporations Annex V.Part 1.42(e), Part 2.91 Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which: loans and advances subject to impairment Of which: non-performing of which: defaulted Annex V.Part 1.34 Annex V.Part 2.93 Annex V.Part 2. 213-232 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.70-71 Annex V.Part 2.69 0010 0011 0012 0013 0021 0022 0010 A Agriculture, forestry and fishing NACE Regulation 0020 B Mining and quarrying NACE Regulation 0030 C Manufacturing NACE Regulation 0040 D Electricity, gas, steam and air conditioning supply NACE Regulation 0050 E Water supply NACE Regulation 0060 F Construction NACE Regulation 0070 G Wholesale and retail trade NACE Regulation 0080 H Transport and storage NACE Regulation 0090 I Accommodation and food service activities NACE Regulation 0100 J Information and communication NACE Regulation 0105 K Financial and insurance activities NACE Regulation, Annex V.Part 2.92 0110 L Real estate activities NACE Regulation 0120 M Professional, scientific and technical activities NACE Regulation 0130 N Administrative and support service activities NACE Regulation 0140 O Public administration and defence, compulsory social security NACE Regulation 0150 P Education NACE Regulation 0160 Q Human health services and social work activities NACE Regulation 0170 R Arts, entertainment and recreation NACE Regulation 0180 S Other services NACE Regulation 0190 LOANS AND ADVANCES Annex V.Part 1.32, Part 2.90

7. Financial assets subject to impairment that are past due

7.

7.1 Financial assets subject to impairment that are past due References Carrying amount Annex V.Part 1.27 Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95 Loans and advances by product, by collateral and by subordination 0200 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 0210 Credit card debt Annex V.Part 2.85(b) 0220 Trade receivables Annex V.Part 2.85(c) 0230 Finance leases Annex V.Part 2.85(d) 0240 Reverse repurchase loans Annex V.Part 2.85(e) 0250 Other term loans Annex V.Part 2.85(f) 0260 Advances that are not loans Annex V.Part 2.85(g) 0270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87 0280 of which: other collateralized loans Annex V.Part 2.86(b), 87 0290 of which: credit for consumption Annex V.Part 2.88(a) 0300 of which: lending for house purchase Annex V.Part 2.88(b) 0310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)

8. Breakdown of financial liabilities

8.

8.1 Breakdown of financial liabilities by product and by counterparty sector References National GAAP compatible IFRS Carrying amountAnnex V.Part 1.27 Accumulated changes in fair value due to credit risk Held for trading Designated at fair value through profit or loss Amortised cost Hedge accounting IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 IFRS 7.24A(a); IFRS 9.6 CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 0010 0020 0030 0037 0040 0010 Derivatives IFRS 9.BA.7(a) 0020 Short positions FRS 9.BA.7(b) 0030 Equity instruments IAS 32.11 0040 Debt securities Annex V.Part 1.31 0050 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0060 Central banks Annex V.Part 1.42(a), 44(c) 0070 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 0080 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 0090 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0100 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 0110 General governments Annex V.Part 1.42(b), 44(c) 0120 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 0130 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 0140 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0150 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 0160 Credit institutions Annex V.Part 1.42(c),44(c) 0170 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 0180 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 0190 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0200 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 0210 Other financial corporations Annex V.Part 1.42(d),44(c) 0220 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 0230 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 0240 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0250 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 0260 Non-financial corporations Annex V.Part 1.42(e), 44(c) 0270 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 0280 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 0290 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0300 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 0310 Households Annex V.Part 1.42(f), 44(c) 0320 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 0330 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 0340 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0350 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 0360 Debt securities issued Annex V.Part 1.37, Part 2.98 0370 Certificates of deposits Annex V.Part 2.98(a) 0380 Asset-backed securities CRR art 4(1)(61) 0390 Covered bonds CRR art 129 0400 Hybrid contracts Annex V.Part 2.98(d) 0410 Other debt securities issued Annex V.Part 2.98(e) 0420 Convertible compound financial instruments IAS 32.AG 31 0430 Non-convertible 0440 Other financial liabilities Annex V.Part 1.38-41 0445 of which: lease liabilities IFRS 16.22, 26-28, 47(b) 0450 FINANCIAL LIABILITIES

8.2 Subordinated financial liabilities References Carriyng amount Designated at fair value through profit or loss At amortized cost IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 0010 0020 0010 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0020 Debt securities issued Annex V.Part 1.37 0030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.99-100

9. Loan commitments, financial guarantees and other commitments

9.

9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 Commitments and financial guarantees measured at fair value Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Purchased or originated credit-impaired instruments Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Purchased or originated credit-impaired instruments Nominal amount Provision Nominal amount Accumulated negative changes in fair value due to credit risk on non-performing commitments IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M IFRS 7.35M; Annex V.Part 2.107 IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) IFRS 7.35M;Annex V.Part 2.107 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 IFRS 9.2.3(a), 9.B2.5;Annex V Part 2.110, 118 Annex V Part 2.69 0010 0020 0030 0035 0040 0050 0060 0065 0100 0110 0120 0130 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0021 of which: non-performing Annex V.Part 2.117 0030 Central banks Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) 0080 Households Annex V.Part 1.42(f) 0090 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0101 of which: non-performing Annex V.Part 2.117 0110 Central banks Annex V.Part 1.42(a) 0120 General governments Annex V.Part 1.42(b) 0130 Credit institutions Annex V.Part 1.42(c) 0140 Other financial corporations Annex V.Part 1.42(d) 0150 Non-financial corporations Annex V.Part 1.42(e) 0160 Households Annex V.Part 1.42(f) 0170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0181 of which: non-performing Annex V.Part 2.117 0190 Central banks Annex V.Part 1.42(a) 0200 General governments Annex V.Part 1.42(b) 0210 Credit institutions Annex V.Part 1.42(c) 0220 Other financial corporations Annex V.Part 1.42(d) 0230 Non-financial corporations Annex V.Part 1.42(e) 0240 Households Annex V.Part 1.42(f)

9.2 Loan commitments, financial guarantees and other commitments received References Maximum amount of the guarantee that can be considered Nominal amount IFRS 7.36 (b); Annex V.Part 2.119 Annex V.Part 2.119 0010 0020 0010 Loan commitments received IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Households Annex V.Part 1.42(f) 0080 Financial guarantees received IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 0090 Central banks Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) 0140 Households Annex V.Part 1.42(f) 0150 Other Commitments received Annex V.Part 1.44(h), Part 2.102-103, 115 0160 Central banks Annex V.Part 1.42(a) 0170 General governments Annex V.Part 1.42(b) 0180 Credit institutions Annex V.Part 1.42(c) 0190 Other financial corporations Annex V.Part 1.42(d) 0200 Non-financial corporations Annex V.Part 1.42(e) 0210 Households Annex V.Part 1.42(f)

10. Derivatives – Trading and economic hedges By type of risk / By product or by type of market References Carrying amount Notional amount Financial assets Held for trading and trading Financial liabilities Held for trading and trading Total Trading of which: sold Annex V.Part 2.120, 131 IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 0010 0020 0030 0040 0010 Interest rate Annex V.Part 2.129(a) 0020 of which: economic hedges Annex V.Part 2.137-139 0030 OTC options Annex V.Part 2.136 0040 OTC other Annex V.Part 2.136 0050 Organized market options Annex V.Part 2.136 0060 Organized market other Annex V.Part 2.136 0070 Equity Annex V.Part 2.129(b) 0080 of which: economic hedges Annex V.Part 2.137-139 0090 OTC options Annex V.Part 2.136 0100 OTC other Annex V.Part 2.136 0110 Organized market options Annex V.Part 2.136 0120 Organized market other Annex V.Part 2.136 0130 Foreign exchange and gold Annex V.Part 2.129(c) 0140 of which: economic hedges Annex V.Part 2.137-139 0150 OTC options Annex V.Part 2.136 0160 OTC other Annex V.Part 2.136 0170 Organized market options Annex V.Part 2.136 0180 Organized market other Annex V.Part 2.136 0190 Credit Annex V.Part 2.129(d) 0195 of which: economic hedges with use of the fair value option IFRS 9.6.7.1; Annex V.Part 2.140 0201 of which: other economic hedges Annex V.Part 2.137-140 0210 Credit default swap 0220 Credit spread option 0230 Total return swap 0240 Other 0250 Commodity Annex V.Part 2.129(e) 0260 of which: economic hedges Annex V.Part 2.137-139 0270 Other Annex V.Part 2.129(f) 0280 of which: economic hedges Annex V.Part 2.137-139 0290 DERIVATIVES IFRS 9.Appendix A 0300 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 0310 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 0320 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c)

11. Hedge accounting

11.

11.1 Derivatives – Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of market References Carrying amount Notional amount Assets Liabilities Total Hedging of which: sold IFRS 7.24A; Annex V.Part 2.120, 131 IFRS 7.24A; Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 0010 0020 0030 0040 0010 Interest rate Annex V.Part 2.129(a) 0020 OTC options Annex V.Part 2.136 0030 OTC other Annex V.Part 2.136 0040 Organized market options Annex V.Part 2.136 0050 Organized market other Annex V.Part 2.136 0060 Equity Annex V.Part 2.129(b) 0070 OTC options Annex V.Part 2.136 0080 OTC other Annex V.Part 2.136 0090 Organized market options Annex V.Part 2.136 0100 Organized market other Annex V.Part 2.136 0110 Foreign exchange and gold Annex V.Part 2.129(c) 0120 OTC options Annex V.Part 2.136 0130 OTC other Annex V.Part 2.136 0140 Organized market options Annex V.Part 2.136 0150 Organized market other Annex V.Part 2.136 0160 Credit Annex V.Part 2.129(d) 0170 Credit default swap Annex V.Part 2.136 0180 Credit spread option Annex V.Part 2.136 0190 Total return swap Annex V.Part 2.136 0200 Other Annex V.Part 2.136 0210 Commodity Annex V.Part 2.129(e) 0220 Other Annex V.Part 2.129(f) 0230 FAIR VALUE HEDGES IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) 0240 Interest rate Annex V.Part 2.129(a) 0250 OTC options Annex V.Part 2.136 0260 OTC other Annex V.Part 2.136 0270 Organized market options Annex V.Part 2.136 0280 Organized market other Annex V.Part 2.136 0290 Equity Annex V.Part 2.129(b) 0300 OTC options Annex V.Part 2.136 0310 OTC other Annex V.Part 2.136 0320 Organized market options Annex V.Part 2.136 0330 Organized market other Annex V.Part 2.136 0340 Foreign exchange and gold Annex V.Part 2.129(c) 0350 OTC options Annex V.Part 2.136 0360 OTC other Annex V.Part 2.136 0370 Organized market options Annex V.Part 2.136 0380 Organized market other Annex V.Part 2.136 0390 Credit Annex V.Part 2.129(d) 0400 Credit default swap Annex V.Part 2.136 0410 Credit spread option Annex V.Part 2.136 0420 Total return swap Annex V.Part 2.136 0430 Other Annex V.Part 2.136 0440 Commodity Annex V.Part 2.129(e) 0450 Other Annex V.Part 2.129(f) 0460 CASH FLOW HEDGES IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) 0470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) 0480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.71, 81A, 89A, AG 114-132 0490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39.71 0500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.24A; IAS 39.9; IFRS 9.6.1 0510 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 0520 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 0530 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c)

11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge References Carrying amount Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation Annex V.Part 2.145 Annex V.Part 2.145 Annex V.Part 2.145 0010 0020 0030 0010 Non-derivative financial assets IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 0020 of which: Financial assets held for trading IFRS 9.Appendix A 0030 of which: Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 0040 of which: Financial assets designated at fair value through profit or loss IFRS 9.4.1.5; IFRS 7.8(a)(i) 0050 Non-derivative financial liabilities IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 0060 Financial liabilities held for trading IFRS 9.Appendix A 0070 Financial liabilities designated at fair value through profit or loss IFRS 9.4.2.1; IFRS 9.6.2.2 0080 Financial assets at amortised cost IFRS 9.4.2.1; IFRS 9.6.2.2

11.4 Hedged items in fair value hedges References Micro-hedges Micro-hedges - Net position hedge Hedge adjustments on micro-hedges Macro hedges Carrying amount Assets or liabilities included in hedge of a net position (before netting) Hedge adjustments included in the carrying amount of assets/liabilities Remaining adjustments for discontinued micro hedges including hedges of net positions Hedged items in portfolio hedge of interest rate risk IFRS 7.24B(a), Annex V.Part 2.146, 147 IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 0010 0020 0030 0040 0050 ASSETS 0010 Financial assets measured at fair value through other comprehensive income IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 0020 Interest rate Annex V.Part 2.129(a) 0030 Equity Annex V.Part 2.129(b) 0040 Foreign exchange and gold Annex V.Part 2.129(c) 0050 Credit Annex V.Part 2.129(d) 0060 Commodity Annex V.Part 2.129(e) 0070 Other Annex V.Part 2.129(f) 0080 Financial assets measured at amortised cost IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 0090 Interest rate Annex V.Part 2.129(a) 0100 Equity Annex V.Part 2.129(b) 0110 Foreign exchange and gold Annex V.Part 2.129(c) 0120 Credit Annex V.Part 2.129(d) 0130 Commodity Annex V.Part 2.129(e) 0140 Other Annex V.Part 2.129(f) LIABILITIES 0150 Financial liabilities measured at amortised costs IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 0160 Interest rate Annex V.Part 2.129(a) 0170 Equity Annex V.Part 2.129(b) 0180 Foreign exchange and gold Annex V.Part 2.129(c) 0190 Credit Annex V.Part 2.129(d) 0200 Commodity Annex V.Part 2.129(e) 0210 Other Annex V.Part 2.129(f)

12. Movements in allowances and provisions for credit losses

12.

12.1 Movements in allowances and provisions for credit losses References Opening balance Increases due to origination and acquisition Decreases due to derecognition Changes due to change in credit risk (net) Changes due to modifications without derecognition (net) Changes due to update in the institution's methodology for estimation (net) Decrease in allowance account due to write-offs Other adjustments Closing balance Recoveries of previously written-off amounts recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss Gains or losses on derecognition of debt instruments IFRS 7.35I; Annex V.Part 2.159, 164(b) IFRS 7.35I; Annex V.Part 2.160, 164(b) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 IFRS 9.5.4.4; Annex V.Part 2.165 Annex V.Part 2.166i 0010 0020 0030 0040 0050 0070 0080 0090 0100 0110 0120 0125 0010 Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) IFRS 9.5.5.5 0015 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0020 Debt securities Annex V.Part 1.31, 44(b) 0030 Central banks Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) 0080 Loans and advances Annex V.Part 1.32, 44(a) 0090 Central banks Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) 0140 Households Annex V.Part 1.42(f) 0160 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0170 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0180 Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) IFRS 9.5.5.3 0185 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0190 Debt securities Annex V.Part 1.31, 44(b) 0200 Central banks Annex V.Part 1.42(a) 0210 General governments Annex V.Part 1.42(b) 0220 Credit institutions Annex V.Part 1.42(c) 0230 Other financial corporations Annex V.Part 1.42(d) 0240 Non-financial corporations Annex V.Part 1.42(e) 0250 Loans and advances Annex V.Part 1.32, 44(a) 0260 Central banks Annex V.Part 1.42(a) 0270 General governments Annex V.Part 1.42(b) 0280 Credit institutions Annex V.Part 1.42(c) 0290 Other financial corporations Annex V.Part 1.42(d) 0300 Non-financial corporations Annex V.Part 1.42(e) 0310 Households Annex V.Part 1.42(f) 0330 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0340 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0350 of which: non-performing Annex V.Part 2.213-232 0360 Allowances for credit-impaired debt instruments (Stage 3) IFRS 9.5.5.1, 9. Appendix A 0365 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0370 Debt securities Annex V.Part 1.31, 44(b) 0380 Central banks Annex V.Part 1.42(a) 0390 General governments Annex V.Part 1.42(b) 0400 Credit institutions Annex V.Part 1.42(c) 0410 Other financial corporations Annex V.Part 1.42(d) 0420 Non-financial corporations Annex V.Part 1.42(e) 0430 Loans and advances Annex V.Part 1.32, 44(a) 0440 Central banks Annex V.Part 1.42(a) 0450 General governments Annex V.Part 1.42(b) 0460 Credit institutions Annex V.Part 1.42(c) 0470 Other financial corporations Annex V.Part 1.42(d) 0480 Non-financial corporations Annex V.Part 1.42(e) 0490 Households Annex V.Part 1.42(f) 0500 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0510 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0600 Allowances for purchased or originated credit-impaired financial assets Annex V.Part 2.156 0610 Debt securities Annex V.Part 1.31, 44(b) 0620 Central banks Annex V.Part 1.42(a) 0630 General governments Annex V.Part 1.42(b) 0640 Credit institutions Annex V.Part 1.42(c) 0650 Other financial corporations Annex V.Part 1.42(d) 0660 Non-financial corporations Annex V.Part 1.42(e) 0670 Loans and advances Annex V.Part 1.32, 44(a) 0680 Central banks Annex V.Part 1.42(a) 0690 General governments Annex V.Part 1.42(b) 0700 Credit institutions Annex V.Part 1.42(c) 0710 Other financial corporations Annex V.Part 1.42(d) 0720 Non-financial corporations Annex V.Part 1.42(e) 0730 Households Annex V.Part 1.42(f) 0740 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0750 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0520 Total allowance for debt instruments IFRS 7.B8E 0530 Commitments and financial guarantees given (Stage 1) IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 0540 Commitments and financial guarantees given (Stage 2) IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 0550 of which: non-performing Annex V.Part 2.117 0560 Commitments and financial guarantees given (Stage 3) IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 0565 Commitments and financial guarantees given (Purchased or originated credit-impaired) Annex V.Part 2.156 0570 Total provisions on commitments and financial guarantees given IFRS 7.B8E; Annex V.Part 2.157

12.2 Transfers between impairment stages (gross basis presentation) References Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 Transfers between Stage 1 and Stage 2 Transfers between Stage 2 and Stage 3 Transfers between Stage 1 and Stage 3 To Stage 2 from Stage 1 To Stage 1 from Stage 2 To Stage 3 from Stage 2 To Stage 2 from Stage 3 To Stage 3 from Stage 1 To Stage 1 from Stage 3 Annex V.Part 2.168-169 0010 0020 0030 0040 0050 0060 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0130 Households Annex V.Part 1.42(f) 0140 Total debt instruments 0150 Commitments and financial guarantees given IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5

13. Collateral and guarantees received

13.

13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateral References Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 Loans collateralized by immovable property Other collateralised loans Financial guarantees received Residential immovable property Commercial immovable property Cash, deposits, [debt securities issued] Movable property Equity and debt securities Rest of which: credit derivatives IFRS 7.36(b) Annex V.Part 2.173(a) Annex V.Part 2.173(a) Annex V.Part 2.173(b)(i) Annex V.Part 2.173(b)(ii) Annex V.Part 2.173(b)(iii) Annex V.Part 2.173(b)(iv) Annex V.Part 2.173(c) Annex V.Part 2.114(b) 0010 0020 0030 0031 0032 0041 0050 0055 0010 Loans and advances Annex V.Part 1.32, 44(a) 0015 of which: non-performing CRR Art. 47a (3); Annex V. Part 2. 213-239, 260 0020 of which: Other financial corporations Annex V.Part 1.42(d) 0030 of which: Non-financial corporations Annex V.Part 1.42(e) 0035 of which: Small and Medium-sized Enterprises (SMEs) SME Art 1 2(a) 0036 of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239ix 0037 of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239ix 0040 of which: Households Annex V.Part 1.42(f) 0050 of which: Lending for house purchase Annex V.Part 2.88(b) 0060 of which: Credit for consumption Annex V.Part 2.88(a)

13.2.1 Collateral obtained by taking possession during the period [held at the reference date] References Collateral obtained by taking possession during the period [held at the reference date] (Annex V.Part 2.175) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28 0010 0020 0030 0040 0050 0010 Property, Plant and Equipment IAS 16.6 0020 Other than Property Plant and Equipment IFRS 7.38(a) 0030 Residential immovable property IFRS 7.38(a), Annex V.Part 2.173(a) 0040 Commercial immovable property IFRS 7.38(a), Annex V.Part 2.173(a) 0050 Movable property IFRS 7.38(a), Annex V.Part 2.173(b)(ii) 0060 Equity and debt securities IFRS 7.38(a), Annex V.Part 2.173(b)(iii) 0070 Other IFRS 7.38(a), Annex V.Part 2.173(b)(iv) 0080 Total

13.3.1 Collateral obtained by taking possession accumulated References Collateral obtained by taking possession accumulated (Annex V.Part 2.176) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28 0010 0020 0030 0040 0050 0010 Property, Plant and Equipment IAS 16.6 0020 Other than Property Plant and Equipment IFRS 7.38(a) 0030 Residential immovable property IFRS 7.38(a), Annex V.Part 2.173(a) 0040 Commercial immovable property IFRS 7.38(a), Annex V.Part 2.173(a) 0050 Movable property IFRS 7.38(a), Annex V.Part 2.173(b)(ii) 0060 Equity and debt securities IFRS 7.38(a), Annex V.Part 2.173(b)(iii) 0070 Other IFRS 7.38(a), Annex V.Part 2.173(b)(iv) 0080 Total

14. Fair value hierachy: financial instruments at fair value References Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.178 Accumulated change in fair value before taxes Annex V.Part 2.179 Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3 IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86 0010 0020 0030 0040 0050 0060 0070 0080 ASSETS 0010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 0020 Derivatives IFRS 9.Appendix A 0030 Equity instruments IAS 32.11, 0040 Debt securities Annex V.Part 1.31 0050 Loans and advances Annex V.Part 1.32 0056 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 0057 Equity instruments IAS 32.11 0058 Debt securities Annex V.Part 1.31 0059 Loans and advances Annex V.Part 1.32 0060 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 0080 Debt securities Annex V.Part 1.31 0090 Loans and advances Annex V.Part 1.32 0101 Financial assets at fair value through other comprehensive income IFRS 7.8 (h); IFRS 9.4.1.2A 0102 Equity instruments IAS 32.11 0103 Debt securities Annex V.Part 1.31 0104 Loans and advances Annex V.Part 1.32 0140 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 LIABILITIES 0150 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 0160 Derivatives IFRS 9.BA.7(a) 0170 Short positions IFRS 9.BA.7(b) 0180 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0190 Debt securities issued Annex V.Part 1.37 0200 Other financial liabilities Annex V.Part 1.38-41 0210 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e) (i); IFRS 9.4.1.5 0220 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0230 Debt securities issued Annex V.Part 1.37 0240 Other financial liabilities Annex V.Part 1.38-41 0250 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26

15. Derecognition and financial liabilities associated with transferred financial assets References Transferred financial assets entirely recognized Transferred financial assets recognized to the extent of the instution's continuing involvement Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights Amounts derecognised for capital purposes Transferred assets Associated liabilities ITS V.Part 2.181 Principal amount outstanding of the original assets Carrying amount of assets still recognised [continuing involvement] Carrying amount of associated liabilites Carrying amount Of which: securitizations Of which: repurchase agreements Carrying amount Of which: securitizations Of which: repurchase agreements IFRS 7.42D.(e), Annex V.Part 1.27 IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 CRR art 109; Annex V.Part 2.182 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0045 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 0046 Equity instruments IAS 32.11 0047 Debt securities Annex V.Part 1.31 0048 Loans and advances Annex V.Part 1.32 0050 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 0070 Debt securities Annex V.Part 1.31 0080 Loans and advances Annex V.Part 1.32 0091 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 0092 Equity instruments IAS 32.11 0093 Debt securities Annex V.Part 1.31 0094 Loans and advances Annex V.Part 1.32 0131 Financial assets at amortised cost IFRS 7.8 (f); IFRS 9.4.1.2 0132 Debt securities Annex V.Part 1.31 0133 Loans and advances Annex V.Part 1.32 0190 Total

16. Breakdown of selected statement of profit or loss items

16.

16.1 Interest income and expenses by instrument and counterparty sector References Current period Income Expenses Annex V.Part 2.187, 189 Annex V.Part 2.188, 190 0010 0020 0010 Derivatives -Trading IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 0015 of which: interest income from derivatives in economic hedges Annex V.Part 2.193 0020 Debt securities Annex V.Part 1.31, 44(b) 0030 Central banks Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) 0080 Loans and advances Annex V.Part 1.32, 44(a) 0090 Central banks Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) 0140 Households Annex V.Part 1.42(f) 0141 of which: lending for house purchase Annex V.Part 2.88(b), 194i 0142 of which: credit for consumption Annex V.Part 2.88(a), 194i 0150 Other assets Annex V.Part 2.5 0160 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0170 Central banks Annex V.Part 1.42(a) 0180 General governments Annex V.Part 1.42(b) 0190 Credit institutions Annex V.Part 1.42(c) 0200 Other financial corporations Annex V.Part 1.42(d) 0210 Non-financial corporations Annex V.Part 1.42(e) 0220 Households Annex V.Part 1.42(f) 0230 Debt securities issued Annex V.Part 1.37 0240 Other financial liabilities Annex V.Part 1.32-34, Part 2.191 0250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.192 0260 Other Liabilities Annex V.Part 1.38-41 0270 INTEREST IAS 1.97 0280 of which: interest-income on credit impaired financial assets IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 0290 of which: interest from leases IFRS 16.38 (a), 49, Annex V.Part 2.194ii

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument References Current period Annex V. Part 2.195-196 0010 0020 Debt securities Annex V.Part 1.31 0030 Loans and advances Annex V.Part 1.32 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 0070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET Annex V.Part 2.45

16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument References Current period Annex V. Part 2.197-198 0010 0010 Derivatives IFRS 9.Appendix A, .BA.1, .BA.7(a) 0015 of which: Economic hedges with use of the fair value option IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0050 Short positions IFRS 9.BA.7(b) 0060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0070 Debt securities issued Annex V.Part 1.37 0080 Other financial liabilities Annex V.Part 1.38-41 0090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) 0095 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.5.6.2; annex V.Part 2.199

16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk References Current period 0010 0010 Interest rate instruments and related derivatives Annex V.Part 2.200(a) 0020 Equity instruments and related derivatives Annex V.Part 2.200(b) 0030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 0040 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 0050 Derivatives related with commodities Annex V.Part 2.200(e) 0060 Other Annex V.Part 2.200(f) 0070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 7.20(a)(i)

16.4

16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument References Current period Annex V.Part 2.201 0010 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0090 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET IFRS 7.20(a)(i) 0100 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.6.5.2; Annex V.Part 2.202

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument References Current period Changes in fair value due to credit risk Annex V.Part 2.203 Annex V.Part 2.203 0010 0020 0020 Debt securities Annex V.Part 1.31 0030 Loans and advances Annex V.Part 1.32 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 0070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET IFRS 7.20(a)(i) 0071 of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 0072 of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204

16.6 Gains or losses from hedge accounting References Current period Annex V.Part 2.205 0010 0010 Fair value changes of the hedging instrument [including discontinuation] IFRS 7.24A(c);IFRS 7.24C(b)(vi) 0020 Fair value changes of the hedged item attributable to the hedged risk IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 0030 Ineffectiveness in profit or loss from cash flow hedges IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) 0040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) 0050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET

16.7 Impairment on non-financial assets References Current period Additions Reversals Accumulated impairment Annex V.Part 2.208 Annex V.Part 2.208 0010 0020 0040 0060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates IAS 28.40-43 0070 Subsidiaries IFRS 10 Appendix A 0080 Joint ventures IAS 28.3 0090 Associates IAS 28.3 0100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b) 0110 Property, plant and equipment IAS 16.73(e)(v-vi) 0120 Investment properties IAS 40.79(d)(v) 0130 Goodwill IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) 0140 Other intangible assets IAS 38.118(e)(iv)(v) 0145 Other IAS 36.126(a),(b) 0150 TOTAL

16.8 Other administrative expenses References National GAAP compatible IFRS Current period Expenses 0010 0010 Information Technology expenses Annex V.Part 2.208i 0020 IT outsourcing Annex V.Part 2.208i-208ii 0030 IT expenses other than IT outsourcing expenses Annex V.Part 2.208i 0040 Taxes and duties (other) Annex V.Part 2.208iii 0050 Consulting and professional services Annex V.Part 2.208iv 0060 Advertising, marketing and communication Annex V.Part 2.208v 0070 Expenses related to credit risk Annex V.Part 2.208vi 0080 Litigation expenses not covered by provisions Annex V.Part 2.208vii 0090 Real estate expenses Annex V.Part 2.208viii 0100 Leasing expenses Annex V.Part 2.208ix 0110 Other admininstrative expenses - Rest Annex V.Part 2.208x 0120 OTHER ADMINISTRATIVE EXPENSES

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.

17.1 Assets References Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27, Part 2.209 0010 0010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i) 0020 Cash on hand Annex V.Part 2.1 0030 Cash balances at central banks Annex V.Part 2.2 0040 Other demand deposits Annex V.Part 2.3 0050 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 0060 Derivatives IFRS 9.Appendix A 0070 Equity instruments IAS 32.11 0080 Debt securities Annex V.Part 1.31 0090 Loans and advances Annex V.Part 1.32 0096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 0097 Equity instruments IAS 32.11 0098 Debt securities Annex V.Part 1.31 0099 Loans and advances Annex V.Part 1.32 0100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 0120 Debt securities Annex V.Part 1.31 0130 Loans and advances Annex V.Part 1.32 0141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 0142 Equity instruments IAS 32.11 0143 Debt securities Annex V.Part 1.31 0144 Loans and advances Annex V.Part 1.32 0181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 0182 Debt securities Annex V.Part 1.31 0183 Loans and advances Annex V.Part 1.32 0240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 0260 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 0270 Assets under reinsurance and insurance contracts IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 0280 Tangible assets 0290 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 0300 Goodwill IFRS 3.B67(d); CRR art 4(1)(113) 0310 Other intangible assets IAS 38.8,118 0320 Tax assets IAS 1.54(n-o) 0330 Current tax assets IAS 1.54(n); IAS 12.5 0340 Deferred tax assets IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 0350 Other assets Annex V.Part 2.5 0360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 0370 TOTAL ASSETS IAS 1.9(a), IG 6

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References Accounting scope of consolidation [Nominal amount] Annex V.Part 2.118, 209 0010 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0020 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0040 OFF-BALANCE SHEET EXPOSURES

17.3(-)(-) Liabilities and equity References Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27, Part 2.209 0010 0010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 0020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 0030 Short positions IFRS 9.BA7(b) 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 0070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0090 Debt securities issued Annex V.Part 1.37 0100 Other financial liabilities Annex V.Part 1.38-41 0110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 0120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0130 Debt securities issued Annex V.Part 1.37 0140 Other financial liabilities Annex V.Part 1.38-41 0150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 0160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 0170 Liabilities under insurance and reinsurance contracts IFRS 4.IG20(a); Annex V.Part 2.212 0180 Provisions IAS 37.10; IAS 1.54(l) 0190 Tax liabilities IAS 1.54(n-o) 0200 Current tax liabilities IAS 1.54(n); IAS 12.5 0210 Deferred tax liabilities IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 0220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 0230 Other liabilities Annex V.Part 2.13 0240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 0250 LIABILITIES IAS 1.9(b);IG 6 0260 Capital IAS 1.54(r), BAD art 22 0270 Share premium IAS 1.78(e); CRR art 4(1)(124) 0280 Equity instruments issued other than capital Annex V.Part 2.18-19 0290 Other equity IFRS 2.10; Annex V.Part 2.20 0300 Accumulated other comprehensive income CRR art 4(1)(100) 0310 Retained earnings CRR art 4(1)(123) 0320 Revaluation reserves IFRS 1.33, D5-D8 0330 Other reserves IAS 1.54; IAS 1.78 (e) 0340 Treasury shares IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 0350 Profit or loss attributable to owners of the parent IFRS 10.B94 0360 Interim dividends IAS 32.35 0370 Minority interests [Non-controlling interests] IAS 1.54(q); IFRS 10.22, .B94 0380 TOTAL EQUITY IAS 1.9(c), IG 6 0390 TOTAL EQUITY AND TOTAL LIABILITIES IAS 1.IG6

18. Information on performing and non-performing exposures (continued)

18.

18.0. Information on performing and non-performing exposures References Gross carrying amount / Nominal amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing Non-performing Performing exposures -Accumulated impairment and provisions Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Not past due or Past due <= 30 days Past due > 30 days <= 90 days Of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: purchased or originated credit-impaired financial assets Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year <= 2 years Past due > 2 year <= 5 years Past due > 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: defaulted of which: Credit-impaired instruments (Stage 3) of which: purchased or originated credit-impaired financial assets of which: Past due > 30 days <= 90 days of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) of which: purchased or originated credit-impaired financial assets Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year <= 2 year Past due > 2 year <= 5 year Past due > 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: Credit-impaired instruments (Stage 3) of which: purchased or originated credit-impaired financial assets Collateral received on performing exposues Collateral received on non-performing exposues Financialguarantees received on performing exposures Financialguarantees received on non-performing exposures 0010 0020 0030 0055 0056 0057 0058 0060 0070 0080 0090 0101 0102 0106 0107 0109 0110 0121 0900 0130 0140 0910 0141 0142 0143 0150 0160 0170 0180 0191 0192 0196 0197 0950 0951 0952 0201 0200 0205 0210 Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) CRR Art. 47a (3); Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) CRR art 178; Annex V.Part 2.237(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 222, 235, 237(f) IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 0005 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) 0150 Households Annex V.Part 1.42(f) 0160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) 0180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.233(a) 0181 Debt securities Annex V.Part 1.31, 44(b) 0182 Central banks Annex V.Part 1.42(a) 0183 General governments Annex V.Part 1.42(b) 0184 Credit institutions Annex V.Part 1.42(c) 0185 Other financial corporations Annex V.Part 1.42(d) 0186 Non-financial corporations Annex V.Part 1.42(e) 0191 Loans and advances Annex V.Part 1.32, 44(a) 0192 Central banks Annex V.Part 1.42(a) 0193 General governments Annex V.Part 1.42(b) 0194 Credit institutions Annex V.Part 1.42(c) 0195 Other financial corporations Annex V.Part 1.42(d) 0196 Non-financial corporations Annex V.Part 1.42(e) 0900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) 0197 Households Annex V.Part 1.42(f) 0910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) 0201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.233(b) 0211 Debt securities Annex V.Part 1.31, 44(b) 0212 Central banks Annex V.Part 1.42(a) 0213 General governments Annex V.Part 1.42(b) 0214 Credit institutions Annex V.Part 1.42(c) 0215 Other financial corporations Annex V.Part 1.42(d) 0216 Non-financial corporations Annex V.Part 1.42(e) 0221 Loans and advances Annex V.Part 1.32, 44(a) 0222 Central banks Annex V.Part 1.42(a) 0223 General governments Annex V.Part 1.42(b) 0224 Credit institutions Annex V.Part 1.42(c) 0225 Other financial corporations Annex V.Part 1.42(d) 0226 Non-financial corporations Annex V.Part 1.42(e) 0920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) 0227 Households Annex V.Part 1.42(f) 0930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) 0231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.233(c), 234 0330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 0335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.220 0340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0350 Central banks Annex V.Part 1.42(a) 0360 General governments Annex V.Part 1.42(b) 0370 Credit institutions Annex V.Part 1.42(c) 0380 Other financial corporations Annex V.Part 1.42(d) 0390 Non-financial corporations Annex V.Part 1.42(e) 0400 Households Annex V.Part 1.42(f) 0410 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0420 Central banks Annex V.Part 1.42(a) 0430 General governments Annex V.Part 1.42(b) 0440 Credit institutions Annex V.Part 1.42(c) 0450 Other financial corporations Annex V.Part 1.42(d) 0460 Non-financial corporations Annex V.Part 1.42(e) 0470 Households Annex V.Part 1.42(f) 0480 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0490 Central banks Annex V.Part 1.42(a) 0500 General governments Annex V.Part 1.42(b) 0510 Credit institutions Annex V.Part 1.42(c) 0520 Other financial corporations Annex V.Part 1.42(d) 0530 Non-financial corporations Annex V.Part 1.42(e) 0540 Households Annex V.Part 1.42(f) 0550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.217

18.1. Inflows and outflows of non-performing exposures - loans and advances by counterparty sector References Gross carrying amount of loans and advances Inflows to non-performing exposures (-) Outflows from non-performing exposures 0010 0020 Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi 0010 Central banks Annex V.Part 1.42(a) 0020 General governments Annex V.Part 1.42(b) 0030 Credit institutions Annex V.Part 1.42(c) 0040 Other financial corporations Annex V.Part 1.42(d) 0050 Non-financial corporations Annex V.Part 1.42(e) 0060 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0070 Of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix 0080 Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vii (a), 239ix 0090 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vii (b) 0100 Households Annex V.Part 1.42(f) 0110 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vii (b) 0120 Of which: Credit for consumption Annex V.Part 2.88(a), 239vii (c) 0130 LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 0140 LOANS AND ADVANCES HELD FOR SALE Annex V.Part 2.220 0150 TOTAL INFLOWS / OUTFLOWS

18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property References Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 of which: exposures with forbearance measures Performing Non-performing Of which: Exposures with forbearance measures Performing exposures - Accumulated impairments Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Not past due or Past due <= 30 days Past due > 30 days <= 90 days of which: performing exposures with forbearance measures Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year <= 2 years Past due > 2 year <= 5 years Past due > 5 year <= 7 years Past due > 7 years Of which: defaulted Of which: Non-performing exposures with forbearance measures Of which: Performing exposures with forbearance measures Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year < = 2 year Past due> 2 year < = 5 year Past due> 5 year <= 7 years Past due > 7 years Of which: Non-performing exposures with forbearance measures Collateral received on performing exposures Collateral received on non-performing exposures Financialguarantees received on performing exposures Financialguarantees received on non-performing exposures of which: Performing forborne exposures under probation reclassified from non-performing 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 256, 259-262 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) Annex V. Part 2. 259-263 Annex V. Part 2. 238 Annex V. Part 2. 267 Annex V. Part 2. 238 Annex V. Part 2. 207 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 207 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 0010 Non-financial corporations Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii 0020 Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vi (a), 239vii 0030 Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vi (b) 0040 Of which: Loans with LTV ratio higher than 60% and less than or equal to 80% Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0050 Of which: Loans with LTV ratio higher than 80% and less than or equal to 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0060 Of which: Loans with LTV ratio higher than 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0070 House-holds Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vi (b) 0080 Of which: Loans with LTV ratio higher than 60% and less than or equal to 80% Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0090 Of which: Loans with LTV ratio higher than 80% and less than or equal to 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0100 Of which: Loans with LTV ratio higher than 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii

19. Information forborne exposures References Gross carrying amount / nominal amount of exposures with forbearance measures Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing exposures with forbearance measures Non-performing exposures with forbearance measures Perfoming exposures with forbearance measures - Accumulated impairment and provisions Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation reclassified from non-performing Instruments with modifications in their terms and conditions Refinancing of which:Defaulted of which: Impaired of which: Forbearance of exposures non-performing prior to forbearance Instruments with modifications in their terms and conditions Refinancing Collateral received on exposures with forbearance measures Financialguarantees received on exposures with forbearance measures Of which: Collateral received on non-performing exposures with forbearance measures Of which: Financialguarantees received on non-performing exposures with forbearance measures 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0175 0180 0185 CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 256, 259-261 CRR Art. 47b (1); Annex V. Part 2.240, 266 CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266 CRR Art. 47a (7); Annex V. Part 2. 256, 261 Annex V. Part 2. 259-263 CRR Art. 47b (1); Annex V. Part 2.240, 266 CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266 CRR art 178; Annex V. Part 2.264(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 CRR Art. 47b (1); Annex V. Part 2. 240, 267 CRR Art. 47b (1); Annex V. Part 2. 240, 244, 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 0005 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) 0150 Households Annex V.Part 1.42(f) 0160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) 0180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.249(a) 0181 Debt securities Annex V.Part 1.31, 44(b) 0182 Central banks Annex V.Part 1.42(a) 0183 General governments Annex V.Part 1.42(b) 0184 Credit institutions Annex V.Part 1.42(c) 0185 Other financial corporations Annex V.Part 1.42(d) 0186 Non-financial corporations Annex V.Part 1.42(e) 0191 Loans and advances Annex V.Part 1.32, 44(a) 0192 Central banks Annex V.Part 1.42(a) 0193 General governments Annex V.Part 1.42(b) 0194 Credit institutions Annex V.Part 1.42(c) 0195 Other financial corporations Annex V.Part 1.42(d) 0196 Non-financial corporations Annex V.Part 1.42(e) 0900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) 0197 Households Annex V.Part 1.42(f) 0910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) 0201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.249(b) 0211 Debt securities Annex V.Part 1.31, 44(b) 0212 Central banks Annex V.Part 1.42(a) 0213 General governments Annex V.Part 1.42(b) 0214 Credit institutions Annex V.Part 1.42(c) 0215 Other financial corporations Annex V.Part 1.42(d) 0216 Non-financial corporations Annex V.Part 1.42(e) 0221 Loans and advances Annex V.Part 1.32, 44(a) 0222 Central banks Annex V.Part 1.42(a) 0223 General governments Annex V.Part 1.42(b) 0224 Credit institutions Annex V.Part 1.42(c) 0225 Other financial corporations Annex V.Part 1.42(d) 0226 Non-financial corporations Annex V.Part 1.42(e) 0920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) 0227 Households Annex V.Part 1.42(f) 0930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) 0231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.249 0330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.246 0335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.247 0340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246

20. Geographical breakdown

20.

20.1 Geographical breakdown of assets by location of the activities References Carrying amount Annex V.Part 1.27 Domestic activitivies Non-domestic activities Annex V. Part 2.270 Annex V. Part 2.270 0010 0020 0010 Cash, cash balances at central banks and other demand deposits IAS 1.54 (i) 0020 Cash on hand Annex V.Part 2.1 0030 Cash balances at central banks Annex V.Part 2.2 0040 Other demand deposits Annex V.Part 2.3 0050 Financial assets held for trading IFRS 9. Appendix A 0060 Derivatives IFRS 9. Appendix A 0070 Equity instruments IAS 32.11 0080 Debt securities Annex V.Part 1.31 0090 Loans and advances Annex V.Part 1.32 0096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 0097 Equity instruments IAS 32.11 0098 Debt securities Annex V.Part 1.31 0099 Loans and advances Annex V.Part 1.32 0100 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 0120 Debt securities Annex V.Part 1.31 0130 Loans and advances Annex V.Part 1.32 0141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 0142 Equity instruments IAS 32.11 0143 Debt securities Annex V.Part 1.31 0144 Loans and advances Annex V.Part 1.32 0181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 0182 Debt securities Annex V.Part 1.31 0183 Loans and advances Annex V.Part 1.32 0240 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.22 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(a); IFRS 9.6.5.8 0260 Tangible assets 0270 Intangible assets IAS 1.54(c); CRR art 4(1)(115) 0280 Investments in subsidaries, joint ventures and associates IAS 1.54(e); Annex V.Part 1.21, Part 2.4 0290 Tax assets IAS 1.54(n-o) 0300 Other assets Annex V.Part 2.5 0310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 0320 ASSETS IAS 1.9(a), IG 6

20.2 Geographical breakdown of liabilities by location of the activities References Carrying amount Annex V.Part 1.27 Domestic activitivies Non-domestic activities Annex V. Part 2.270 Annex V. Part 2.270 0010 0020 0010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 0020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 0030 Short positions IFRS 9.BA7(b) 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 0070 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0090 Debt securities issued Annex V.Part 1.37 0100 Other financial liabilities Annex V.Part 1.38-41 0110 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 0120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0130 Debt securities issued Annex V.Part 1.37 0140 Other financial liabilities Annex V.Part 1.38-41 0150 Derivatives – Hedge accounting IFRS 9.6.2.1; Annex V.Part 1.26 0160 Fair value changes of the hedged items in portfolio hedge of interest rate risk IAS 39.89A(b), IFRS 9.6.5.8 0170 Provisions IAS 37.10; IAS 1.54(l) 0180 Tax liabilities IAS 1.54(n-o) 0190 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 0200 Other liabilities Annex V.Part 2.13 0210 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 0220 LIABILITIES IAS 1.9(b);IG 6

20.3 Geographical breakdown of statement of profit or loss items by location of the activities References Current period Domestic activitivies Non-domestic activities Annex V. Part 2.270 Annex V. Part 2.270 0010 0020 0010 Interest income IAS 1.97; Annex V.Part 2.31 0020 (Interest expenses) IAS 1.97; Annex V.Part 2.31 0030 (Expenses on share capital repayable on demand) IFRIC 2.11 0040 Dividend income Annex V.Part 2.40 0050 Fee and commission income IFRS 7.20(c) 0060 (Fee and commission expenses) IFRS 7.20(c) 0070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net Annex V.Part 2.45 0080 Gains or (-) losses on financial assets and liabilities held for trading, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 0083 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.5.7.1 0090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 0100 Gains or (-) losses from hedge accounting, net Annex V.Part 2.47-48 0110 Exchange differences [gain or (-) loss], net IAS 21.28, 52 (a) 0120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net Annex V Part 2.56 0130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 0140 Other operating income Annex V.Part 2.314-316 0150 (Other operating expenses) Annex V.Part 2.314-316 0155 TOTAL OPERATING INCOME, NET 0160 (Administrative expenses) 0165 (Cash contributions to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i 0170 (Depreciation) IAS 1.102, 104 0171 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 0180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 0190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) IFRS 7.20(a)(viii); Annex V Part 2.51, 53 0200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) IAS 28.40-43 0210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 0220 Negative goodwill recognised in profit or loss IFRS 3.Appendix B64(n)(i) 0230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates Annex V.Part 2.54 0240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.55 0250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 0260 (Tax expense or (-) income related to profit or loss from continuing operations) IAS 1.82(d); IAS 12.77 0270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS IAS 1, IG 6 0280 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 0290 PROFIT OR (-) LOSS FOR THE YEAR IAS 1.81A(a)

20.4 z-axis Country of residence of the counterparty

Geographical breakdown of assets by residence of the counterparty References Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Of which: held for trading or trading of which: financial assets subject to impairment, including cash balances at central banks and other demand deposits Of which: forborne Of which: non-perfoming of which: defaulted Annex V.Part 1.34, Part 2.271, 275 Annex V.Part 1.15(a), Part 2.273 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.274 Annex V.Part 2.274 0010 0011 0012 0022 0025 0026 0031 0040 0010 Derivatives IFRS 9 Appendix A, Annex V.Part 2.272 0020 Of which: credit institutions Annex V.Part 1.42(c) 0030 Of which: other financial corporations Annex V.Part 1.42(d) 0040 Equity instruments IAS 32.11 0050 Of which: credit institutions Annex V.Part 1.42(c) 0060 Of which: other financial corporations Annex V.Part 1.42(d) 0070 Of which: non-financial corporations Annex V.Part 1.42(e) 0075 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0080 Debt securities Annex V.Part 1.31, 44(b) 0090 Central banks Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) 0140 Loans and advances Annex V.Part 1.32, 44(a) 0150 Central banks Annex V.Part 1.42(a) 0160 General governments Annex V.Part 1.42(b) 0170 Credit institutions Annex V.Part 1.42(c) 0180 Other financial corporations Annex V.Part 1.42(d) 0190 Non-financial corporations Annex V.Part 1.42(e) 0200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0210 Of which: Loans collateralized by commercial immovable property Annex V.Part 2.86(a), 87 0220 Households Annex V.Part 1.42(f) 0230 Of which: Loans collateralized by residential immovable property Annex V.Part 2.86(a), 87 0240 Of which: Credit for consumption Annex V.Part 2.88(a)

20.5 z-axis Country of residence of the counterparty

Geographical breakdown of off-balance sheet exposures by residence of the counterparty References Nominal amount Provisions for commitments and guarantees given Of which: forborne Of which: non-perfoming of which: defaulted Annex V.Part 2.118, 271 Annex V.Part 2.240-258 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.276 0010 0022 0025 0026 0030 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0020 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116

20.6 z-axis Country of residence of the counterparty

Geographical breakdown of liabilities by residence of the counterparty References Carrying amount Annex V.Part 1.27, 2.271 0010 0010 Derivatives IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 0020 Of which: credit institutions Annex V.Part 1.42(c) 0030 Of which: other financial corporations Annex V.Part 1.42(d) 0040 Short positions IFRS 9.BA7(b); Annex V.Part 1.44(d) 0050 Of which: credit institutions Annex V.Part 1.42(c) 0060 Of which: other financial corporations Annex V.Part 1.42(d) 0070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0130 Households Annex V.Part 1.42(f)

20.7.1 z-axis Country of residence of the counterparty

Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes References Non-financial corporations Annex V. Part 2.271, 277 Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which: loans and advances subject to impairment Of which: non-performing Annex V.Part 1.34, Part 2.275 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274 0010 0011 0012 0021 0022 0010 A Agriculture, forestry and fishing NACE Regulation 0020 B Mining and quarrying NACE Regulation 0030 C Manufacturing NACE Regulation 0040 D Electricity, gas, steam and air conditioning supply NACE Regulation 0050 E Water supply NACE Regulation 0060 F Construction NACE Regulation 0070 G Wholesale and retail trade NACE Regulation 0080 H Transport ans storage NACE Regulation 0090 I Accommodation and food service activities NACE Regulation 0100 J Information and communication NACE Regulation 0105 K Financial and insurance activities NACE Regulation 0110 L Real estate activities NACE Regulation 0120 M Professional, scientific and technical activities NACE Regulation 0130 N Administrative and support service activities NACE Regulation 0140 O Public administration and defence, compulsory social security NACE Regulation 0150 P Education NACE Regulation 0160 Q Human health services and social work activities NACE Regulation 0170 R Arts, entertainment and recreation NACE Regulation 0180 S Other services NACE Regulation 0190 LOANS AND ADVANCES Annex V.Part 1.32

21. Tangible and intangible assets: assets subject to operating lease References Carrying amount Annex V.Part 2.278-279 0010 0010 Property plant and equipment IAS 16.6; IAS 1.54(a) 0020 Revaluation model IAS 17.49; IAS 16.31, 73(a)(d) 0030 Cost model IAS 17.49; IAS 16.30, 73(a)(d) 0040 Investment property IAS 40.IN5; IAS 1.54(b) 0050 Fair value model IAS 17.49; IAS 40.33-55, 76 0060 Cost model IAS 17.49; IAS 40.56,79(c) 0070 Other intangible assets IAS 38.8, 118 0080 Revaluation model IAS 17.49; IAS 38.75-87, 124(a)(ii) 0090 Cost model IAS 17.49; IAS 38.74

22. Asset management, custody and other service functions

22.

22.1 Fee and commission income and expenses by activity References Current period Annex V.Part 2.280 IFRS 7.20(c ) 0010 0010 Fee and commission income Annex V.Part 2.281-284 0020 Securities 0030 Issuances Annex V.Part 2.284(a) 0040 Transfer orders Annex V.Part 2.284(b) 0050 Other fee and commission income in relation to securities Annex V.Part 2.284(c) 0051 Corporate Finance 0052 M&A advisory Annex V.Part 2.284 (e) 0053 Treasury services Annex V.Part 2.284(f) 0054 Other fee and commission income in relation to corporate finance activities Annex V.Part 2.284(g) 0055 Fee based advice Annex V.Part 2.284(h) 0060 Clearing and settlement Annex V.Part 2.284(i) 0070 Asset management Annex V.Part 2.284(j); 285(a) 0080 Custody [by type of customer] Annex V.Part 2.284(j); 285(b) 0090 Collective investment 0100 Other fee and commission income in relation to custody services 0110 Central administrative services for collective investment Annex V.Part 2.284(j); 285(c) 0120 Fiduciary transactions Annex V.Part 2.284(j); 285(d) 0131 Payment services Annex V.Part 2.284(k), 285(e) 0132 Current accounts Annex V.Part 2.284(k), 285(e) 0133 Credit cards Annex V.Part 2.284(k), 285(e) 0134 Debit cards and other card payments Annex V.Part 2.284(k), 285(e) 0135 Transfers and other payment orders Annex V.Part 2.284(k), 285(e) 0136 Other fee and commission income in relation to payment services Annex V.Part 2.284(k), 285(e) 0140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.284 (l); 285(f) 0150 Collective investment 0160 Insurance products 0170 Other fee and commission income in relation to customer resources distributed but not managed 0180 Structured Finance Annex V.Part 2.284(n) 0190 Loan servicing activities Annex V.Part 2.284(o) 0200 Loan commitments given IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 0210 Financial guarantees given IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 0211 Loans granted Annex V.Part 2.284(r) 0213 Foreign exchange Annex V.Part 2.284(s) 0214 Commodities Annex V.Part 2.284(t) 0220 Other fee and commission income Annex V.Part 2.284(u) 0230 (Fee and commission expenses) Annex V.Part 2.281-284 0235 (Securities) Annex V.Part 2.284(d) 0240 (Clearing and settlement) Annex V.Part 2.284(i) 0245 (Asset management) Annex V.Part 2.284(j); 285(a) 0250 (Custody) Annex V.Part 2.284(j); 285 (b) 0255 (Payment services) Annex V.Part 2.284(k), 285(e) 0256 (of which: Credit, Debit and other Cards) 0260 (Loan servicing activities) Annex V.Part 2.284(o) 0270 (Loan commitments received) Annex V.Part 2.284(q) 0280 (Financial guarantees received) Annex V.Part 2.284(q) 0281 (Externally provided distribution of products) Annex V.Part 2.284(m) 0282 (Foreign exchange) Annex V.Part 2.284(s) 0290 (Other fee and commission expenses) Annex V.Part 2.284(u)

22.2 Assets involved in the services provided References Amount of the assets involved in the services provided Annex V.Part 2.285(g) 0010 0010 Asset management [by type of customer] Annex V.Part 2.285(a) 0020 Collective investment 0030 Pension funds 0040 Customer portfolios managed on a discretionary basis 0050 Other investment vehicles 0060 Custody assets [by type of customer] Annex V.Part 2.285(b) 0070 Collective investment 0080 Other 0090 Of which: entrusted to other entities 0100 Central administrative services for collective investment Annex V.Part 2.285(c) 0110 Fiduciary transactions Annex V.Part 2.285(d) 0120 Payment services Annex V.Part 2.285(e) 0130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) 0140 Collective investment 0150 Insurance products 0160 Other

23. Loans and advances: additional information

23.

23.1 Loans and advances: Number of instruments Number of instruments (Annex V.Part 2.320) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0080 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321 0090 of which: Households Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0150 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319; 322 0160 of which: Households Annex V.Part 1.42(f) 0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0180 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0200 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix

23.2 Loans and advances: Additional information on gross carrying amounts Gross carrying amount (Annex V.Part 1.34) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 0090 of which: Households Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0150 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321 0160 of which: Households Annex V.Part 1.42(f) 0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0180 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0200 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0220 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319, 322 0230 of which: Households Annex V.Part 1.42(f) 0240 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0250 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0260 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0270 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0280 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0290 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323 0300 of which: Households Annex V.Part 1.42(f) 0310 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0320 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0330 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0340 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0350 Loans and advances with an accumulated coverage ratio > 90% Annex V.Part 1.32, 44(a), Part 2.319, 324 0360 of which: Households Annex V.Part 1.42(f) 0370 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0380 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0390 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0400 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0410 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix

23.3 Loans and advances collateralised by immovable property: Breakdown by LTV ratios Gross carrying amount (Annex V.Part 1.34) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances collateralised by immovable property Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319 0020 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 0030 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 0040 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 0050 Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) 0060 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 0070 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 0080 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 0090 Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) 0100 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 0110 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 0120 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 0130 Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) 0140 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 0150 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 0160 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 0170 Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) 0180 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 0190 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 0200 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325

23.4 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk Accumulated impairment, accumulated negative changes in fair value due to credit risk (Annex V. Part 2.69-71) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235, 237(f) Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 0090 of which: Households Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0150 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323 0160 of which: Households Annex V.Part 1.42(f) 0170 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0180 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0190 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0200 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix

23.5 Loans and advances: Collateral received and financial guarantees received Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Financial guarantees received on loans and advances Annex V.Part 2.319, 326 0020 of which: Households Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0080 Collateral received on loans and advances Annex V.Part 2.319, 326 0090 of which: Households Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0150 Immovable property collateral received on loans and advances Annex V.Part 2.319, 326 0160 of which: Households Annex V.Part 1.42(f) 0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0180 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0200 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix 0220 Memorandum item: Collateral received on loans and advances - uncapped amounts Annex V.Part 2.319, 326, 327 0230 of which: Immovable property collateral Annex V.Part 2.319, 326, 327

23.6 Loans and advances: Accumulated partial write-offs Accumulated partial write-offs (Annex V.Part 2.72, 74) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix

24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.

24.1 Loans and advances: Inflows and outflows of non-performing exposures References Gross Carrying amount (Annex V. Part 1.34) Non-performing exposures - loans and advances of which: Households of which: Non-financial corporations of which: Loans collateralised by residential immovable property of which: SMEs of which: CRE loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Opening balance Annex V.Part 2.328 0020 Inflows Annex V.Part 2.239ii, 239iii, 239vi, 329 0030 Inflow due to reclassification from performing not forborne Annex V.Part 2.239ii, 239iii, 239vi, 329 0040 Inflow due to reclassification from performing forborne Annex V.Part 2.239ii, 239iii, 239vi, 329 0050 of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing Annex V.Part 2.239ii, 239iii, 239vi, 329(b) 0060 Inflow due to purchase of exposures Annex V.Part 2.239ii, 239iii, 239vi, 329 0070 Inflow due to accrued interest Annex V.Part 2.239ii, 239iii, 239vi, 329 (a) 0080 Inflow due to other reasons Annex V.Part 2.239ii, 239iii, 239vi, 329 (c) 0090 Of which: Inflow more than once Annex V.Part 2.239ii, 239iii, 239vi, 330 (a) 0100 Of which: Inflow of exposures granted in the past 24 months Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) 0110 Of which: Inflow of exposures granted during the period Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) 0120 Outflows Annex V.Part 2.239iii-239v, 331, 332 0130 Outflow due to reclassification as performing not forborne Annex V.Part 2.239iii-239v(a), 331, 332 0140 Outflow due to reclassification as performing forborne Annex V.Part 2.239iii-239v(a), 331, 332 0150 Outflow due to partial or total loan repayment Annex V.Part 2.239iii-239v(b), 331, 332 0160 Outflow due to collateral liquidations Annex V.Part 2.239iii-239v(c), 331, 332 0170 Net cumulated recoveries from collateral liquidation Annex V.Part 2.333 0180 of which: Write-offs in the context of collateral liquidations Annex V.Part 2.239iii-239v(c) 0190 Outflow due to taking possession of collateral Annex V.Part 2.239iii-239v(d), 331, 332 0200 Net cumulated recoveries from taking possession of collateral Annex V.Part 2.333 0210 of which: Write-offs in the context of taking possession of collateral Annex V.Part 2.239iii-239v(d) 0220 Outflow due to sale of instruments Annex V.Part 2.239iii-239v(e), 331, 332 0230 Net cumulated recoveries from sale of instruments Annex V.Part 2.333 0240 of which: Write-offs in the context of sale of instruments Annex V.Part 2.239iii-239v(e) 0250 Outflow due to risk transfers Annex V.Part 2.239iii-239v(f), 331, 332 0260 Net cumulated recoveries from risk transfers Annex V.Part 2.333 0270 of which: Write-offs in the context of risk transfers Annex V.Part 2.239iii-239v(f) 0280 Outflow due to write-offs Annex V.Part 2.239iii-239v(g), 331, 332 0290 Outflow due to reclassification as held for sale Annex V.Part 2.239iii-239vi, 331, 332 0300 Outflow due to other reasons Annex V.Part 2.239iii-239v(h), 331, 332 0310 Of which: Outflow of non-performing exposures that became non-performing during the period Annex V.Part 2.334 0320 Closing balance Annex V.Part 2.328

24.2 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures References Accumulated impairment and accumulated negative changes in fair value due to credit risk Non-performing exposures - loans and advances of which: Households of which: Non-financial corporations of which: Loans collateralised by residential immovable property of which: SMEs of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Opening balance Annex V.Part 2.335 0020 Increases during the period Annex V.Part 2.336 0030 Of which: impairments against interest accrued Annex V.Part 2.337 0040 Decreases during the period Annex V.Part 2.338 0050 Of which: Reversal of impairment and negative changes in fair value due to credit risk Annex V.Part 2.339(a) 0060 Of which: Release of allowances due to unwinding process Annex V.Part 2.339(b) 0070 Closing balance Annex V.Part 2.335

24.3 Loans and advances: Write-offs of non-performing exposures during the period References Gross Carrying amount Non-performing exposures - Loans and advances of which: Households of which: Non-financial corporations of which: Loans collateralised by residential immovable property Of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Of which:Commercial Real Estate (CRE) loans to SMEs Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Write-offs during the period Annex V.Part 2.340 0020 Of which: Debt forgiveness Annex V.Part 2.340

25. Collateral obtained by taking possession and execution processes

25.

25.1 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows References Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) Time passed since recognition in balance sheet Of which: Non-current assets held-for-sale <= 2 years > 2 years <= 5 years > 5 years Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 IFRS 5.6, Annex V.Part 2.175, 175i, 344 IFRS 5.6, Annex V.Part 1.27, Part 2.175 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0010 Opening balance Annex V.Part 2.341, 342 0020 Inflows of collateral during the period Annex V.Part 2.345, 349 0030 Inflow due to new collateral obtained by taking possession Annex V.Part 2.345, 349 0040 Inflow due to positive changes in value Annex V.Part 2.345, 349 0050 Outflows of collateral during the period Annex V.Part 2.346, 349 0060 Outflow for which cash was collected Annex V.Part 2.347, 349 0070 Cash collected net of costs Annex V.Part 2.347 0080 Profits/(-) losses from sale of collateral obtained by taking possession Annex V.Part 2.347 0090 Outflow with replacement by financial instrument Annex V.Part 2.346, 349 0100 Financing granted Annex V.Part 2.347 0110 Outflow due to negative changes in value Annex V.Part 2.346, 349 0120 Closing balance Annex V.Part 2.341, 342

25.2 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained References Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) Time passed since recognition in balance sheet Of which: Non-current assets held-for-sale <= 2 years > 2 years <= 5 years > 5 years Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 IFRS 5.6, Annex V.Part 2.175, 175i IFRS 5.6, Annex V.Part 1.27, Part 2.175 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0010 Residential immovable property Annex V. Part 2.350, 351 0020 Of which: under construction / development Annex V. Part 2.350, 352(a) 0030 Commercial immovable property Annex V. Part 2.350, 351 0040 Of which: under construction / development Annex V. Part 2.350, 352(a) 0050 Of which: Land related to commercial real estate corporations (excluding agricultural land) Annex V. Part 2.350, 352(b) 0060 Of which: Land with planning permission for development Annex V. Part 2.350, 352(b) 0070 Of which: Land without planning permission for development Annex V. Part 2.350, 352(b) 0080 Movable property Annex V. Part 2.350, 351 0090 Equity and debt securities Annex V. Part 2.350, 351 0100 Other Annex V. Part 2.350, 351 0110 Total Annex V. Part 2.350, 351 0120 Number of Collateral obtained by taking possession Annex V. Part 2.350, 351

25.3 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) References Debt balance reduction Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 IAS 16.6, Annex V.Part 2.175, 175i IAS 16.6, Annex V.Part 1.27, Part 2.175 IAS 16.6, Annex V.Part 2.175, 175ii 0010 0020 0030 0040 0050 0010 Total Annex V.Part 2.341, 357-358 0020 Inflows due to new collateral obtained by taking possession Annex V.Part 2.341, 345, 357-358

26. Forbearance management and quality of forbearance References Loans and advances with forbearance measures of which: Households of which: Non-financial corporations of which: performing of which: having been granted forbearance measures during the period of which: performing of which: having been granted forbearance measures during the period of which: performing of which: having been granted forbearance measures during the period Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 Number of instruments Annex V. Part 2.320, 355, 356 0020 Gross carrying amount of instruments, for the following types of forbearance measures: Annex V.Part 1.34, Part 2.355, 357, 359 0030 Grace period/payment moratorium Annex V.Part 2.358(a) 0040 Interest rate reduction Annex V.Part 2.358(b) 0050 Extension of maturity/term Annex V.Part 2.358(c) 0060 Rescheduled payments Annex V.Part 2.358(d) 0070 Debt forgiveness Annex V.Part 2.358(e) 0080 Debt asset swaps Annex V.Part 2.358(f) 0090 Other forbearance measures Annex V.Part 2.358(g) Gross carrying amount of instruments that were subject to forbearance measures at multiple points in time Annex V.Part 1.34, Part 2.355 0100 Loans and advances having been forborne twice Annex V.Part 2.360(a)(i) 0110 Loans and advances having been forborne more than twice Annex V.Part 2.360(a)(i) 0120 Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures Annex V.Part 2.360(a)(ii) 0130 Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteria Annex V.Part 1.34, Part 2.232, 355, 360(b)

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.

30.1 Interests in unconsolidated structured entities References Carrying amount of financial assets recognised in the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financial liabilities recognised in the balance sheet Nominal amount of off-balance sheet exposures given by the reporting institution Of which: Nominal amount of loan commitments given Losses incurred by the reporting institution in the current period IFRS 12.29(a) IFRS 12.29(a); Annex V.Part 2.286 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b); Annex V.Part 2.287 0010 0020 0030 0040 0050 0060 0080 0010 Total

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activities References Carrying amount Securitisation Special Purpose Entities Asset management Other activities CRR art 4(1)(66) Annex V.Part 2.285(a) IFRS 12.24, B6.(a) 0010 0020 0030 0010 Selected financial assets recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 0021 of which: non-performing Annex V.Part 2.213-239 0030 Derivatives IFRS 9 Appendix A; Annex V.Part 2.272 0040 Equity instruments IAS 32.11 0050 Debt securities Annex V.Part 1.31 0060 Loans and advances Annex V.Part 1.32 0070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 0080 Equity instruments issued IAS 32.11 0090 Derivatives IFRS 9 Appendix A; Annex V.Part 2.272 0100 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0110 Debt securities issued Annex V.Part 1.37 Nominal amount 0120 Off-balance sheet exposures given by the reporting institution IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 0131 of which: non-performing Annex V.Part 2.117

31. Related parties

31.

31.1 Related parties: amounts payable to and amounts receivable from References Annex V.Part 2.288-291 Outstanding balances Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.289 IAS 24.19(d),(e); Annex V.Part 2.289 IAS 24.19(f) IAS 24.19(g) 0010 0020 0030 0040 0050 0010 Selected financial assets IAS 24.18(b) 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0050 of which: non-performing Annex V. Part 2.213-239 0060 Selected financial liabilities IAS 24.18(b) 0070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0080 Debt securities issued Annex V.Part 1.37 0090 Nominal amount of loan commitments, financial guarantees and other commitments given IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 0100 of which: non-performing IAS 24.18(b); Annex V. Part 2.117 0110 Loan commitments, financial guarantees and other commitments received IAS 24.18(b); Annex V.Part 2.290 0120 Notional amount of derivatives Annex V.Part 2.133-135 0131 Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures IAS 24.1(c); Annex V.Part 2.69-71, 291 0132 Provisions on non-performing off-balance sheet exposures Annex V.Part 2.11, 106, 291

31.2 Related parties: expenses and income generated by transactions with References Annex V.Part 2.288-289, 292-293 Current period Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g) 0010 0020 0030 0040 0050 0010 Interest income IAS 24.18(a); Annex V.Part 2.31 0020 Interest expenses IAS 24.18(a); IAS 1.97; Annex V.Part 2.31 0030 Dividend income IAS 24.18(a); Annex V.Part 2.40 0040 Fee and commission income IAS 24.18(a); IFRS 7.20(c) 0050 Fee and commission expenses IAS 24.18(a); IFRS 7.20(c) 0060 Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss IAS 24.18(a) 0070 Gains or (-) losses on de-recognition of other than financial assets IAS 24.18(a); Annex V.Part 2.292 0080 Impairment or (-) reversal of impairment on non-performing exposures IAS 24.18(d); Annex V.Part 2.293 0090 Provisions or (-) reversal of provisions on non-performing exposures Annex V. Part 2.50, 293

40. Group structure

40.

40.1 Group structure: entity-by-entity Code Type of code National code Entity name Entry date Share capital of investee Equity of investee Total assets of investee Profit or (-) loss of investee Residence of investee Sector of investee NACE Code Accumulated equity interest [%] Voting rights [%] Group structure [relationship] Accounting treatment [Accounting Group] Accounting treatment [CRR Group] Carrying amount Acquisition cost Goodwill link to Investee Fair value of investments for which there are published price quotations Annex V.Part 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) Annex V.Part 2.294-295, 296(c) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) Annex V.Part 2.294-295, 296(j) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(l) IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(m) IFRS 12.21(b); Annex V.Part 2.294-295, 296(n) CRR art 18; Annex V.Part 2.294-295, 296(o) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) Annex V.Part 2.294-295, 296(r) IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(s) 0011 0015 0025 0030 0040 0050 0060 0070 0080 0090 0095 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190

40.2 Group structure: instrument-by-instrument Security code Investee Holding company Accumulated equity interest (%) Carrying amount Acquisition cost Code Type of code Code Type of code National code Holding company name Annex V.Part 2.297(a) Annex V.Part 2.296(a), 297(e) Annex V.Part 2.296(b), 297(e) Annex V.Part 2.297(b) Annex V.Part 2.297(c) Annex V.Part 2.297(d) Annex V.Part 2.296(j), 297(e) Annex V.Part 2.296(o), 297(e) Annex V.Part 2.296(p), 297(e) 0010 0021 0025 0031 0035 0045 0050 0060 0070 0080

41. Fair value

41.

41.1 Fair value hierarchy: financial instruments at amortised cost References Annex V.Part 2.298 Fair value IFRS 7.25-26 Fair value hierarchy IFRS 13.97, 93(b) Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 0010 0020 0030 0040 ASSETS 0015 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 0016 Debt securities Annex V.Part 1.31 0017 Loans and advances Annex V.Part 1.32 LIABILITIES 0070 Financial liabilities measured at amortised cost IFRS 7.8(g); IFRS 9.4.2.1 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0090 Debt securities issued Annex V.Part 1.37 0100 Other financial liabilities Annex V.Part 1.38-41

41.2 Use of the Fair Value Option References Carrying amount Annex V.Part 1.27 Accounting mismatch Managed on a fair value basis Hybrid contracts Managed for credit risk IFRS 9.B4.1.29 IFRS 9.B4.1.33 IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301 0010 0020 0030 0040 ASSETS 0010 Financial assets designated at fair value through profit or loss IFRS 7.8(a)(i); IFRS 9.4.1.5 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 ASSETS 0050 Financial liabilities designated at fair value through profit or loss IFRS 7.8 (e)(i); IFRS 9.4.2.2 0060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0070 Debt securities issued Annex V.Part 1.37 0080 Other financial liabilities Annex V.Part 1.38-41

42. Tangible and intangible assets: carrying amount by measurement method References Annex V.Part 2.302 Carrying amount of which: right-of-use assets IFRS 16.47(a), 53(j), Annex V.Part 2.303i 0010 0020 0010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 0015 Of which: Software assets IAS 38.4; Annex V.Part 2.303 0020 Revaluation model IAS 16.31, 73(a),(d) 0030 Cost model IAS 16.30, 73(a),(d) 0040 Investment property IAS 40.5, 30; IAS 1.54(b) 0050 Fair value model IAS 40.33-55, 76 0060 Cost model IAS 40.56, 79(c) 0070 Other intangible assets IAS 38.8, 118, 122 ; Annex V.Part 2.303 0075 Of which: Software assets IAS 38.9; Annex V.Part 2.303 0080 Revaluation model IAS 38.75-87, 124(a)(ii) 0090 Cost model IAS 38.74

43. Provisions References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 Other provisions IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 IAS 37.70-83, 84 (a) IAS 37.14, 84(a) IAS 37; IFRS 4; Annex V. Part 2.304-305 IAS 37.14 0010 0020 0030 0040 0055 0060 0010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a) 0020 Additions, including increases in existing provisions IAS 37.84 (b) 0030 (-) Amounts used IAS 37.84 (c) 0040 (-) Unused amounts reversed during the period IAS 37.84 (d) 0050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e) 0060 Other movements 0070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a)

44. Defined benefit plans and employee benefits

44.

44.1 Components of net defined benefit plan assets and liabilities References Amount Annex V.Part 2.306-307 0010 0010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 0020 Of which: Financial instruments issued by the institution IAS 19.143 0030 Equity instruments IAS 19.142(b) 0040 Debt instruments IAS 19.142(c) 0050 Real estate IAS 19.142(d) 0060 Other defined benefit plan assets 0070 Present value of defined benefit obligations IAS 19.140(a)(ii) 0080 Effect of the asset ceiling IAS 19.140(a)(iii) 0090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.308 0100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 0110 Fair value of any right to reimbursement recognised as an asset IAS 19.140(b)

44.2 Movements in defined benefit obligations References Defined benefit obligations Annex V.Part 2.306, 309 0010 0010 Opening balance [present value] IAS 19.140(a)(ii) 0020 Current service cost IAS 19.141(a) 0030 Interest cost IAS 19.141(b) 0040 Contributions paid IAS 19.141(f) 0050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 0060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 0070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 0080 Benefits paid IAS 19.141(g) 0090 Past service cost, including gains and losses arising from settlements IAS 19.141(d) 0100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 0110 Other increases or (-) decreases 0120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.310

44.3 Staff expenses by type of benefits References Current period 0010 0010 Pension and similar expenses Annex V.Part 2.311(a) 0020 Share based payments IFRS 2.44; Annex V.Part 2.311(b) 0030 Wages and salaries Annex V.Part 2.311(c) 0040 Social security contributions Annex V.Part 2.311(d) 0050 Severance payments IAS 19.8, Annex V.Part 2.311(e) 0060 Other types of staff expenses Annex V.Part 2.311(f) 0070 STAFF EXPENSES

44.4 Staff expenses by category of remuneration and category of staff References Current period Total staff of which: Identified staff of which: Management body (in its management function) and senior management of which: Management body (in its supervisory function) Annex V.Part 2.311i (a) Annex V.Part 2.311i Annex V.Part 2.311i (b) 0010 0020 0030 0040 0010 Fixed remuneration Annex V.Part 2.311i (a) 0020 Variable remuneration Annex V.Part 2.311i (a) 0030 Staff expenses other than remuneration 0040 STAFF EXPENSES 0050 NUMBER OF STAFF Annex V.Part 2.311ii

45 Breakdown of selected items of statement of profit or loss

45

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio References Current period Changes in fair value due to credit risk Annex V.Part 2.312 0010 0020 0010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.1.5 0020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.2.2 0030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.20(a)(i)

45.2 Gains or losses on derecognition of non-financial assets References Current period Annex V.Part 2.313 0010 0010 Property, Plant and Equipment IAS 16.68, 71 0020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 0030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 0040 Other assets IAS 1.34 (a) 0050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34

45.3 Other operating income and expenses References Income Expenses 0010 0020 0010 Changes in fair value in tangible assets measured using the fair value model IAS 40.76(d); Annex V.Part 2.314 0020 Investment property IAS 40.75(f); Annex V.Part 2.314 0030 Operating Leases other than investment property IFRS 16.81,82; Annex V.Part 2.315 0040 Other Annex V.Part 2.316 0050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.314-316

46. Statement of changes in equity Sources of equity changes References Capital Share premium Equity instruments issued other than Capital Other equity Accumulated other comprehensive income Retained earnings Revaluation reserves Other reserves (-) Treasury shares Profit or (-) loss atributable to owners of the parent (-) Interim dividends Minority interests Total Accumulated Other Comprehensive Income Other items IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.18-19 IAS 1.106; Annex V.Part 2.20 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 IAS 1.106(a) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a) IAS 1.54(q), 106(a) IAS 1.9(c), IG6 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0010 Opening balance [before restatement] 0020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42 0030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22 0040 Opening balance [current period] 0050 Issuance of ordinary shares IAS 1.106.(d).(iii) 0060 Issuance of preference shares IAS 1.106.(d).(iii) 0070 Issuance of other equity instruments IAS 1.106.(d).(iii) 0080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii) 0090 Conversion of debt to equity IAS 1.106.(d).(iii) 0100 Capital reduction IAS 1.106.(d).(iii) 0110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 0120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33 0130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33 0140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii) 0150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii) 0160 Transfers among components of equity IAS 1.106.(d).(iii); Annex V.Part 2.318 0170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii) 0180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10 0190 Other increase or (-) decrease in equity IAS 1.106.(d) 0200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 0210 Closing balance [current period]

47. Loans and advances: Average duration and recovery periods References TOTAL of which: Households of which: Non-financial corporations of which: loans collateralised by residential immovable property of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.42(f) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Non-performing loans and advances: weighted average time since past due date (in years) Annex V.Part 2.362, 363 0020 Net cumulated recoveries from litigation procedures concluded during the period Annex V.Part 2.362, 364(a) 0030 Gross carrying amount reduction from litigation procedures concluded during the period Annex V.Part 2.362, 364(b) 0040 Average duration of litigation procedures concluded in the period (in years) Annex V.Part 2.362, 364(c)

ANNEX IV REPORTING FINANCIAL INFORMATION ACCORDING TO NATIONAL ACCOUNTING FRAMEWORKS

FINREP TEMPLATES FOR GAAP TEMPLATE NUMBER TEMPLATE CODE NAME OF THE TEMPLATE OR OF THE GROUP OF TEMPLATE PART 1 [QUARTERLY FREQUENCY] Balance Sheet Statement [Statement of Financial Position] 1.1 F 01.01 Balance Sheet Statement: assets 1.2 F 01.02 Balance Sheet Statement: liabilities 1.3 F 01.03 Balance Sheet Statement: equity 2 F 02.00 Statement of profit or loss 3 F 03.00 Statement of comprehensive income Breakdown of financial assets by instrument and by counterparty sector 4.1 F 04.01 Breakdown of financial assets by instrument and by counterparty sector: financial assets held for trading 4.2.1 F 04.02.1 Breakdown of financial assets by instrument and by counterparty sector: non-trading financial assets mandatorily at fair value through profit or loss 4.2.2 F 04.02.2 Breakdown of financial assets by instrument and by counterparty sector: financial assets designated at fair value through profit or loss 4.3.1 F 04.03.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income 4.4.1 F 04.04.1 Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost 4.5 F 04.05 Subordinated financial assets 4.6 F 04.06 Breakdown of financial assets by instrument and by counterparty sector: trading financial assets 4.7 F 04.07 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value through profit or loss 4.8 F 04.08 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at fair value to equity 4.9 F 04.09 Breakdown of financial assets by instrument and by counterparty sector: non-trading non-derivative financial assets measured at a cost-based method 4.10 F 04.10 Breakdown of financial assets by instrument and by counterparty sector: other non-trading non-derivative financial assets 5.1 F 05.01 Loans and advances other than held for trading, trading or held for sale assets by product 6.1 F 06.01 Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes Financial assets subject to impairment that are past due 7.1 F 07.01 Financial assets subject to impairment that are past due 7.2 F 07.02 Financial assets subject to impairment that are past due under national GAAP Breakdown of financial liabilities 8.1 F 08.01 Breakdown of financial liabilities by product and by counterparty sector 8.2 F 08.02 Subordinated financial liabilities Loan commitments, financial guarantees and other commitments 9.1 F 09.01 Off-balance sheet exposures under national GAAP: loan commitments, financial guarantees and other commitments given 9.1.1 F 09.01.1 Off-balance sheet exposures: loan commitments, financial guarantees and other commitments given 9.2 F 09.02 Loan commitments, financial guarantees and other commitments received 10 F 10.00 Derivatives - Trading and economic hedges Hedge accounting 11.1 F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge 11.2 F 11.02 Derivatives - Hedge accounting under national GAAP: Breakdown by type of risk 11.3 F 11.03 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge 11.3.1 F 11.03.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio 11.4 F 11.04 Hedged items in fair value hedges Movements in allowances and provisions for credit losses 12 F 12.00 Movements in allowances for credit losses and impairment of equity instruments under national GAAP 12.1 F 12.01 Movements in allowances and provisions for credit losses 12.2 F 12.02 Transfers between impairment stages (gross basis presentation) Collateral and guarantees received 13.1 F 13.01 Breakdown of collateral and guarantees by loans and advances other than held for trading 13.2.1 F 13.02.1 Collateral obtained by taking possession during the period [held at the reference date] 13.3.1 F 13.03.1 Collateral obtained by taking possession accumulated 14 F 14.00 Fair value hierarchy: financial instruments at fair value 15 F 15.00 Derecognition and financial liabilities associated with transferred financial assets Breakdown of selected statement of profit or loss items 16.1 F 16.01 Interest income and expenses by instrument and counterparty sector 16.2 F 16.02 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument 16.3 F 16.03 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument 16.4 F 16.04 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk 16.4.1 F 16.04.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument 16.5 F 16.05 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument 16.6 F 16.06 Gains or losses from hedge accounting 16.7 F 16.07 Impairment on non-financial assets 16.8 F 16.08 Other administrative expenses Reconciliation between accounting and CRR scope of consolidation: Balance Sheet 17.1 F 17.01 Reconciliation between accounting and CRR scope of consolidation: Assets 17.2 F 17.02 Reconciliation between accounting and CRR scope of consolidation: Off-balance sheet exposures - loan commitments, financial guarantees and other commitments given 17.3 F 17.03 Reconciliation between accounting and CRR scope of consolidation: Liabilities Information on performing and non-performing exposures 18 F 18.00 Information on performing and non-performing exposures 18.1 F 18.01 Inflows and outflows of non-performing exposures - loans and advances by counterparty sector 18.2 F 18.02 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property 19 F 19.00 Forborne exposures PART 2 [QUATERLY WITH THRESHOLD: QUARTERLY FREQUENCY OR NOT REPORTING] Geographical breakdown 20.1 F 20.01 Geographical breakdown of assets by location of the activities 20.2 F 20.02 Geographical breakdown of liabilities by location of the activities 20.3 F 20.03 Geographical breakdown of main statement of profit or loss items by location of the activities 20.4 F 20.04 Geographical breakdown of assets by residence of the counterparty 20.5 F 20.05 Geographical breakdown of off-balance sheet exposures by residence of the counterparty 20.6 F 20.06 Geographical breakdown of liabilities by residence of the counterparty 20.7.1 F 20.07.1 Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes 21 F 21.00 Tangible and intangible assets: assets subject to operating lease Asset management, custody and other service functions 22.1 F 22.01 Fee and commission income and expenses by activity 22.2 F 22.02 Assets involved in the services provided Loans and advances: additional information 23.1 F 23.01 Loans and advances: Number of instruments 23.2 F 23.02 Loans and advances: Additional information on gross carrying amounts 23.3 F 23.03 Loans and advances collateralised by immovable property: Breakdown by LTV ratios 23.4 F 23.04 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk 23.5 F 23.05 Loans and advances: Collateral received and financial guarantees received 23.6 F 23.06 Loans and advances: Accumulated partial write-offs Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year 24.1 F 24.01 Loans and advances: Inflows and outflows of non-performing exposures 24.2 F 24.02 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures 24.3 F 24.03 Loans and advances: Inflow of write-offs of non-performing exposures Collateral obtained by taking possession and execution processes 25.1 F 25.01 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and Outflows 25.2 F 25.02 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained 25.3 F 25.03 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) 26 F 26.00 Forbearance management and quality of forbearance PART 3 [SEMI-ANNUAL] Off-balance sheet activities: interests in unconsolidated structured entities 30.1 F 30.01 Interests in unconsolidated structured entities 30.2 F 30.02 Breakdown of interests in unconsolidated structured entities by nature of the activities Related parties 31.1 F 31.01 Related parties: amounts payable to and amounts receivable from 31.2 F 31.02 Related parties: expenses and income generated by transactions with PART 4 [ANNUAL] Group structure 40.1 F 40.01 Group structure: entity-by-entity 40.2 F 40.02 Group structure: instrument-by-instrument Fair value 41.1 F 41.01 Fair value hierarchy: financial instruments at amortised cost 41.2 F 41.02 Use of the Fair Value Option 42 F 42.00 Tangible and intangible assets: carrying amount by measurement method 43 F 43.00 Provisions Defined benefit plans and employee benefits 44.1 F 44.01 Components of net defined benefit plan assets and liabilities 44.2 F 44.02 Movements in defined benefit plan obligations 44.3 F 44.03 Staff expenses by type of benefits 44.4 F 44.04 Staff expenses by structure and category of staff Breakdown of selected items of statement of profit or loss 45.1 F 45.01 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio 45.2 F 45.02 Gains or losses on derecognition of non-financial assets other than held for sale and investments in subsidiaries, joint ventures and associates 45.3 F 45.03 Other operating income and expenses 46 F 46.00 Statement of changes in equity 47 F 47.00 Average duration and recovery periods

1. Balance Sheet Statement [Statement of Financial Position]

1.

1.1(-) Assets References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount Annex V.Part 1.27-28 0010 0010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 0020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 0030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 0040 Other demand deposits Annex V.Part 2.3 Annex V.Part 2.3 5 0050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 9.Appendix A 0060 Derivatives CRR Annex II IFRS 9.Appendix A 10 0070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 4 0080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 4 0090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 4 0091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 0092 Derivatives CRR Annex II; Annex V.Part 1.17, 27 10 0093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 0094 Debt securities Annex V.Part 1.31 4 0095 Loans and advances Annex V.Part 1.32 4 0096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 4 0097 Equity instruments IAS 32.11 4 0098 Debt securities Annex V.Part 1.31 4 0099 Loans and advances Annex V.Part 1.32 4 0100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 4 0110 Equity instruments IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 4 0120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 4 0130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 4 0141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 4 0142 Equity instruments IAS 32.11 4 0143 Debt securities Annex V.Part 1.31 4 0144 Loans and advances Annex V.Part 1.32 4 0171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 4 0172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 0173 Debt securities Annex V.Part 1.31 4 0174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 4 0175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 4 0176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 0177 Debt securities Annex V.Part 1.31 4 0178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 4 0181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 4 0182 Debt securities Annex V.Part 1.31 4 0183 Loans and advances Annex V.Part 1.32 4 0231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 4 0390 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 0232 Debt securities Annex V.Part 1.31 4 0233 Loans and advances Annex V.Part 1.32 4 0234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 4 0235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 4 0236 Debt securities Annex V.Part 1.31 4 0237 Loans and advances Annex V.Part 1.32 4 0240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 11 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 0260 Investments in subsidiaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 IAS 1.54(e); Annex V.Part 1.21, Part 2.4 40 0270 Tangible assets BAD art 4.Assets(10) 0280 Property, Plant and Equipment IAS 16.6; IAS 1.54(a); IFRS 16.47(a) 21, 42 0290 Investment property IAS 40.5; IAS 1.54(b); IFRS 16.48 21, 42 0300 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115) 0310 Goodwill BAD art 4.Assets(9); CRR art 4(1)(113) IFRS 3.B67(d); CRR art 4(1)(113) 0320 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118; IFRS 16.47 (a) 21, 42 0330 Tax assets IAS 1.54(n-o) 0340 Current tax assets IAS 1.54(n); IAS 12.5 0350 Deferred tax assets Accounting Directive art 17(1)(f); CRR art 4(1)(106) IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 0360 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5 0370 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 0375 Haircuts for trading assets at fair value Annex V Part 1.29 0380 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6

1.2 Liabilities References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount Annex V.Part 1.27-28 0010 0010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 8 0020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 10 0030 Short positions IFRS 9.BA7(b) 8 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0050 Debt securities issued Annex V.Part 1.37 8 0060 Other financial liabilities Annex V.Part 1.38-41 8 0061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 8 0062 Derivatives CRR Annex II; Annex V.Part 1.25 10 0063 Short positions 8 0064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0065 Debt securities issued Annex V.Part 1.37 8 0066 Other financial liabilities Annex V.Part 1.38-41 8 0070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 8 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 8 0100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 8 0110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 8 0120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 8 0140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 8 0141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 8 0142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 8 0143 Debt securities issued Annex V.Part 1.37 8 0144 Other financial liabilities Annex V.Part 1.38-41 8 0150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 11 0160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 0170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 43 0175 Funds for general banking risks [if presented within liabilities] BAD art 38.1; CRR art 4(112); Annex V.Part 2.15 0180 Pensions and other post employment defined benefit obligations Annex V.Part 2.9 IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 43 0190 Other long term employee benefits Annex V.Part 2.10 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 43 0200 Restructuring IAS 37.71 43 0210 Pending legal issues and tax litigation IAS 37.14, Appendix C. Examples 6 and 10 43 0220 Commitments and guarantees given BAD Article 4 Liabilities (6)(c ), Off balance sheet items, Article 27(11), Article 28(8), Article 33 IFRS 9.4.2.1(c),(d), 9.5.5, 9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.11 9 12 43 0230 Other provisions BAD Article 4 Liabilities (6)(c ), Off balance sheet items IAS 37.14 43 0240 Tax liabilities IAS 1.54(n-o) 0250 Current tax liabilities IAS 1.54(n); IAS 12.5 0260 Deferred tax liabilities Accounting Directive art 17(1)(f); CRR art 4(1)(108) IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 0270 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 0280 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 0290 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 0295 Haircuts for trading liabilities at fair value Annex V Part 1.29 0300 TOTAL LIABILITIES IAS 1.9(b);IG 6

1.3(-)(-) Equity References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Carrying amount 0010 0010 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 46 0020 Paid up capital BAD art 4.Liabilities(9) IAS 1.78(e) 0030 Unpaid capital which has been called up BAD art 4.Liabilities(9); Annex V.Part 2.17 Annex V.Part 2.14 0040 Share premium BAD art 4.Liabilities(10); CRR art 4(1)(124) IAS 1.78(e); CRR art 4(1)(124) 46 0050 Equity instruments issued other than capital Annex V.Part 2.18-19 Annex V.Part 2.18-19 46 0060 Equity component of compound financial instruments Accounting Directive art 8(6); Annex V.Part 2.18 IAS 32.28-29; Annex V.Part 2.18 0070 Other equity instruments issued Annex V.Part 2.19 Annex V.Part 2.19 0080 Other equity Annex V.Part 2.20 IFRS 2.10; Annex V.Part 2.20 0090 Accumulated other comprehensive income CRR art 4(1)(100) CRR art 4(1)(100) 46 0095 Items that will not be reclassified to profit or loss IAS 1.82A(a) 0100 Tangible assets IAS 16.39-41 0110 Intangible assets IAS 38.85-87 0120 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c) 0122 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 0124 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 0320 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d); IFRS 9 5.7.5, B5.7.1; Annex V.Part 2.21 0330 Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income IAS 1.7(e);IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.22 0340 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.22 0350 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IAS 1.7(e);IFRS 9.5.7.5;.6.5.8(a);Annex V.Part 2.57 0360 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f); IFRS 9 5.7.7;Annex V.Part 2.23 0128 Items that may be reclassified to profit or loss IAS 1.82A(a) (ii) 0130 Hedge of net investments in foreign operations [effective portion] Accounting Directive art 8(1)(a), (6)(8) IFRS9.6.5.13(a); IFRS7.24B(b)(ii)(iii); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.24 0140 Foreign currency translation BAD art 39(6) IAS 21.52(b); IAS 21.32, 38-49 0150 Hedging derivatives. Cash flow hedges reserve [effective portion] Accounting Directive art 8(1)(a), (6)(8) IAS 1.7 (e); IFRS 7.24B(b)(ii)(iii); IFRS 7.24C(b)(i);.24E; IFRS 9.6.5.11(b); Annex V.Part 2.25 0155 Fair value changes of debt instruments measured at fair value through other comprehensive income IAS 1.7(da); IFRS 9.4.1.2A; 5.7.10; Annex V.Part 2.26 0165 Hedging instruments [not designated elements] IAS 1.7(g)(h); IFRS 9.6.5.15,.6.5.16; IFRS 7.24E (b)(c); Annex V.Part 2.60 0170 Non-current assets and disposal groups classified as held for sale IFRS 5.38, IG Example 12 0180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 0190 Retained earnings BAD art 4.Liabilities(13); CRR art 4(1)(123) CRR art 4(1)(123) 0200 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.30, D5-D8; Annex V.Part 2.28 0201 Tangible assets Accounting Directive art 7(1) 0202 Equity instruments Accounting Directive art 7(1) 0203 Debt securities Accounting Directive art 7(1) 0204 Other Accounting Directive art 7(1) 0205 Fair value reserves Accounting Directive art 8(1)(a) 0206 Hedge of net investments in foreign operations Accounting Directive art 8(1)(a), (8)(b) 0207 Hedging derivatives.Cash flow hedges Accounting Directive art 8(1)(a), (8)(a); CRR article 30(a) 0208 Hedging derivatives. Other hedges Accounting Directive art 8(1)(a), (8)(a) 0209 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), 8(2) 0210 Other reserves BAD art 4 Liabilities(11)-(13) IAS 1.54; IAS 1.78(e) 0215 Funds for general banking risks [if presented within equity] BAD art 38.1; CRR art 4(112); Annex V.Part 2.15 0220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates accounted for using the equity method Accounting Directive art 9(7)(a); art 27; Annex V.Part 2.29 IAS 28.11; Annex V.Part 2.29 0230 Other Annex V.Part 2.29 Annex V.Part 2.29 0235 First consolidation differences Accounting Directive art 24(3)(c) 0240 Treasury shares Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.30 46 0250 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IAS 1.81B (b)(ii) 2 0260 Interim dividends CRR Article 26(2b) IAS 32.35 0270 Minority interests [Non-controlling interests] Accounting Directive art 24(4) IAS 1.54(q) 0280 Accumulated Other Comprehensive Income CRR art 4(1)(100) CRR art 4(1)(100) 46 0290 Other items 46 0300 TOTAL EQUITY IAS 1.9(c), IG 6 46 0310 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6

2. Statement of profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Breakdown in table Current period 0010 0010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 16 0020 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 0025 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e), IFRS 9.5.7.1 0030 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i), B5(e) 0041 Financial assets at fair value through other comprehensive income IFRS 7.20(b); IFRS 9.5.7.10-11; IFRS 9.4.1.2A 0051 Financial assets at amortised cost IFRS 7.20(b);IFRS 9.4.1.2; IFRS 9.5.7.2 0070 Derivatives - Hedge accounting, interest rate risk IFRS 9.Appendix A; .B6.6.16; Annex V.Part 2.35 0080 Other assets Annex V.Part 2.36 0085 Interest income on liabilities Annex V.Part 2.37 IFRS 9.5.7.1, Annex V.Part 2.37 0090 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 16 0100 (Financial liabilities held for trading) IFRS 7.20(a)(i), B5(e); Annex V.Part 2.33, 34 0110 (Financial liabilities designated at fair value through profit or loss) IFRS 7.20(a)(i), B5(e) 0120 (Financial liabilities measured at amortised cost) IFRS 7.20(b); IFRS 9.5.7.2 0130 (Derivatives - Hedge accounting, interest rate risk) IAS 39.9; Annex V.Part 2.35 0140 (Other liabilities) Annex V.Part 2.38 0145 (Interest expense on assets) Annex V.Part 2.39 IFRS 9.5.7.1, Annex V.Part 2.39 0150 (Expenses on share capital repayable on demand) IFRIC 2.11 0160 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 Annex V.Part 2.40 31 0170 Financial assets held for trading IFRS 7.20(a)(i), B5(e); Annex V.Part 2.40 0175 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.20(a)(i), B5(e),IFRS 9.5.7.1A; Annex V.Part 2.40 0191 Financial assets at fair value through other comprehensive income IFRS 7.20(a)(ii); IFRS 9.4.1.2A; IFRS 9.5.7.1A; Annex V.Part 2.41 0192 Investments in subsidiaries, joint ventures and associates accounted for using other than equity method Annex V Part 2 .42 Annex V Part 2 .42 0200 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 22 0210 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 22 0220 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) Annex V.Part 2.45 16 0231 Financial assets at fair value through other comprehensive income IFRS 9.4.12A; IFRS 9.5.7.10-11 0241 Financial assets at amortised cost IFRS 7.20(a)(v);IFRS 9.4.1.2; IFRS 9.5.7.2 0260 Financial liabilities measured at amortised cost IFRS 7.20(a)(v); IFRS 9.5.7.2 0270 Other 0280 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 16 0285 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 0287 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.46 0290 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 16, 45 0295 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 16 0300 Gains or (-) losses from hedge accounting, net Accounting Directive art 8(1)(a), (6), (8) Annex V.Part 2.47 16 0310 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a) 0320 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56 Annex V.Part 2.56 0330 Gains or (-) losses on derecognition of non-financial assets, net Annex V. Part 2.48 IAS 1.34; Annex V. Part 2.48 45 0340 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 Annex V.Part 2.314-316 45 0350 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 Annex V.Part 2.314-316 45 0355 TOTAL OPERATING INCOME, NET 0360 (Administrative expenses) BAD art 27.Vertical layout(8) 0370 (Staff expenses) BAD art 27.Vertical layout(8)(a) IAS 19.7; IAS 1.102, IG 6 44 0380 (Other administrative expenses) BAD art 27.Vertical layout(8)(b); 16 0385 (Cash contributions to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i Annex V.Part 2.48i 0390 (Depreciation) IAS 1.102, 104 0400 (Property, Plant and Equipment) BAD art 27.Vertical layout(9) IAS 1.104; IAS 16.73(e)(vii) 0410 (Investment Properties) BAD art 27.Vertical layout(9) IAS 1.104; IAS 40.79(d)(iv) 0415 (Goodwill) BAD art 27.Vertical layout(9) 0420 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 1.104; IAS 38.118(e)(vi) 0425 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 0426 Financial assets at fair value through other comprehensive income IFRS 7.35J 0427 Financial assets at amortised cost IFRS 7.35J 0430 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 9 12 43 0435 (payment commitments to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i Annex V.Part 2.48i 0440 (Commitments and guarantees given) BAD art 27.Vertical layout(11)-(12) IFRS 9.4.2.1(c),(d),9.B2.5; IAS 37, IFRS 4, Annex V.Part 2.50 0450 (Other provisions) 0455 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 0460 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37, Annex V.Part 2.52, 53 IFRS 7.20(a)(viii); IFRS 9.5.4.4; Annex V Part 2.51, 53 12 0481 (Financial assets at fair value through other comprehensive income) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.2, 9.5.5.8 12 0491 (Financial assets at amortised cost) IFRS 9.5.4.4, 9.5.5.1, 9.5.5.8 12 0510 (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 16 0520 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 16 0530 (Property, plant and equipment) BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi) 0540 (Investment properties) BAD art 27.Vertical layout(9) IAS 40.79(d)(v) 0550 (Goodwill) BAD art 27.Vertical layout(9) IFRS 3.Appendix B67(d)(v); IAS 36.124 0560 (Other intangible assets) BAD art 27.Vertical layout(9) IAS 38.118 (e)(iv)(v) 0570 (Other) IAS 36.126 (a)(b) 0580 Negative goodwill recognised in profit or loss Accounting Directive art 24(3)(f) IFRS 3.Appendix B64(n)(i) 0590 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates accounted for using the equity method BAD art 27.Vertical layout(13)-(14) Annex V.Part 2.54 0600 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.55 0610 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 0620 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 0630 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 0632 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 0633 Extraordinary profit or loss before tax BAD art 27.Vertical layout(19) 0634 (Tax expense or (-) income related to extraordinary profit or loss) BAD art 27.Vertical layout(20) 0640 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 0650 Profit or (-) loss before tax from discontinued operations IFRS 5.33(b)(i) 0660 (Tax expense or (-) income related to discontinued operations) IFRS 5.33 (b)(ii),(iv) 0670 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a) 0680 Attributable to minority interest [non-controlling interests] IAS 1.81B (b)(i) 0690 Attributable to owners of the parent IAS 1.81B (b)(ii)

3. Statement of comprehensive income References National GAAP compatible IFRS Current period 0010 0010 Profit or (-) loss for the year IAS 1.7, IG6 0020 Other comprehensive income IAS 1.7, IG6 0030 Items that will not be reclassified to profit or loss IAS 1.82A(a)(i) 0040 Tangible assets IAS 1.7, IG6; IAS 16.39-40 0050 Intangible assets IAS 1.7; IAS 38.85-86 0060 Actuarial gains or (-) losses on defined benefit pension plans IAS 1.7, IG6; IAS 19.120(c) 0070 Non-current assets and disposal groups held for sale IFRS 5.38 0080 Share of other recognised income and expense of entities accounted for using the equity method IAS 1.IG6; IAS 28.10 0081 Fair value changes of equity instruments measured at fair value through other comprehensive income IAS 1.7(d) 0083 Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income, net IFRS 9.5.7.5;.6.5.3; IFRS 7.24C; Annex V.Part 2.57 0084 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedged item] IFRS 9.5.7.5;.6.5.8(b); Annex V.Part 2.57 0085 Fair value changes of equity instruments measured at fair value through other comprehensive income [hedging instrument] IFRS 9.5.7.5;.6.5.8(a); Annex V.Part 2.57 0086 Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in their credit risk IAS 1.7(f) 0090 Income tax relating to items that will not be reclassified IAS 1.91(b); Annex V.Part 2.66 0100 Items that may be reclassified to profit or loss IAS 1.82A(a)(ii) 0110 Hedge of net investments in foreign operations [effective portion] IFRS 9.6.5.13(a); IFRS 7.24C(b)(i)(iv),.24E(a); Annex V.Part 2.58 0120 Valuation gains or (-) losses taken to equity IAS 1.IG6;IFRS 9.6.5.13(a); IFRS 7.24C(b)(i);.24E(a); Annex V.Part 2.58 0130 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49; IFRS 9.6.5.14; Annex V.Part 2.59 0140 Other reclassifications Annex V.Part 2.65 0150 Foreign currency translation IAS 1.7, IG6; IAS 21.52(b) 0160 Translation gains or (-) losses taken to equity IAS 21.32, 38-47 0170 Transferred to profit or loss IAS 1.7, 92-95; IAS 21.48-49 0180 Other reclassifications Annex V.Part 2.65 0190 Cash flow hedges [effective portion] IAS 1.7, IG6; IAS 39.95(a)-96 IFRS 9.6.5.11(b); IFRS 7.24C(b)(i);.24E(a); 0200 Valuation gains or (-) losses taken to equity IAS 1.7(e),IG6; IFRS 9.6.5.11(a)(b)(d); IFRS 7.24C(b)(i), .24E(a) 0210 Transferred to profit or loss IAS 1.7, 92-95, IG6; IFRS 9.6.5.11(d)(ii)(iii);IFRS 7.24C(b)(iv),.24E(a) Annex V.Part 2.59 0220 Transferred to initial carrying amount of hedged items IAS 1.IG6;IFRS 9.6.5.11(d)(i) 0230 Other reclassifications Annex V.Part 2.65 0231 Hedging instruments [not designated elements] IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c); Annex V.Part 2.60 0232 Valuation gains or (-) losses taken to equity IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E (b)(c) 0233 Transferred to profit or loss IAS 1.7(g)(h);IFRS 9.6.5.15,.6.5.16;IFRS 7.24E(b)(c); Annex V.Part 2.61 0234 Other reclassifications Annex V.Part 2.65 0241 Debt instruments at fair value through other comprehensive income IAS 1.7(da), IG 6; IAS 1.IG6; IFRS 9.5.6.4; Annex V.Part 2.62-63 0251 Valuation gains or (-) losses taken to equity IFRS 7.20(a)(ii); IAS 1.IG6; IFRS 9.5.6.4 0261 Transferred to profit or loss IAS 1.7, IAS 1.92-95, IAS 1.IG6; IFRS 9.5.6.7; Annex V.Part 2.64 0270 Other reclassifications IFRS 5.IG Example 12;IFRS 9.5.6.5; Annex V.Part 2.64-65 0280 Non-current assets and disposal groups held for sale IFRS 5.38 0290 Valuation gains or (-) losses taken to equity IFRS 5.38 0300 Transferred to profit or loss IAS 1.7, 92-95; IFRS 5.38 0310 Other reclassifications IFRS 5.IG Example 12 0320 Share of other recognised income and expense of Investments in subsidaries, joint ventures and associates IAS 1.IG6; IAS 28.10 0330 Income tax relating to items that may be reclassified to profit or (-) loss IAS 1.91(b), IG6; Annex V.Part 2.66 0340 Total comprehensive income for the year IAS 1.7, 81A(a), IG6 0350 Attributable to minority interest [Non-controlling interest] IAS 1.83(b)(i), IG6 0360 Attributable to owners of the parent IAS 1.83(b)(ii), IG6

4. Breakdown of financial assets by instrument and by counterparty sector

4.

4.1 Financial assets held for trading References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 0010 0005 Derivatives 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11, Annex V.Part 1.44(b) 0030 of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0060 Debt securities Annex V.Part 1.31 Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0190 FINANCIAL ASSETS HELD FOR TRADING Annex V.Part 1.15(a) IFRS 9.Appendix A

4.2.1 Non-trading financial assets mandatorily at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 0010 0020 0010 Equity instruments IAS 32.11, Annex V.Part 1.44(b) 0020 of which: credit institutions Annex V.Part 1.42(c) 0030 of which: other financial corporations Annex V.Part 1.42(d) 0040 of which: non-financial corporations Annex V.Part 1.42(e) 0050 Debt securities Annex V.Part 1.31, 44(b) 0060 Central banks Annex V.Part 1.42(a) 0070 General governments Annex V.Part 1.42(b) 0080 Credit institutions Annex V.Part 1.42(c) 0090 Other financial corporations Annex V.Part 1.42(d) 0100 Non-financial corporations Annex V.Part 1.42(e) 0110 Loans and advances Annex V.Part 1.32, 44(a) 0120 Central banks Annex V.Part 1.42(a) 0130 General governments Annex V.Part 1.42(b) 0140 Credit institutions Annex V.Part 1.42(c) 0150 Other financial corporations Annex V.Part 1.42(d) 0160 Non-financial corporations Annex V.Part 1.42(e) 0170 Households Annex V.Part 1.42(f) 0180 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS IFRS 7.8(a)(ii); IFRS 9.4.1.4

4.2.2 Financial assets designated at fair value through profit or loss References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27 Annex V.Part 2.69 0010 0020 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0020 of which: at cost IAS 39.46(c) 0030 of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.38(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.38(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.38(e) 0060 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0190 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5

4.3.1 Financial assets at fair value through other comprehensive income References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(b), 71 Accumulated partial write-offs Accumulated total write-offs Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67 IFRS 9.5.5.5; IFRS7.35H(a); IFRS 7.16A IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i); IFRS 7.16A IFRS 9.5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii), IFRS 7.16A IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 0010 0015 0020 0030 0040 0041 0050 0060 0070 0071 0080 0090 0010 Equity instruments IAS 32.11; Annex V.Part 1.44(b) 0020 of which: credit institutions Annex V.Part 1.42(c) 0030 of which: other financial corporations Annex V.Part 1.42(d) 0040 of which: non-financial corporations Annex V.Part 1.42(e) 0050 Debt securities Annex V.Part 1.31, 44(b) 0060 Central banks Annex V.Part 1.42(a) 0070 General governments Annex V.Part 1.42(b) 0080 Credit institutions Annex V.Part 1.42(c) 0090 Other financial corporations Annex V.Part 1.42(d) 0100 Non-financial corporations Annex V.Part 1.42(e) 0110 Loans and advances Annex V.Part 1.32, 44(a) 0120 Central banks Annex V.Part 1.42(a) 0130 General governments Annex V.Part 1.42(b) 0140 Credit institutions Annex V.Part 1.42(c) 0150 Other financial corporations Annex V.Part 1.42(d) 0160 Non-financial corporations Annex V.Part 1.42(e) 0165 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0170 Households Annex V.Part 1.42(f) 0180 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME IFRS 7.8(h); IFRS 9.4.1.2A

4.4.1 Financial assets at amortised cost References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Gross carrying amount Annex V.Part 1.34(b) Accumulated impairment Annex V.Part 2.70(a), 71 Accumulated partial write-offs Accumulated total write-offs Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets of which: instruments with low credit risk Annex V.Part 1.27 IFRS 9.5.5.5; IFRS 7.35M(a) IFRS 9.B5.5.22-24; Annex V.Part 2.75 IFRS 9.5.5.3, IFRS 7.35M(b)(i) IFRS 9.5.5.1, 7.35M(b)(ii) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67 IFRS 9.5.5.5; IFRS7.35H(a) IFRS 9.5.5.3; IFRS 9.5.5.15; IFRS 7.35H(b)(i) IFRS 5.5.1; IFRS 9.5.5.15; IFRS 7.35H(b)(ii) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.67,70(d) IFRS 9.5.4.4 and B5.4.9 ; Annex V.Part 2.72-74 IFRS 9.5.4.4 and B5.4.9; Annex V.Part 2.72-74 0010 0015 0020 0030 0040 0041 0050 0060 0070 0071 0080 0090 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0125 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0130 Households Annex V.Part 1.42(f) 0140 FINANCIAL ASSETS AT AMORTISED COST IFRS 7.8(f); IFRS 9.4.1.2

4.5 Subordinated financial assets References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 0010 0010 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0030 SUBORDINATED [FOR THE ISSUER] FINANCIAL ASSETS Accounting Directive art 8(1)(a); Annex V.Part 2.78, 100 Annex V.Part 2.78, 100

4.6 Trading Financial assets References National GAAP based on BAD Carrying amount Annex V.Part 1.27-28 0010 0005 Derivatives CRR Annex II; Annex V.Part 1.17, Part 2.68 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 0020 of which: unquoted 0030 of which: credit institutions Annex V.Part 1.42(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 TRADING FINANCIAL ASSETS BAD Article 32-33; Annex V.Part 1.17

4.7 Non-trading non-derivative financial assets measured at fair value through profit or loss References National GAAP based on BAD Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 1.27-28 Annex V.Part 2.69 0010 0021 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 0020 of which: unquoted 0030 of which: credit institutions Annex V.Part 1.42(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 36(2)

4.8 Non-trading non-derivative financial assets measured at fair value to equity References National GAAP based on BAD Financial assets not subject to impairment Annex V.Part 1.34(d), Part 2.79 Financial assets subject to impairment Annex V.Part 2.79 Carrying amount Accumulated negative changes in fair value due to credit risk on non-performing exposures Carrying amount Gross carrying amount Annex V Part 1.34(d) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Accumulated partial write-offs Accumulated total write-offs Unimpaired assets Impaired assets Annex V.Part 1.27-28 Annex V.Part 2.69 Annex V.Part 1.27-28 CRR art 4(95) CRR art 4(95), Annex V Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V. Part 2.70(c), 71, 82 CRR art 4(95); Annex V. Part 2.72-74 CRR art 4(95); Annex V. Part 2.72-74 0010 0030 0035 0040 0050 0060 0070 0080 0090 0100 0010 Equity instruments ECB/2013/33 Annex 2. Part 2.4-5; Annex V Part 1.44(b) 0020 of which: unquoted 0030 of which: credit institutions Annex V.Part 1.42(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0175 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0180 Households Annex V.Part 1.42(f) 0190 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY Accounting Directive art 8(1)(a), 8(2)

4.9 Non-trading non-derivative financial assets measured at a cost-based method References National GAAP based on BAD Gross carrying amount Annex V.Part 1.34(c),34(e) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Carrying amount Accumulated negative value adjustments on LOCOM assets - market risk induced Accumulated negative value adjustments on LOCOM assets - credit risk induced Accumulated partial write-offs Accumulated total write-offs Unimpaired assets Impaired assets of which: assets under LOCOM of which: assets under LOCOM of which: assets under LOCOM Annex V.Part 2.80 Annex V.Part 1.19 CRR art 4(95), Annex V.Part 2.80 Annex V.Part 1.19 CRR art 4(95); Annex V.Part 2.70(c), 71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 Annex V.Part 1.27-28 Annex V.Part 1.19 Annex V.Part 2.80 Annex V.Part 2.80 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74 0010 0015 0020 0025 0030 0041 0045 0050 0060 0070 0080 0090 0100 0005 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) 0006 of which: unquoted 0007 of which: credit institutions Annex V.Part 1.42(c) 0008 of which: other financial corporations Annex V.Part 1.42(d) 0009 of which: non-financial corporations Annex V.Part 1.42(e) 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0125 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0130 Households Annex V.Part 1.42(f) 0140 NON-TRADING FINANCIAL ASSETS MEASURED AT A COST-BASED METHOD BAD art 37.1; art 42a(4)(b); Annex V.Part 1.19

4.10 Other non-trading non-derivative financial assets References National GAAP based on BAD Gross carrying amount Annex V.Part 1.34(e),34(f) Specific allowances for credit risk General allowances for credit risk affecting carrying amount General allowances for banking risk affecting carrying amount Carrying amount Accumulated negative value adjustments on LOCOM assets - market risk induced Accumulated negative value adjustments on LOCOM assets - credit risk induced Accumulated partial write-offs Accumulated total write-offs Unimpaired assets Impaired assets of which: assets under LOCOM of which: assets under LOCOM of which: assets under LOCOM Annex V.Part 2.81 Annex V.Part 1.20 Annex V.Part 2.81 CRR art 4(95); Annex V.Part 1.20 CRR art 4(95); Annex V.Part 2.70(c), 71 CRR art 4(95); Annex V.Part 2.70(c),71 CRR art 4(95); Annex V.Part 2.70(c), 71, 82 Annex V.Part 1.27-28 Annex V.Part 1.20 Annex V.Part 2.81 Annex V.Part 2.81 CRR art 4(95); Annex V.Part 2.72-74 CRR art 4(95); Annex V.Part 2.72-74 0015 0016 0020 0025 0030 0040 0050 0010 0070 0080 0090 0100 0110 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V.Part 1.44(b) 0020 of which: unquoted 0030 of which: credit institutions Annex V.Part 1.42(c) 0040 of which: other financial corporations Annex V.Part 1.42(d) 0050 of which: non-financial corporations Annex V.Part 1.42(e) 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0175 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) 0180 Households Annex V.Part 1.42(f) 0190 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS Accounting Directive art 8(1)(a), 8(2); Annex V.Part 1.20

5. Breakdown of non-trading loans and advances by product

5.

5.1 Loans and advances other than held for trading, trading or held for sale assets by product References Gross carrying amount Carrying amount Annex V.Part 1.27-28 Central banks General governments Credit institutions Other financial corporations Non-financial corporations Households Annex V.Part 1.34 Annex V.Part 1.42(a) Annex V.Part 1.42(b) Annex V.Part 1.42(c) Annex V.Part 1.42(d) Annex V.Part 1.42(e) Annex V.Part 1.42(f) 0005 0010 0020 0030 0040 0050 0060 By product 0010 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 0020 Credit card debt Annex V.Part 2.85(b) 0030 Trade receivables Annex V.Part 2.85(c) 0040 Finance leases Annex V.Part 2.85(d) 0050 Reverse repurchase loans Annex V.Part 2.85(e) 0060 Other term loans Annex V.Part 2.85(f) 0070 Advances that are not loans Annex V.Part 2.85(g) 0080 LOANS AND ADVANCES Annex V.Part 1.32, 44(a) By collateral 0090 of which: Loans collateralized by immovable property Annex V.Part 2.86(a), 87 0100 of which: other collateralized loans Annex V.Part 2.86(b), 87 By purpose 0110 of which: credit for consumption Annex V.Part 2.88(a) 0120 of which: lending for house purchase Annex V.Part 2.88(b) By subordination 0130 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)

6. Breakdown of non-trading loans and advances to non-financial corporations by NACE codes

6.

6.1 Breakdown of loans and advances other than held for trading, trading or held for sale assets to non-financial corporations by NACE codes References Non-financial corporations Annex V.Part 1.42(e), Part 2.91 Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which: loans and advances subject to impairment Of which: non-performing of which: defaulted Annex V.Part 1.34 Annex V.Part 2.93 Annex V.Part 2. 213-232 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.70-71 Annex V.Part 2.69 0010 0011 0012 0013 0021 0022 0010 A Agriculture, forestry and fishing NACE Regulation 0020 B Mining and quarrying NACE Regulation 0030 C Manufacturing NACE Regulation 0040 D Electricity, gas, steam and air conditioning supply NACE Regulation 0050 E Water supply NACE Regulation 0060 F Construction NACE Regulation 0070 G Wholesale and retail trade NACE Regulation 0080 H Transport and storage NACE Regulation 0090 I Accommodation and food service activities NACE Regulation 0100 J Information and communication NACE Regulation 0105 K Financial and insurance activities NACE Regulation, Annex V.Part 2.92 0110 L Real estate activities NACE Regulation 0120 M Professional, scientific and technical activities NACE Regulation 0130 N Administrative and support service activities NACE Regulation 0140 O Public administration and defence, compulsory social security NACE Regulation 0150 P Education NACE Regulation 0160 Q Human health services and social work activities NACE Regulation 0170 R Arts, entertainment and recreation NACE Regulation 0180 S Other services NACE Regulation 0190 LOANS AND ADVANCES Annex V.Part 1.32, Part 2.90

7. Financial assets subject to impairment that are past due

7.

7.1 Financial assets subject to impairment that are past due References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27 Assets without significant increase in credit risk since initial recognition (Stage 1) Assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired assets (Stage 3) Purchased or originated credit-impaired financial assets ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days IFRS 9.5.5.11;B5.5.37; IFRS 7.B8I, Annex V.Part 2.96 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95 Loans and advances by product, by collateral and by subordination 0200 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 0210 Credit card debt Annex V.Part 2.85(b) 0220 Trade receivables Annex V.Part 2.85(c) 0230 Finance leases Annex V.Part 2.85(d) 0240 Reverse repurchase loans Annex V.Part 2.85(e) 0250 Other term loans Annex V.Part 2.85(f) 0260 Advances that are not loans Annex V.Part 2.85(g) 0270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87 0280 of which: other collateralized loans Annex V.Part 2.86(b), 87 0290 of which: credit for consumption Annex V.Part 2.88(a) 0300 of which: lending for house purchase Annex V.Part 2.88(b) 0310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)

7.2 Financial assets subject to impairment that are past due under national GAAP References National GAAP based on BAD Carrying amount Annex V.Part 1.27-28 Past due but not impaired Past due impaired ≤ 30 days > 30 days ≤ 90 days > 90 days ≤ 30 days > 30 days ≤ 90 days > 90 days CRR art 4(95); Annex V.Part 2.96 0010 0020 0030 0040 0050 0060 0060 Debt securities Annex V.Part 1.31, 44(b) 0070 Central banks Annex V.Part 1.42(a) 0080 General governments Annex V.Part 1.42(b) 0090 Credit institutions Annex V.Part 1.42(c) 0100 Other financial corporations Annex V.Part 1.42(d) 0110 Non-financial corporations Annex V.Part 1.42(e) 0120 Loans and advances Annex V.Part 1.32, 44(a) 0130 Central banks Annex V.Part 1.42(a) 0140 General governments Annex V.Part 1.42(b) 0150 Credit institutions Annex V.Part 1.42(c) 0160 Other financial corporations Annex V.Part 1.42(d) 0170 Non-financial corporations Annex V.Part 1.42(e) 0180 Households Annex V.Part 1.42(f) 0190 TOTAL DEBT INSTRUMENTS Annex V Part 2.94-95 Loans and advances by product, by collateral and by subordination 0200 On demand [call] and short notice [current account] Annex V.Part 2.85(a) 0210 Credit card debt Annex V.Part 2.85(b) 0220 Trade receivables Annex V.Part 2.85(c) 0230 Finance leases Annex V.Part 2.85(d) 0240 Reverse repurchase loans Annex V.Part 2.85(e) 0250 Other term loans Annex V.Part 2.85(f) 0260 Advances that are not loans Annex V.Part 2.85(g) 0270 of which: Loans collateralized by inmovable property Annex V.Part 2.86(a), 87 0280 of which: other collateralized loans Annex V.Part 2.86(b), 87 0290 of which: credit for consumption Annex V.Part 2.88(a) 0300 of which: lending for house purchase Annex V.Part 2.88(b) 0310 of which: project finance loans Annex V.Part 2.89; CRR Art 147(8)

8. Breakdown of financial liabilities

8.

8.1 Breakdown of financial liabilities by product and by counterparty sector References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Accumulated changes in fair value due to credit risk Held for trading Designated at fair value through profit or loss Amortised cost Trading At a cost-based method Hedge accounting IFRS 7.8(e)(ii); IFRS 9 Appendix A, IFRS 9.BA.6-BA.7, IFRS 9.6.7 IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 IFRS 7.24A(a); IFRS 9.6 CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.101 Accounting Directive art 8(1)(a), (6); IAS 39.9, AG 14-15 Accounting Directive art 8(1)(a), (6); IAS 39.9 Accounting Directive art 8(3), (6); IAS 39.47 Accounting Directive art 8(3); Annex V.Part 1.25 Accounting Directive art 8(3) Accounting Directive art 8(1)(a), (6), (8)(1)(a) CRR art 33(1)(b), art 33(1)(c); Annex V.Part 2.102 0010 0020 0030 0034 0035 0037 0040 0010 Derivatives CRR Annex II IFRS 9.BA.7(a) 0020 Short positions FRS 9.BA.7(b) 0030 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0040 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0050 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0060 Central banks Annex V.Part 1.42(a), 44(c) Annex V.Part 1.42(a), 44(c) 0070 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 0080 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 0090 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0100 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 0110 General governments Annex V.Part 1.42(b), 44(c) Annex V.Part 1.42(b), 44(c) 0120 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 0130 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 0140 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0150 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 0160 Credit institutions Annex V.Part 1.42(c),44(c) Annex V.Part 1.42(c),44(c) 0170 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 0180 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 0190 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0200 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 0210 Other financial corporations Annex V.Part 1.42(d),44(c) Annex V.Part 1.42(d),44(c) 0220 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 0230 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 0240 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0250 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 0260 Non-financial corporations Annex V.Part 1.42(e), 44(c) Annex V.Part 1.42(e), 44(c) 0270 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 0280 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 0290 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0300 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 0310 Households Annex V.Part 1.42(f), 44(c) Annex V.Part 1.42(f), 44(c) 0320 Current accounts / overnight deposits ECB/2013/33 Annex 2.Part 2.9.1 ECB/2013/33 Annex 2.Part 2.9.1 0330 Deposits with agreed maturity ECB/2013/33 Annex 2.Part 2.9.2 ECB/2013/33 Annex 2.Part 2.9.2 0340 Deposits redeemable at notice ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 ECB/2013/33 Annex 2.Part 2.9.3; Annex V.Part 2.97 0350 Repurchase agreements ECB/2013/33 Annex 2.Part 2.9.4 ECB/2013/33 Annex 2.Part 2.9.4 0360 Debt securities issued Annex V.1.37, Part 2.98 Annex V.Part 1.37, Part 2.98 0370 Certificates of deposits Annex V.Part 2.98(a) Annex V.Part 2.98(a) 0380 Asset-backed securities CRR art 4(61) CRR art 4(1)(61) 0390 Covered bonds CRR art 129 CRR art 129 0400 Hybrid contracts Annex V.Part 2.98(d) Annex V.Part 2.98(d) 0410 Other debt securities issued Annex V.Part 2.98(e) Annex V.Part 2.98(e) 0420 Convertible compound financial instruments IAS 32.AG 31 0430 Non-convertible 0440 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0445 of which: lease liabilities IFRS 16.22, 26-28, 47(b) 0450 FINANCIAL LIABILITIES

8.2 Subordinated financial liabilities References National GAAP References National GAAP compatible IFRS Carriyng amount Designated at fair value through profit or loss At amortized cost At a cost-based method IFRS 7.8(e)(i); IFRS 9.4.2.2, IFRS 9.4.3.5 IFRS 7.8(g); IFRS 9.4.2.1 Accounting Directive art 8(1)(a), (6); IAS 39.9 Accounting Directive art 8(3), (6); IAS 39.47 Accounting Directive art 8(3) 0010 0020 0030 0010 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0020 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0030 SUBORDINATED FINANCIAL LIABILITIES Annex V.Part 2.99-100 Annex V.Part 2.99-100

9. Loan commitments, financial guarantees and other commitments

9.

9.1.1 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP compatible IFRS Nominal amount of off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V.Part 2.107-108, 118 Provisions on off-balance sheet commitments and financial guarantees under IFRS 9 impairment Annex V Part 2.106-109 Other commitments measured under IAS 37 and financial guarantees measured under IFRS 4 Commitments and financial guarantees measured at fair value Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Purchased or originated credit-impaired instruments Instruments without significant increase in credit risk since initial recognition (Stage 1) Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Credit-impaired instruments (Stage 3) Purchased or originated credit-impaired instruments Nominal amount Provision Nominal amount Accumulated negative changes in fair value due to credit risk on non-performing commitments IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS 9.B2.5; IFRS 7.35M IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS 9.5.5, IFRS9.B2.5; IFRS 7.35M IFRS 7.35M; Annex V.Part 2.107 IFRS 9.2.1(e),(g), IFRS 9.4.2.(c), IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(a) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(i) IFRS 9.2.1(e),(g), IFRS 9.4.2.(c),IFRS9.5.5, IFRS 9.B2.5; IFRS 7.35H(b)(ii) IFRS 7.35M; Annex V.Part 2.107 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.111, 118 IAS 37, IFRS 9.2.1(e), IFRS 9.B2.5; IFRS 4; Annex V.Part 2.106, 111 IFRS 9.2.3(a), 9.B2.5; Annex V Part 2.110, 118 Annex V Part 2.69 0010 0020 0030 0035 0040 0050 0060 0065 0100 0110 0120 0130 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0021 of which: non-performing Annex V.Part 2.117 0030 Central banks Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) 0080 Households Annex V.Part 1.42(f) 0090 Financial guarantees given IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0101 of which: non-performing Annex V.Part 2.117 0110 Central banks Annex V.Part 1.42(a) 0120 General governments Annex V.Part 1.42(b) 0130 Credit institutions Annex V.Part 1.42(c) 0140 Other financial corporations Annex V.Part 1.42(d) 0150 Non-financial corporations Annex V.Part 1.42(e) 0160 Households Annex V.Part 1.42(f) 0170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0181 of which: non-performing Annex V.Part 2.117 0190 Central banks Annex V.Part 1.42(a) 0200 General governments Annex V.Part 1.42(b) 0210 Credit institutions Annex V.Part 1.42(c) 0220 Other financial corporations Annex V.Part 1.42(d) 0230 Non-financial corporations Annex V.Part 1.42(e) 0240 Households Annex V.Part 1.42(f)

9.1 Off-balance sheet exposures under national GAAP: Loan commitments, financial guarantees and other commitments given References National GAAP Nominal amount Provisions CRR Annex I; Annex V.Part 2.118 CRR Annex I; Annex V.Part 2.11 0010 0020 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 0021 of which: non-performing Annex V. Part 2.117 0030 Central banks Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) 0080 Households Annex V.Part 1.42(f) 0090 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 0101 of which: non-performing Annex V. Part 2.117 0110 Central banks Annex V.Part 1.42(a) 0120 General governments Annex V.Part 1.42(b) 0130 Credit institutions Annex V.Part 1.42(c) 0140 Other financial corporations Annex V.Part 1.42(d) 0150 Non-financial corporations Annex V.Part 1.42(e) 0160 Households Annex V.Part 1.42(f) 0170 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 0181 of which: non-performing Annex V. Part 2.117 0190 Central banks Annex V.Part 1.42(a) 0200 General governments Annex V.Part 1.42(b) 0210 Credit institutions Annex V.Part 1.42(c) 0220 Other financial corporations Annex V.Part 1.42(d) 0230 Non-financial corporations Annex V.Part 1.42(e) 0240 Households Annex V.Part 1.42(f)

9.2 Loan commitments, financial guarantees and other commitments received References National GAAP References National GAAP compatible IFRS Maximum amount of the guarantee that can be considered Nominal amount IFRS 7.36 (b); Annex V.Part 2.119 Annex V.Part 2.119 Annex V.Part 2.119 Annex V.Part 2.119 0010 0020 0010 Loan commitments received Annex V.Part 1.44(h), Part 2.102-103, 113 IFRS 9.2.1(g), .BCZ2.2; Annex V.Part 1.44(h), Part 2.102-103, 113 0020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0080 Financial guarantees received Annex V.Part 1.44(h), Part 2.102-103, 114 IFRS 9.2.1(e ), .B2.5, .BC2.17, IFRS 8.Appendix A; IFRS 4 Annex A; Annex V.Part 1.44(h), Part 2.102-103, 114 0090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0150 Other Commitments received Annex V.Part 1.44(h), Part 2.102-103, 115 Annex V.Part 1.44(h), Part 2.102-103, 115 0160 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0170 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0180 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0190 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0200 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0210 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)

10. Derivatives - Trading and economic hedges By type of risk / By product or by type of market References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Fair value Notional amount Financial assets Held for trading and trading Financial liabilities Held for trading and trading Positive value Negative value Total Trading of which: sold of which: Financial assets measured at a cost-based method / LOCOM of which: Financial liabilities measured at a cost-based method / LOCOM Annex V.Part 2.120, 131 IFRS 9.BA.7 (a); Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 Annex V.Part 1.17, Part 2.120 Annex V.Part 2.124 Annex V.Part 1.25, Part 2.120 Annex V.Part 2.124 Annex V.Part 2.132 Annex V.Part 2.132 Annex V.Part 2.133-135 Annex V.Part 2.133-135 0010 0011 0020 0016 0022 0025 0030 0040 0010 Interest rate Annex V.Part 2.129(a) Annex V.Part 2.129(a) 0020 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 0030 OTC options Annex V.Part 2.136 Annex V.Part 2.136 0040 OTC other Annex V.Part 2.136 Annex V.Part 2.136 0050 Organized market options Annex V.Part 2.136 Annex V.Part 2.136 0060 Organized market other Annex V.Part 2.136 Annex V.Part 2.136 0070 Equity Annex V.Part 2.129(b) Annex V.Part 2.129(b) 0080 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 0090 OTC options Annex V.Part 2.136 Annex V.Part 2.136 0100 OTC other Annex V.Part 2.136 Annex V.Part 2.136 0110 Organized market options Annex V.Part 2.136 Annex V.Part 2.136 0120 Organized market other Annex V.Part 2.136 Annex V.Part 2.136 0130 Foreign exchange and gold Annex V.Part 2.129(c) Annex V.Part 2.129(c) 0140 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 0150 OTC options Annex V.Part 2.136 Annex V.Part 2.136 0160 OTC other Annex V.Part 2.136 Annex V.Part 2.136 0170 Organized market options Annex V.Part 2.136 Annex V.Part 2.136 0180 Organized market other Annex V.Part 2.136 Annex V.Part 2.136 0190 Credit Annex V.Part 2.129(d) Annex V.Part 2.129(d) 0195 of which: economic hedges with use of the fair value option Annex V.Part 2.140 IFRS 9.6.7.1; Annex V.Part 2.140 0201 of which: other economic hedges Annex V.Part 2.137-140 Annex V.Part 2.137-140 0210 Credit default swap 0220 Credit spread option 0230 Total return swap 0240 Other 0250 Commodity Annex V.Part 2.129(e) Annex V.Part 2.129(e) 0260 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 0270 Other Annex V.Part 2.129(f) Annex V.Part 2.129(f) 0280 of which: economic hedges Annex V.Part 2.137-139 Annex V.Part 2.137-139 0290 DERIVATIVES CRR Annex II; Annex V.Part 1.16(a) IFRS 9.Appendix A 0300 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141 (a), 142 Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 0310 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) Annex V.Part 1.42(d), 44(e), Part 2.141(b) 0320 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c) Annex V.Part 1.44(e), Part 2.141(c)

11. Hedge accounting

11.

11.1 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge By product or by type of market References National GAAP compatible IFRS Carrying amount Notional amount Assets Liabilities Total Hedging of which: sold IFRS 7.24A; Annex V.Part 2.120, 131 IFRS 7.24A; Annex V.Part 2.120, 131 Annex V.Part 2.133-135 Annex V.Part 2.133-135 0010 0020 0030 0040 0010 Interest rate Annex V.Part 2.129(a) 0020 OTC options Annex V.Part 2.136 0030 OTC other Annex V.Part 2.136 0040 Organized market options Annex V.Part 2.136 0050 Organized market other Annex V.Part 2.136 0060 Equity Annex V.Part 2.129(b) 0070 OTC options Annex V.Part 2.136 0080 OTC other Annex V.Part 2.136 0090 Organized market options Annex V.Part 2.136 0100 Organized market other Annex V.Part 2.136 0110 Foreign exchange and gold Annex V.Part 2.129(c) 0120 OTC options Annex V.Part 2.136 0130 OTC other Annex V.Part 2.136 0140 Organized market options Annex V.Part 2.136 0150 Organized market other Annex V.Part 2.136 0160 Credit Annex V.Part 2.129(d) 0170 Credit default swap Annex V.Part 2.136 0180 Credit spread option Annex V.Part 2.136 0190 Total return swap Annex V.Part 2.136 0200 Other Annex V.Part 2.136 0210 Commodity Annex V.Part 2.129(e) 0220 Other Annex V.Part 2.129(f) 0230 FAIR VALUE HEDGES IFRS 7.24A; IAS 39.86(a); IFRS 9.6.5.2(a) 0240 Interest rate Annex V.Part 2.129(a) 0250 OTC options Annex V.Part 2.136 0260 OTC other Annex V.Part 2.136 0270 Organized market options Annex V.Part 2.136 0280 Organized market other Annex V.Part 2.136 0290 Equity Annex V.Part 2.129(b) 0300 OTC options Annex V.Part 2.136 0310 OTC other Annex V.Part 2.136 0320 Organized market options Annex V.Part 2.136 0330 Organized market other Annex V.Part 2.136 0340 Foreign exchange and gold Annex V.Part 2.129(c) 0350 OTC options Annex V.Part 2.136 0360 OTC other Annex V.Part 2.136 0370 Organized market options Annex V.Part 2.136 0380 Organized market other Annex V.Part 2.136 0390 Credit Annex V.Part 2.129(d) 0400 Credit default swap Annex V.Part 2.136 0410 Credit spread option Annex V.Part 2.136 0420 Total return swap Annex V.Part 2.136 0430 Other Annex V.Part 2.136 0440 Commodity Annex V.Part 2.129(e) 0450 Other Annex V.Part 2.129(f) 0460 CASH FLOW HEDGES IFRS 7.24A; IAS 39.86(b); IFRS 9.6.5.2(b) 0470 HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION IFRS 7.24A; IAS 39.86(c); IFRS 9.6.5.2(c) 0480 PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK IAS 39.71, 81A, 89A, AG 114-132 0490 PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK IAS 39.71 0500 DERIVATIVES-HEDGE ACCOUNTING IFRS 7.24A; IAS 39.9; IFRS 9.6.1 0510 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 0520 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 0530 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c)

11.2 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk By product or by type of market References National GAAP based on BAD Carrying amount Notional amount Fair value Assets Liabilities Total Hedging of which: sold Positive value Negative value of which: assets carried at amortised cost / LOCOM of which: liabilities carried at amortised cost / LOCOM of which: derivatives carried at amortised cost / LOCOM of which: derivatives carried at amortised cost / LOCOM Annex V.Part 1.17, Part 2.120 Annex V.Part 2.124 Annex V.Part 1.25, Part 2.120 Annex V.Part 2.124 Annex V.Part 2.133-135 Annex V.Part 2.124 Annex V.Part 2.133-135 Annex V.Part 2.124 Annex V.Part 2.132 Annex V.Part 2.132 0005 0006 0007 0008 0010 0011 0020 0021 0030 0040 0010 Interest rate Annex V.Part 2.129(a) 0020 OTC options Annex V.Part 2.136 0030 OTC other Annex V.Part 2.136 0040 Organized market options Annex V.Part 2.136 0050 Organized market other Annex V.Part 2.136 0060 Equity Annex V.Part 2.129(b) 0070 OTC options Annex V.Part 2.136 0080 OTC other Annex V.Part 2.136 0090 Organized market options Annex V.Part 2.136 0100 Organized market other Annex V.Part 2.136 0110 Foreign exchange and gold Annex V.Part 2.129(c) 0120 OTC options Annex V.Part 2.136 0130 OTC other Annex V.Part 2.136 0140 Organized market options Annex V.Part 2.136 0150 Organized market other Annex V.Part 2.136 0160 Credit Annex V.Part 2.129(d) 0170 Credit default swap Annex V.Part 2.136 0180 Credit spread option Annex V.Part 2.136 0190 Total return swap Annex V.Part 2.136 0200 Other Annex V.Part 2.136 0210 Commodity Annex V.Part 2.129(e) 0220 Other Annex V.Part 2.129(f) 0230 DERIVATIVES-HEDGE ACCOUNTING Annex V.Part 1.22, 26 0231 of which: fair value hedges Annex V.Part 2.143 0232 of which: cash flow hedges Annex V.Part 2.143 0233 of which: cost-price hedges Annex V.Part 2.143, 144 0234 of which: hedge in net investments in a foreign operation Annex V.Part 2.143 0235 of which: portfolio fair value hedges of interest rate risk Annex V.Part 2.143 0236 of which: portfolio cash flow hedges of interest rate risk Annex V.Part 2.143 0240 of which: OTC - credit institutions Annex V.Part 1.42(c), 44(e), Part 2.141(a), 142 0250 of which: OTC - other financial corporations Annex V.Part 1.42(d), 44(e), Part 2.141(b) 0260 of which: OTC - rest Annex V.Part 1.44(e), Part 2.141(c)

11.3 Non-derivative hedging instruments: Breakdown by accounting portfolio and type of hedge References National GAAP compatible IFRS Carrying amount Fair value hedge Cash flow hedge Hedge of net investment in a foreign operation Annex V.Part 2.145 Annex V.Part 2.145 Annex V.Part 2.145 0010 0020 0030 0010 Non-derivative financial assets IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 0020 of which: Financial assets held for trading IFRS 9.Appendix A 0030 of which: Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 0040 of which: Financial assets designated at fair value through profit or loss IFRS 9.4.1.5; IFRS 7.8(a)(i) 0050 Non-derivative financial liabilities IFRS 7.24A; IFRS 9.6.1; IFRS 9.6.2.2 0060 Financial liabilities held for trading IFRS 9.Appendix A 0070 Financial liabilities designated at fair value through profit or loss IFRS 9.4.2.1; IFRS 9.6.2.2 0080 Financial assets at amortised cost IFRS 9.4.2.1; IFRS 9.6.2.2

11.3.1 Non-derivative hedging instruments under national GAAP: breakdown by accounting portfolio References National GAAP based on BAD Carrying amount Annex V.Part 2.145 0010 0010 Non-derivative financial assets 0020 of which: Trading financial assets BAD Article 32-33; Annex V.Part 1.17 0030 of which: Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 0040 of which: Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 0050 of which: Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 0060 Non-derivative financial liabilities 0070 of which: Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 0080 of which: Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3)

11.4 Hedged items in fair value hedges References National GAAP compatible IFRS Micro-hedges Micro-hedges - Net position hedge Hedge adjustments on micro-hedges Macro hedges Carrying amount Assets or liabilities included in hedge of a net position (before netting) Hedge adjustments included in the carrying amount of assets/liabilities Remaining adjustments for discontinued micro hedges including hedges of net positions Hedged items in portfolio hedge of interest rate risk IFRS 7.24B(a), Annex V.Part 2.146, 147 IFRS 9.6.6.1; IFRS 9.6.6.6; Annex V.Part 2.147, 151 IFRS 7.24B(a)(ii); Annex V.Part 2.148, 149 IFRS 7.24B(a)(v); Annex V.Part 2.148, 150 IFRS 9.6.1.3; IFRS 9.6.6.1; Annex V.Part 2.152 0010 0020 0030 0040 0050 ASSETS 0010 Financial assets measured at fair value through other comprehensive income IFRS 9.4.1.2A; IFRS 7.8(h); Annex V. Part 2.146, 151 0020 Interest rate Annex V.Part 2.129(a) 0030 Equity Annex V.Part 2.129(b) 0040 Foreign exchange and gold Annex V.Part 2.129(c) 0050 Credit Annex V.Part 2.129(d) 0060 Commodity Annex V.Part 2.129(e) 0070 Other Annex V.Part 2.129(f) 0080 Financial assets measured at amortised cost IFRS 9.4.1.2A; IFRS 7.8(f); Annex V. Part 2.146, 151 0090 Interest rate Annex V.Part 2.129(a) 0100 Equity Annex V.Part 2.129(b) 0110 Foreign exchange and gold Annex V.Part 2.129(c) 0120 Credit Annex V.Part 2.129(d) 0130 Commodity Annex V.Part 2.129(e) 0140 Other Annex V.Part 2.129(f) LIABILITIES 0150 Financial liabilities measured at amortised costs IFRS 9.4.2.1; IFRS 7.8(g); Annex V. Part 2.146, 151 0160 Interest rate Annex V.Part 2.129(a) 0170 Equity Annex V.Part 2.129(b) 0180 Foreign exchange and gold Annex V.Part 2.129(c) 0190 Credit Annex V.Part 2.129(d) 0200 Commodity Annex V.Part 2.129(e) 0210 Other Annex V.Part 2.129(f)

12. Movements in allowances and provisions for credit losses

12.

12.0 Movements in allowances for credit losses and impairment of equity instruments under national GAAP References National GAAP based on BAD CRR article 442(i); Annex V.Part 2.153 Opening balance Increases due to amounts set aside for estimated loan losses during the period Decreases due to amounts reversed for estimated loan losses during the period Decrease in allowance account due to write-offs Transfers between allowances Other adjustments Closing balance Recoveries recorded directly to the statement of profit or loss Value adjustments recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss Annex V.Part 2.154 Annex V.Part 2.154 Annex V.Part 2.155 Annex V.Part 2.78 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0330 Specific allowances for credit risk CRR art 428 (g)(ii) 0335 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 0340 Debt securities Annex V.Part 1.31, 44(b) 0350 Central banks Annex V.Part 1.42(a) 0360 General governments Annex V.Part 1.42(b) 0370 Credit institutions Annex V.Part 1.42(c) 0380 Other financial corporations Annex V.Part 1.42(d) 0390 Non-financial corporations Annex V.Part 1.42(e) 0400 Loans and advances Annex V.Part 1.32, 44(a) 0410 Central banks Annex V.Part 1.42(a) 0420 General governments Annex V.Part 1.42(b) 0430 Credit institutions Annex V.Part 1.42(c) 0440 Other financial corporations Annex V.Part 1.42(d) 0450 Non-financial corporations Annex V.Part 1.42(e) 0460 Households Annex V.Part 1.42(f) 0470 General allowances for credit risk CRR art 4(1)(95) 0475 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 0480 Debt securities Annex V.Part 1.31 0490 Loans and advances Annex V.Part 1.32 0500 General allowance for banking risks BAD art 37.2; CRR art 4(95) 0505 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 0510 Debt securities Annex V.Part 1.31 0520 Loans and advances Annex V.Part 1.32 0530 Total

12.1 Movements in allowances and provisions for credit losses References National GAAP compatible IFRS Opening balance Increases due to origination and acquisition Decreases due to derecognition Changes due to change in credit risk (net) Changes due to modifications without derecognition (net) Changes due to update in the institution's methodology for estimation (net) Decrease in allowance account due to write-offs Other adjustments Closing balance Recoveries of previously written-off amounts recorded directly to the statement of profit or loss Amounts written-off directly to the statement of profit or loss Gains or losses on derecognition of debt instruments IFRS 7.35I; Annex V.Part 2.159, 164(b) IFRS 7.35I; Annex V.Part 2.160, 164(b) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.161-162 IFRS 7.35I; IFRS 7.35J; IFRS 9.5.5.12, B5.5.25, B5.5.27; Annex V.Part 2.164(c) IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.163 IFRS 7.35I; IFRS 9.5.4.4;IFRS 7.35L; Annex V.Part 2.72, 74, 164(a), 165 IFRS 7.35I; IFRS 7.35B(b); Annex V.Part 2.166 IFRS 9.5.4.4; Annex V.Part 2.165 Annex V.Part 2.166i 0010 0020 0030 0040 0050 0070 0080 0090 0100 0110 0120 0125 0010 Allowances for financial assets without increase in credit risk since initial recognition (Stage 1) IFRS 9.5.5.5 0015 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0020 Debt securities Annex V.Part 1.31, 44(b) 0030 Central banks Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) 0080 Loans and advances Annex V.Part 1.32, 44(a) 0090 Central banks Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) 0140 Households Annex V.Part 1.42(f) 0160 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0170 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0180 Allowances for debt instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) IFRS 9.5.5.3 0185 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0190 Debt securities Annex V.Part 1.31, 44(b) 0200 Central banks Annex V.Part 1.42(a) 0210 General governments Annex V.Part 1.42(b) 0220 Credit institutions Annex V.Part 1.42(c) 0230 Other financial corporations Annex V.Part 1.42(d) 0240 Non-financial corporations Annex V.Part 1.42(e) 0250 Loans and advances Annex V.Part 1.32, 44(a) 0260 Central banks Annex V.Part 1.42(a) 0270 General governments Annex V.Part 1.42(b) 0280 Credit institutions Annex V.Part 1.42(c) 0290 Other financial corporations Annex V.Part 1.42(d) 0300 Non-financial corporations Annex V.Part 1.42(e) 0310 Households Annex V.Part 1.42(f) 0330 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0340 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0350 of which: non-performing Annex V.Part 2.213-232 0360 Allowances for credit-impaired debt instruments (Stage 3) IFRS 9.5.5.1, 9. Appendix A 0365 Cash balances at central banks and other demand deposits Annex V.Part 2.2, 3 0370 Debt securities Annex V.Part 1.31, 44(b) 0380 Central banks Annex V.Part 1.42(a) 0390 General governments Annex V.Part 1.42(b) 0400 Credit institutions Annex V.Part 1.42(c) 0410 Other financial corporations Annex V.Part 1.42(d) 0420 Non-financial corporations Annex V.Part 1.42(e) 0430 Loans and advances Annex V.Part 1.32, 44(a) 0440 Central banks Annex V.Part 1.42(a) 0450 General governments Annex V.Part 1.42(b) 0460 Credit institutions Annex V.Part 1.42(c) 0470 Other financial corporations Annex V.Part 1.42(d) 0480 Non-financial corporations Annex V.Part 1.42(e) 0490 Households Annex V.Part 1.42(f) 0500 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0510 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0600 Allowances for purchased or originated credit-impaired financial assets Annex V.Part 2.156 0610 Debt securities Annex V.Part 1.31, 44(b) 0620 Central banks Annex V.Part 1.42(a) 0630 General governments Annex V.Part 1.42(b) 0640 Credit institutions Annex V.Part 1.42(c) 0650 Other financial corporations Annex V.Part 1.42(d) 0660 Non-financial corporations Annex V.Part 1.42(e) 0670 Loans and advances Annex V.Part 1.32, 44(a) 0680 Central banks Annex V.Part 1.42(a) 0690 General governments Annex V.Part 1.42(b) 0700 Credit institutions Annex V.Part 1.42(c) 0710 Other financial corporations Annex V.Part 1.42(d) 0720 Non-financial corporations Annex V.Part 1.42(e) 0730 Households Annex V.Part 1.42(f) 0740 of which: collectively measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0750 of which: individually measured allowances IFRS 9.B5.5.1 - B5.5.6; Annex V.Part 2.158 0520 Total allowance for debt instruments IFRS 7.B8E 0530 Commitments and financial guarantees given (Stage 1) IFRS 9.2.1|(g); 2.3(c); 5.5, B2.5; Annex V.Part 2.157 0540 Commitments and financial guarantees given (Stage 2) IFRS 9.2.1|(g); 2.3(c); 5.5.3, B2.5; Annex V.Part 2.157 0550 of which: non-performing Annex V.Part 2.117 0560 Commitments and financial guarantees given (Stage 3) IFRS 9.2.1|(g); 2.3(c); 5.5.1, B2.5; Annex V.Part 2.157 0565 Commitments and financial guarantees given (Purchased or originated credit-impaired) Annex V.Part 2.156 0570 Total provisions on commitments and financial guarantees given IFRS 7.B8E; Annex V.Part 2.157

12.2 Transfers between impairment stages (gross basis presentation) References National GAAP compatible IFRS Gross carrying amount / nominal amount Annex V.Part 1.34, Part 2.118, 167, 170 Transfers between Stage 1 and Stage 2 Transfers between Stage 2 and Stage 3 Transfers between Stage 1 and Stage 3 To Stage 2 from Stage 1 To Stage 1 from Stage 2 To Stage 3 from Stage 2 To Stage 2 from Stage 3 To Stage 3 from Stage 1 To Stage 1 from Stage 3 Annex V.Part 2.168-169 0010 0020 0030 0040 0050 0060 0010 Debt securities Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) 0130 Households Annex V.Part 1.42(f) 0140 Total debt instruments 0150 Commitments and financial guarantees given IFRS 9.2.1|(g); 2.3(c); 5.5.1, 5.5.3, 5.5.5

13. Collateral and guarantees received

13.

13.1 Breakdown of collateral and guarantees by loans and advances other than held for trading Guarantees and collateral References National GAAP based on BAD References National GAAP compatible IFRS Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 Loans collateralized by immovable property Other collateralised loans Financial guarantees received Residential immovable property Commercial immovable property Cash, deposits, [debt securities issued] Movable property Equity and debt securities Rest of which: credit derivatives IFRS 7.36(b) Annex V.Part 2.173(a) Annex V.Part 2.173(a) Annex V.Part 2.173(b)(i) Annex V.Part 2.173(b)(ii) Annex V.Part 2.173(b)(iii) Annex V.Part 2.173(b)(iv) Annex V.Part 2.173(c) Annex V.Part 2.114(b) 0010 0020 0030 0031 0032 0041 0050 0055 0010 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0015 of which: non-performing CRR Art. 47a (3); Annex V. Part 2. 213-239, 260 CRR Art. 47a (3); Annex V. Part 2. 213-239, 260 0020 of which: Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0030 of which: Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0035 of which: Small and Medium-sized Enterprises (SMEs) SME Art 1 2(a) SME Art 1 2(a) 0036 of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239ix SME Art 1 2(a); Annex V.Part 2.239ix 0037 of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0040 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0050 of which: Lending for house purchase Annex V.Part 2.88(b) Annex V.Part 2.88(b) 0060 of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a)

13.2.1 Collateral obtained by taking possession during the period [held at the reference date] References National GAAP based on BAD References National GAAP compatible IFRS Collateral obtained by taking possession during the period [held at the reference date] (Annex V.Part 2.175) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28 0010 0020 0030 0040 0050 0010 Property, Plant and Equipment IAS 16.6 0020 Other than Property Plant and Equipment IFRS 7.38(a) 0030 Residential immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a) 0040 Commercial immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a) 0050 Movable property Annex V.Part 2.173(b)(ii) IFRS 7.38(a), Annex V.Part 2.173(b)(ii) 0060 Equity and debt securities Annex V.Part 2.173(b)(iii) IFRS 7.38(a), Annex V.Part 2.173(b)(iii) 0070 Other Annex V.Part 2.173(b)(iv) IFRS 7.38(a), Annex V.Part 2.173(b)(iv) 0080 Total

13.3.1 Collateral obtained by taking possession accumulated References National GAAP based on BAD References National GAAP compatible IFRS Collateral obtained by taking possession accumulated (Annex V.Part 2.176) Of which: Non current assets held for sale (IFRS 5.38, Annex V.Part 2.7) Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Annex V.Part 2.175i Annex V.Part 1.27-28 Annex V.Part 2.175ii Annex V.Part 2.175i Annex V.Part 1.27-28 0010 0020 0030 0040 0050 0010 Property, Plant and Equipment IAS 16.6 0020 Other than Property Plant and Equipment IFRS 7.38(a) 0030 Residential immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a) 0040 Commercial immovable property Annex V.Part 2.173(a) IFRS 7.38(a), Annex V.Part 2.173(a) 0050 Movable property Annex V.Part 2.173(b)(ii) IFRS 7.38(a), Annex V.Part 2.173(b)(ii) 0060 Equity and debt securities Annex V.Part 2.173(b)(iii) IFRS 7.38(a), Annex V.Part 2.173(b)(iii) 0070 Other Annex V.Part 2.173(b)(iv) IFRS 7.38(a), Annex V.Part 2.173(b)(iv) 0080 Total

14. Fair value hierachy: financial instruments at fair value References National GAAP based on BAD References National GAAP compatible IFRS Fair value hierarchy IFRS 13.93 (b) Change in fair value for the period Annex V.Part 2.178 Accumulated change in fair value before taxes Annex V.Part 2.179 Level 1 Level 2 Level 3 Level 2 Level 3 Level 1 Level 2 Level 3 IFRS 13.76 IFRS 13.81 IFRS 13.86 IFRS 13.81 IFRS 13.86, 93(f) IFRS 13.76 IFRS 13.81 IFRS 13.86 0010 0020 0030 0040 0050 0060 0070 0080 ASSETS 0010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 0020 Derivatives IFRS 9.Appendix A 0030 Equity instruments IAS 32.11, 0040 Debt securities Annex V.Part 1.31 0050 Loans and advances Annex V.Part 1.32 0051 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 0052 Derivatives CRR Annex II; Annex V.Part 1.17 0053 Equity instruments ECB/2013/33; Annex 2.Part 2.4-5 0054 Debt securities Annex V.Part 1.31 0055 Loans and advances Annex V.Part 1.32 0056 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4; IFRS 7.8(a)(ii) 0057 Equity instruments IAS 32.11 0058 Debt securities Annex V.Part 1.31 0059 Loans and advances Annex V.Part 1.32 0060 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8(a)(i); IFRS 9.4.1.5 0070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0080 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0090 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0101 Financial assets at fair value through other comprehensive income IFRS 7.8 (h); IFRS 9.4.1.2A 0102 Equity instruments IAS 32.11 0103 Debt securities Annex V.Part 1.31 0104 Loans and advances Annex V.Part 1.32 0121 Non-trading non-derivative financial assets measured at fair value through profit or loss Accounting Directive art 8(1)(a), (4) 0122 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0123 Debt securities Annex V.Part 1.31 0124 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0125 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (6),(8) 0126 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0127 Debt securities Annex V.Part 1.31 0128 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0140 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 LIABILITIES 0150 Financial liabilities held for trading Accounting Directive art 4art 8(1)(a), (6); IAS 39.9, AG 14-15 IFRS 7.8 (e) (ii); IFRS 9.BA.6 0160 Derivatives CRR Annex II IFRS 9.BA.7(a) 0170 Short positions IFRS 9.BA.7(b) 0180 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0190 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 0200 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 0201 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 0202 Derivatives CRR Annex II; Annex V.Part 1.25, 27 0203 Short positions 0204 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0205 Debt securities issued Annex V.Part 1.37 0206 Other financial liabilities Annex V.Part 1.38-41 0210 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e) (i); IFRS 9.4.1.5 0220 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0230 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0240 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0250 Derivatives – Hedge accounting Accounting Directive art art 8(1)(a), (6), (8)(1)(a); IAS 39.9; Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26

15. Derecognition and financial liabilities associated with transferred financial assets References National GAAP based on BAD References National GAAP compatible IFRS Transferred financial assets entirely recognized Transferred financial assets recognized to the extent of the instution's continuing involvement Principal amount outstanting of transferred financial assets entirely derecognised for which the intitution retains servicing rights Amounts derecognised for capital purposes Transferred assets Associated liabilities ITS V.Part 2.181 Principal amount outstanding of the original assets Carrying amount of assets still recognised [continuing involvement] Carrying amount of associated liabilites Carrying amount Of which: securitizations Of which: repurchase agreements Carrying amount Of which: securitizations Of which: repurchase agreements IFRS 7.42D.(e), Annex V.Part 1.27 IFRS 7.42D(e); CRR art 4(1)(61) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(e) IFRS 7.42D.(e) IFRS 7.42D(e); Annex V.Part 2.183-184 IFRS 7.42D(f) IFRS 7.42D(f); Annex V.Part 1.27, Part 2.181 CRR art 109; Annex V.Part 2.182 Annex V.Part 1.27-28 CRR art 4(61) Annex V.Part 2.183-184 CRR art 4(61) Annex V.Part 2.183-184 CRR art 109; Annex V.Part 2.182 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 Financial assets held for trading IFRS 7.8(a)(ii);IFRS 9.Appendix A 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0041 Trading financial assets Accounting Directive art 8(1)(a), (6); Annex V.Part 1.15 0042 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0043 Debt securities Annex V.Part 1.31 0044 Loans and advances Annex V.Part 1.32 0045 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 0046 Equity instruments IAS 32.11 0047 Debt securities Annex V.Part 1.31 0048 Loans and advances Annex V.Part 1.32 0050 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8(a)(i); IFRS 9.4.1.5 0060 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0070 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0080 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0091 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 0092 Equity instruments IAS 32.11 0093 Debt securities Annex V.Part 1.31 0094 Loans and advances Annex V.Part 1.32 0121 Non-trading non-derivative financial assets measured at fair value through profit or loss Accounting Directive art 8(1)(a), (4) 0122 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0123 Debt securities Annex V.Part 1.31 0124 Loans and advances Accounting Directive art 8(1)(a), (4)(b); part 1.14, part 3.35 0125 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), 8(2) 0126 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0127 Debt securities Annex V.Part 1.31 0128 Loans and advances Accounting Directive art 8(1)(a), (4)(b);part 1.14, part 3.35 0131 Financial assets at amortised cost Accounting Directive art 42a(4)(b),(5a); IAS 39.9 IFRS 7.8 (f); IFRS 9.4.1.2 0132 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 0133 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 0181 Non-trading non-derivative financial assets measured at a cost-based method BAD art 37.1; art 42a(4)(b); Annex V.Part 1.16 0200 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0182 Debt securities Annex V.Part 1.31 0183 Loans and advances Annex V.Part 1.32 0184 Other non-trading non-derivative financial assets BAD art 35-37 0185 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0186 Debt securities Annex V.Part 1.31 0187 Loans and advances Annex V.Part 1.32 0190 Total

16. Breakdown of selected statement of profit or loss items

16.

16.1 Interest income and expenses by instrument and counterparty sector References National GAAP based on BAD References National GAAP compatible IFRS Current period Income Expenses Annex V.Part 2.187, 189 Annex V.Part 2.188, 190 0010 0020 0010 Derivatives -Trading CRR Annex II; Annex V.Part 2.193 IFRS 9.Appendix A, .BA.1, .BA.6; Annex V.Part 2.193 0015 of which: interest income from derivatives in economic hedges Annex V.Part 2.193 Annex V.Part 2.193 0020 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0030 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0040 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0050 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0060 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0070 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0080 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0141 of which: lending for house purchase Annex V.Part 2.88(b), 194i Annex V.Part 2.88(b), 194i 0142 of which: credit for consumption Annex V.Part 2.88(a), 194i Annex V.Part 2.88(a), 194i 0150 Other assets Annex V.Part 2.5 Annex V.Part 2.5 0160 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0170 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0180 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0190 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0200 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0210 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0220 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0230 Debt securities issued Annex V.1.37 Annex V.Part 1.37 0240 Other financial liabilities Annex V.Part 1.32-34, Part 2.191 Annex V.Part 1.32-34, Part 2.191 0250 Derivatives - Hedge accounting, interest rate risk Annex V.Part 2.192 Annex V.Part 2.192 0260 Other Liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0270 INTEREST BAD art 27.Vertical layout(1), (2) IAS 1.97 0280 of which: interest-income on credit impaired financial assets IFRS 9.5.4.1; .B5.4.7; Annex V.Part 2.194 0290 of which: interest from leases Annex V.Part 2.194ii IFRS 16.38 (a), 49, Annex V.Part 2.194ii

16.2 Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V. Part 2.195-196 0010 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 Annex V.Part 1.28 0020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0030 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0070 GAINS OR (-) LOSSES ON DERECOGNITION OF FINANCIAL ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6); Annex V.Part 2.45 Annex V.Part 2.45

16.3 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V. Part 2.197-198 0010 0010 Derivatives IFRS 9.Appendix A, .BA.1, .BA.7(a) 0015 of which: Economic hedges with use of the fair value option IFRS 9.6.7.1; IFRS 7.9(d); Annex V.Part 2.199 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0050 Short positions IFRS 9.BA.7(b) 0060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0070 Debt securities issued Annex V.Part 1.37 0080 Other financial liabilities Annex V.Part 1.38-41 0090 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET IFRS 9.Appendix A, .BA.6;IFRS 7.20(a)(i) 0095 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.5.6.2; annex V.Part 2.199 0100 Derivatives CRR Annex II 0110 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0120 Debt securities Annex V.Part 1.31 0130 Loans and advances Annex V.Part 1.32 0140 Short positions 0150 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0160 Debt securities issued Annex V.Part 1.37 0170 Other financial liabilities Annex V.Part 1.38-41 0180 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6); Annex V.Part 1.17

16.4 Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk References National GAAP based on BAD References National GAAP compatible IFRS Current period 0010 0010 Interest rate instruments and related derivatives Annex V.Part 2.200(a) 0020 Equity instruments and related derivatives Annex V.Part 2.200(b) 0030 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 0040 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 0050 Derivatives related with commodities Annex V.Part 2.200(e) 0060 Other Annex V.Part 2.200(f) 0070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES HELD FOR TRADING, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 0080 Interest rate instruments and related derivatives Annex V.Part 2.200(a) 0090 Equity instruments and related derivatives Annex V.Part 2.200(b) 0100 Foreign exchange trading and derivatives related with foreign exchange and gold Annex V.Part 2.200(c) 0110 Credit risk instruments and related derivatives Annex V.Part 2.200(d) 0120 Derivatives related with commodities Annex V.Part 2.200(e) 0130 Other Annex V.Part 2.200(f) 0140 GAINS OR (-) LOSSES ON TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)

16.4.1 Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V.Part 2.201 0010 0020 Equity instruments IAS 32.11 0030 Debt securities Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 0090 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT AND LOSS, NET IFRS 7.20(a)(i) 0100 of which: gains and losses due to the reclassification of assets at amortised cost IFRS 9.6.5.2; Annex V.Part 2.202

16.5 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by instrument References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk Annex V.Part 2.203 Annex V.Part 2.203 0010 0020 0010 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0020 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0030 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0070 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS, NET BAD art 27.Vertical layout(6) IFRS 7.20(a)(i) 0071 of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7;IFRS 7.24G(b); Annex V.Part 2.204 0072 of which: gains or (-) losses after designation on financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net IFRS 9.6.7; IFRS 7.20(a)(i); Annex V.Part 2.204 0080 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0090 Debt securities Annex V.Part 1.31 0100 Loans and advances Annex V.Part 1.32 0110 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0120 Debt securities issued Annex V.Part 1.37 0130 Other financial liabilities Annex V.Part 1.38-41 0140 GAINS OR (-) LOSSES ON NON-TRADING FINANCIAL ASSETS AND LIABILITIES, NET BAD art 27.Vertical layout(6)

16.6 Gains or losses from hedge accounting References National GAAP based on BAD Annex V.Part 2.207 References National GAAP compatible IFRS Current period Annex V.Part 2.205 0010 0010 Fair value changes of the hedging instrument [including discontinuation] Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 7.24A(c);IFRS 7.24C(b)(vi) 0020 Fair value changes of the hedged item attributable to the hedged risk Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 9.6.3.7; .6.5.8; .B6.4.1; IFRS 7.24B(a)(iv); IFRS 7.24C(b)(vi); Annex V.Part 2.206 0030 Ineffectiveness in profit or loss from cash flow hedges Accounting Directive art 8(1)(a), (6), (8)(a) IFRS 7.24C(b)ii; IFRS 7.24C(b)(vi) 0040 Ineffectiveness in profit or loss from hedges of net investments in foreign operations Accounting Directive art 8(1)(a) IFRS 7.24C(b)(ii); IFRS 7.24C(b)(vi) 0050 GAINS OR (-) LOSSES FROM HEDGE ACCOUNTING, NET Accounting Directive art 8(1)(a), (6), (8)(a)

16.7 Impairment on non-financial assets References National GAAP based on BAD References National GAAP compatible IFRS Current period Additions Reversals Accumulated impairment Annex V.Part 2.208 Annex V.Part 2.208 0010 0020 0040 0060 Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 0070 Subsidiaries IFRS 10 Appendix A 0080 Joint ventures IAS 28.3 0090 Associates IAS 28.3 0100 Impairment or (-) reversal of impairment on non-financial assets IAS 36.126(a),(b) 0110 Property, plant and equipment BAD art 27.Vertical layout(9) IAS 16.73(e)(v-vi) 0120 Investment properties BAD art 27.Vertical layout(9) IAS 40.79(d)(v) 0130 Goodwill BAD art 27.Vertical layout(9) IAS 36.10b; IAS 36.88-99, 124; IFRS 3 Appendix B67(d)(v) 0140 Other intangible assets BAD art 27.Vertical layout(9) IAS 38.118(e)(iv)(v) 0145 Other IAS 36.126(a),(b) 0150 TOTAL

16.8 Other administrative expenses References National GAAP based on BAD References National GAAP compatible IFRS Current period Expenses 0010 0010 Information Technology expenses Annex V.Part 2.208i Annex V.Part 2.208i 0020 IT outsourcing Annex V.Part 2.208i-208ii Annex V.Part 2.208i-208ii 0030 IT expenses other than IT outsourcing expenses Annex V.Part 2.208i Annex V.Part 2.208i 0040 Taxes and duties (other) Annex V.Part 2.208iii Annex V.Part 2.208iii 0050 Consulting and professional services Annex V.Part 2.208iv Annex V.Part 2.208iv 0060 Advertising, marketing and communication Annex V.Part 2.208v Annex V.Part 2.208v 0070 Expenses related to credit risk Annex V.Part 2.208vi Annex V.Part 2.208vi 0080 Litigation expenses not covered by provisions Annex V.Part 2.208vii Annex V.Part 2.208vii 0090 Real estate expenses Annex V.Part 2.208viii Annex V.Part 2.208viii 0100 Leasing expenses Annex V.Part 2.208ix Annex V.Part 2.208ix 0110 Other admininstrative expenses - Rest Annex V.Part 2.208x Annex V.Part 2.208x 0120 OTHER ADMINISTRATIVE EXPENSES

17. Reconciliation between Accounting and CRR scope of consolidation: Balance Sheet

17.

17.1 Assets References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27-28, Part 2.209 0010 0010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 0020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 0030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 0040 Other demand deposits Annex V.Part 2.3 Annex V.Part 2.3 0050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 7.8(a)(ii);IFRS 9.Appendix A 0060 Derivatives CRR Annex II IFRS 9.Appendix A 0070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 0090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 0091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 0092 Derivatives CRR Annex II; Annex V.Part 1.17 0093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0094 Debt securities Annex V.Part 1.31 0095 Loans and advances Annex V.Part 1.32 0096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.4.1.4 0097 Equity instruments IAS 32.11 0098 Debt securities Annex V.Part 1.31 0099 Loans and advances Annex V.Part 1.32 0100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 0110 Equity instruments IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 0120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 0142 Equity instruments IAS 32.11 0143 Debt securities Annex V.Part 1.31 0144 Loans and advances Annex V.Part 1.32 0171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 0172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0173 Debt securities Annex V.Part 1.31 0174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 0176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0177 Debt securities Annex V.Part 1.31 0178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 0182 Debt securities Annex V.Part 1.31 0183 Loans and advances Annex V.Part 1.32 0231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 0380 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0232 Debt securities Annex V.Part 1.31 0233 Loans and advances Annex V.Part 1.32 0234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 0235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0236 Debt securities Annex V.Part 1.31 0237 Loans and advances Annex V.Part 1.32 0240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 0260 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4, 210 IAS 1.54(e); Annex V.Part 1.21, Part 2.4, 210 0270 Assets under reinsurance and insurance contracts Annex V.Part 2.211 IFRS 4.IG20.(b)-(c); Annex V.Part 2.211 0280 Tangible assets BAD art 4.Assets(10) 0290 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115) 0300 Goodwill BAD art 4.Assets(9); CRR art 4(1)(113) IFRS 3.B67(d); CRR art 4(1)(113) 0310 Other intangible assets BAD art 4.Assets(9) IAS 38.8,118 0320 Tax assets IAS 1.54(n-o) 0330 Current tax assets IAS 1.54(n); IAS 12.5 0340 Deferred tax assets Accounting Directive art 17(1)(f); CRR art 4(1)(106) IAS 1.54(o); IAS 12.5; CRR art 4(1)(106) 0350 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5 0360 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.6 0365 (-) Haircuts for trading assets valued at fair value Annex V Part 1.29 0370 TOTAL ASSETS BAD art 4 Assets IAS 1.9(a), IG 6

17.2 Off-balance sheet exposures: Loan commitments, financial guarantees and other commitments given References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Nominal amount] Annex V.Part 2.118, 209 0010 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0020 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0040 OFF-BALANCE SHEET EXPOSURES

17.3(-)(-) Liabilities and equity References National GAAP based on BAD References National GAAP compatible IFRS Accounting scope of consolidation [Carrying amount] Annex V.Part 1.27-28, Part 2.209 0010 0010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 0020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 0030 Short positions IFRS 9.BA7(b) 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 0061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 0062 Derivatives CRR Annex II; Annex V.Part 1.25, 27 0063 Short positions 0064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0065 Debt securities issued Annex V.Part 1.37 0066 Other financial liabilities Annex V.Part 1.38-41 0070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 0120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 0140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 0141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 0142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0143 Debt securities issued Annex V.Part 1.37 0144 Other financial liabilities Annex V.Part 1.38-41 0150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 0160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 0170 Liabilities under insurance and reinsurance contracts Annex V.Part 2.212 IFRS 4.IG20(a); Annex V.Part 2.212 0180 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 0190 Tax liabilities IAS 1.54(n-o) 0200 Current tax liabilities IAS 1.54(n); IAS 12.5 0210 Deferred tax liabilities Accounting Directive art 17(1)(f); CRR art 4(1)(108) IAS 1.54(o); IAS 12.5; CRR art 4(1)(108) 0220 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 0230 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 0240 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 0245 Haircuts for trading liabilities valued at fair value Annex V Part 1.29 0250 LIABILITIES IAS 1.9(b);IG 6 0260 Capital BAD art 4.Liabilities(9), BAD art 22 IAS 1.54(r), BAD art 22 0270 Share premium BAD art 4.Liabilities(10); CRR art 4(124) IAS 1.78(e); CRR art 4(1)(124) 0280 Equity instruments issued other than capital Annex V.Part 2.18-19 Annex V.Part 2.18-19 0290 Other equity Annex V.Part 2.20 IFRS 2.10; Annex V.Part 2.20 0300 Accumulated other comprehensive income CRR art 4(1)(100) CRR art 4(1)(100) 0310 Retained earnings CRR art 4(1)(123) CRR art 4(1)(123) 0320 Revaluation reserves BAD art 4.Liabilities(12) IFRS 1.33, D5-D8 0325 Fair value reserves Accounting Directive art 8(1)(a) 0330 Other reserves BAD art 4.Liabilities (11)-(13) IAS 1.54; IAS 1.78 (e) 0335 First consolidation differences Accounting Directive art 24(3)(c) 0340 Treasury shares Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.20 IAS 1.79(a)(vi); IAS 32.33-34, AG 14, AG 36; Annex V.Part 2.28 0350 Profit or loss attributable to owners of the parent BAD art 4.Liabilities(14) IFRS 10.B94 0360 Interim dividends CRR Article 26 (2) IAS 32.35 0370 Minority interests [Non-controlling interests] Accounting Directive art 24(4) IAS 1.54(q); IFRS 10.22, .B94 0380 TOTAL EQUITY IAS 1.9(c), IG 6 0390 TOTAL EQUITY AND TOTAL LIABILITIES BAD art 4.Liabilities IAS 1.IG6

18 Information on performing and non-performing exposures

18

18.0 Information on performing and non-performing exposures Gross carrying amount / Nominal amount Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing Non-performing Performing exposures - Accumulated impairment and provisions Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Not past due or Past due <= 30 days Past due > 30 days <= 90 days Of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: purchased or originated credit-impaired financial assets Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year <= 2 years Past due > 2 year <= 5 years Past due > 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: defaulted of which: Credit-impaired instruments (Stage 3) of which: purchased or originated credit-impaired financial assets of which: impaired of which: Past due > 30 days <= 90 days of which: Instruments without significant increase in credit risk since initial recognition (Stage 1) of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) of which: purchased or originated credit-impaired financial assets Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year < = 2 year Past due > 2 year < = 5 year Past due > 5 year <= 7 years Past due > 7 years Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) Of which: Credit-impaired instruments (Stage 3) of which: purchased or originated credit-impaired financial assets Collateral received on performing exposues Collateral received on non-performing exposues Financial guarantees received on performing exposures Financial guarantees received on non-performing exposures 0010 0020 0030 0055 0056 0057 0058 0060 0070 0080 0090 0101 0102 0106 0107 0109 0110 0121 0900 0122 0130 0140 0910 0141 0142 0143 0150 0160 0170 0180 0191 0192 0196 0197 0950 0951 0952 0201 0200 0205 0210 References National GAAP compatible IFRS Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) CRR Art. 47a (3); Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) CRR art 178; Annex V.Part 2.237(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 222, 235, 237(f) IFRS 9.5.5.5; IFRS 7.35M(a); Annex V. Part 2. 237(d) IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 IFRS 9.5.5.3; IFRS 7.35M(b)(i); Annex V. Part 2. 237(c) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.237(a) IFRS 9.5.5.13; IFRS 7.35M(c); Annex V.Part 2.215, 237(e) Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 References National GAAP based on BAD Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 CRR Art. 47a (3); Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) CRR art 4(95); Annex V.Part 2.237(a) Annex V. Part 2. 238 Annex V. Part 2. 238 Annex V. Part 2. 222, 235 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 0005 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 Annex V.Part 2.2, 3 0010 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0150 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b) 0180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.233(a) Annex V.Part 2.233(a) 0181 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0182 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0183 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0184 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0185 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0186 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0191 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0192 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0193 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0194 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0195 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0196 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0197 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b) 0201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.233(b) Annex V.Part 2.233(b) 0211 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0212 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0213 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0214 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0215 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0216 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0221 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0222 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0223 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0224 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0225 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0226 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0227 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b) 0231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.233(c), 234 Annex V.Part 2.233(c), 234 0330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 Annex V.Part 2.217 0335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.220 0340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0350 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0360 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0370 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0380 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0390 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0400 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0410 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0420 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0430 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0440 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0450 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0460 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0470 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0480 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116 0490 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0500 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0510 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0520 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0530 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0540 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0550 OFF-BALANCE SHEET EXPOSURES Annex V.Part 2.217 Annex V.Part 2.217

18.1 Inflows and outflows of non-performing exposures - loans and advances by counterparty sector References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount of loans and advances Inflows to non-performing exposures (-) Outflows from non-performing exposures 0010 0020 Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi Annex V. Part 2.213-216, 224-234, 239i-239iii, 239vi Annex V. Part 2.213-216, 224-234, 239i, 239iv- 239vi 0010 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0020 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0030 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0040 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0050 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0060 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0070 Of which: Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix SME Art 1 2(a); Annex V.Part 2.239vii (a), 239ix 0080 Of which: Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vii (a), 239ix Annex V.Part 2.239vii (a), 239ix 0090 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vii (b) Annex V.Part 2.86(a), 87, 239vii (b) 0100 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0110 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vii (b) Annex V.Part 2.86(a), 87, 239vii (b) 0120 Of which: Credit for consumption Annex V.Part 2.88(a), 239vii (c) Annex V.Part 2.88(a), 239vii (c) 0130 LOANS AND ADVANCES OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.217 Annex V.Part 2.217 0140 LOANS AND ADVANCES HELD FOR SALE Annex V.Part 2.220 0150 TOTAL INFLOWS / OUTFLOWS

18.2 Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 of which: exposures with forbearance measures Performing Non-performing Of which: Exposures with forbearance measures Performing exposures - Accumulated impairments Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Not past due or Past due <= 30 days Past due > 30 days <= 90 days of which: performing exposures with forbearance measures Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year <= 2 years Past due > 2 year <= 5 years Past due > 5 year <= 7 years Past due > 7 years Of which: defaulted Of which: Non-performing exposures with forbearance measures Of which: Performing exposures with forbearance measures Unlikely to pay that are not past-due or past-due < = 90 days Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 year < = 2 year Past due > 2 year < = 5 year Past due > 5 year <= 7 years Past due > 7 years Of which: Non-performing exposures with forbearance measures Collateral received on performing exposues Collateral received on non-performing exposues Financial guarantees received on performing exposures Financial guarantees received on non-performing exposures of which: Performing forborne exposures under probation reclassified from non-performing 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 256, 259-262 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) Annex V. Part 2. 259-263 Annex V. Part 2. 238 Annex V. Part 2. 267 Annex V. Part 2. 238 Annex V. Part 2. 207 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 207 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 1.34, Part 2.118, 221 Annex V. Part 1.34, Part 2. 118, 240-245, 251-255 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 222, 235 Annex V. Part 2. 256, 259-262 Annex V. Part 2. 256(b), 261 Annex V. Part 2. 213-216, 223-239 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 Annex V. Part 2. 222, 235-236 CRR art 178; Annex V.Part 2.237(b) Annex V. Part 2. 259-263 Annex V. Part 2. 238 Annex V. Part 2. 267 Annex V. Part 2. 238 Annex V. Part 2. 207 Annex V. Part 2. 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 236, 238 Annex V. Part 2. 207 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 Annex V. Part 2. 239 0010 Non-finan-cial corpo-rations Commercial real estate (CRE) loans to small and medium-sized enterprises SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii SME Art 1 2(a); Annex V.Part 2.239vi (a), 239vii 0020 Commercial real estate (CRE) loans to non-financial corporations other than SMEs Annex V.Part 2.239vi (a), 239vii Annex V.Part 2.239vi (a), 239vii 0030 Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 239vi (b) Annex V.Part 2.86(a), 87, 239vi (b) 0040 Of which: Loans with LTV ratio higher than 60% and less than or equal to 80% Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0050 Of which: Loans with LTV ratio higher than 80% and less than or equal to 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0060 Of which: Loans with LTV ratio higher than 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0070 House-holds Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 239vi (b) Annex V.Part 2.86(a), 87, 239vi (b) 0080 Of which: Loans with LTV ratio higher than 60% and less than or equal to 80% Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0090 Of which: Loans with LTV ratio higher than 80% and less than or equal to 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii 0100 Of which: Loans with LTV ratio higher than 100% Annex V.Part 2.86(a), 87, 239vi (b), 239viii Annex V.Part 2.86(a), 87, 239vi (b), 239viii

19. Information forborne exposures Gross carrying amount / nominal amount of exposures with forbearance measures Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Maximum amount of the collateral or guarantee that can be considered Annex V. Part 2.119 Performing exposures with forbearance measures Non-performing exposures with forbearance measures Perfoming exposures with forbearance measures - Accumulated impairment and provisions Non-performing exposures with forbearance measures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received Instruments with modifications in their terms and conditions Refinancing of which: Performing forborne exposures under probation reclassified from non-performing Instruments with modifications in their terms and conditions Refinancing of which: Defaulted of which: Impaired of which: Forbearance of exposures non-performing prior to forbearance Instruments with modifications in their terms and conditions Refinancing Collateral received on exposures with forbearance measures Financial guarantees received on exposures with forbearance measures Of which: Collateral received on non-performing exposures with forbearance measures Of which: Financial guarantees received on non-performing exposures with forbearance measures 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0175 0180 0185 References National GAAP compatible IFRS CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-258 Annex V. Part 2. 256, 259-261 CRR Art. 47b (1); Annex V. Part 2.240, 266 CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266 CRR Art. 47a (7); Annex V. Part 2. 256, 261 Annex V. Part 2. 259-263 CRR Art. 47b (1); Annex V. Part 2.240, 266 CRR Art. 47b (1); Annex V. Part 2. 240, 244, 265-266 CRR art 178; Annex V. Part 2.264(b) IFRS 9.5.5.1; IFRS 9.Appendix A; Annex V.Part 2.264(a) CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 CRR Art. 47b (1); Annex V. Part 2. 240, 267 CRR Art. 47b (1); Annex V. Part 2. 240, 244, 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 References National GAAP based on BAD CRR Art. 47b (1), (2); Annex V. Part 1.34, Part 2. 118, 240-245, 251-255 Annex V. Part 2. 256, 259-261 CRR Art. 47b (1); Annex V. Part 2.240, 266 CRR Art. 47b (1); Annex V. Part 2. 240, 265-266 CRR Art. 47a (7); Annex V. Part 2. 256, 261 Annex V. Part 2. 259-263 CRR Art. 47b (1); Annex V. Part 2.240, 266 CRR Art. 47b (1); Annex V. Part 2. 240, 265-266 CRR art 178; Annex V. Part 2.264(b) CRR art 4(95); Annex V.Part 2.264(a) CRR Art. 47b (2), lett. c; Annex V. Part 2. 231, 263 Annex V. Part 2. 267 Annex V. Part 2. 207 Annex V. Part 2. 207 CRR Art. 47b (1); Annex V. Part 2. 240, 267 CRR Art. 47b (1); Annex V. Part 2. 240, 267 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 Annex V. Part 2. 268 0005 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3 Annex V.Part 2.2, 3 0010 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0020 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0030 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0040 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0050 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0060 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0130 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0140 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0150 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0160 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0170 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b) 0180 DEBT INSTRUMENTS AT COST OR AT AMORTISED COST Annex V.Part 2.249(a) Annex V.Part 2.249(a) 0181 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0182 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0183 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0184 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0185 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0186 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0191 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0192 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0193 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0194 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0195 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0196 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0900 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0903 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0197 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0910 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0913 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b) 0201 DEBT INSTRUMENTS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME OR THROUGH EQUITY SUBJECT TO IMPAIRMENT Annex V.Part 2.249(b) Annex V.Part 2.249(b) 0211 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0212 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0213 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0214 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0215 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0216 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0221 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0222 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0223 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0224 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0225 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0226 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0920 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0923 Of which: Loans collateralised by commercial immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0227 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0930 Of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0933 Of which: Credit for consumption Annex V.Part 2.88(a), 234i (b) Annex V.Part 2.88(a), 234i (b) 0231 DEBT INSTRUMENTS AT STRICT LOCOM, OR FAIR VALUE THROUGH PROFIT OR LOSS OR THROUGH EQUITY NOT SUBJECT TO IMPAIRMENT Annex V.Part 2.249 Annex V.Part 2.249 0330 DEBT INSTRUMENTS OTHER THAN HELD FOR TRADING OR TRADING Annex V.Part 2.246 Annex V.Part 2.246 0335 DEBT INSTRUMENTS HELD FOR SALE Annex V.Part 2.247 0340 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113, 246 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116, 246

20. Geographical breakdown

20.

20.1(-) Geographical breakdown of assets by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 0010 0020 0010 Cash, cash balances at central banks and other demand deposits BAD art 4.Assets(1) IAS 1.54 (i) 0020 Cash on hand Annex V.Part 2.1 Annex V.Part 2.1 0030 Cash balances at central banks BAD art 13(2); Annex V.Part 2.2 Annex V.Part 2.2 0040 Other demand deposits Annex V.Part 2.3 Annex V.Part 2.3 0050 Financial assets held for trading Accounting Directive art 8(1)(a), (5); IAS 39.9 IFRS 9. Appendix A 0060 Derivatives CRR Annex II IFRS 9. Appendix A 0070 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0080 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 0090 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 0091 Trading financial assets BAD Article 32-33; Annex V.Part 1.17 0092 Derivatives CRR Annex II; Annex V.Part 1.17, 27 0093 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0094 Debt securities Annex V.Part 1.31 0095 Loans and advances Annex V.Part 1.32 0096 Non-trading financial assets mandatorily at fair value through profit or loss IFRS 7.8(a)(ii); IFRS 9.4.1.4 0097 Equity instruments IAS 32.11 0098 Debt securities Annex V.Part 1.31 0099 Loans and advances Annex V.Part 1.32 0100 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 0110 Equity instruments IAS 32.11;ECB/2013/33 Annex 2.Part 2.4-5 0120 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0130 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0141 Financial assets at fair value through other comprehensive income IFRS 7.8(h); IFRS 9.4.1.2A 0142 Equity instruments IAS 32.11 0143 Debt securities Annex V.Part 1.31 0144 Loans and advances Annex V.Part 1.32 0171 Non-trading non-derivative financial assets measured at fair value through profit or loss BAD art 36(2) 0172 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0173 Debt securities Annex V.Part 1.31 0174 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0175 Non-trading non-derivative financial assets measured at fair value to equity Accounting Directive art 8(1)(a), (8) 0176 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0177 Debt securities Annex V.Part 1.31 0178 Loans and advances Accounting Directive art 8(1)(a), (4)(b); Annex V.Part 1.32 0181 Financial assets at amortised cost IFRS 7.8(f); IFRS 9.4.1.2 0182 Debt securities Annex V.Part 1.31 0183 Loans and advances Annex V.Part 1.32 0231 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 0330 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0232 Debt securities Annex V.Part 1.31 0233 Loans and advances Annex V.Part 1.32 0234 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 0235 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0236 Debt securities Annex V.Part 1.31 0237 Loans and advances Annex V.Part 1.32 0240 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8); IAS 39.9; Annex V.Part 1.22 IFRS 9.6.2.1; Annex V.Part 1.22 0250 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); IAS 39.89A (a) IAS 39.89A(a); IFRS 9.6.5.8 0260 Tangible assets BAD art 4.Assets(10) 0270 Intangible assets BAD art 4.Assets(9); CRR art 4(1)(115) IAS 1.54(c); CRR art 4(1)(115) 0280 Investments in subsidaries, joint ventures and associates BAD art 4.Assets(7)-(8); Accounting Directive art 2(2); Annex V.Part 1.21, Part 2.4 IAS 1.54(e); Annex V.Part 1.21, Part 2.4 0290 Tax assets IAS 1.54(n-o) 0300 Other assets Annex V.Part 2.5, 6 Annex V.Part 2.5 0310 Non-current assets and disposal groups classified as held for sale IAS 1.54(j); IFRS 5.38, Annex V.Part 2.7 0315 Haircuts for trading assets valued at fair value Annex V Part 1.29 0320 ASSETS BAD art 4 Assets IAS 1.9(a), IG 6

20.2 Geographical breakdown of liabilities by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 0010 0020 0010 Financial liabilities held for trading IFRS 7.8 (e) (ii); IFRS 9.BA.6 0020 Derivatives IFRS 9.Appendix A; IFRS 9.4.2.1(a); IFRS 9.BA.7(a) 0030 Short positions IFRS 9.BA7(b) 0040 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0050 Debt securities issued Annex V.Part 1.37 0060 Other financial liabilities Annex V.Part 1.38-41 0061 Trading financial liabilities Accounting Directive art 8(1)(a),(3),(6) 0062 Derivatives CRR Annex II; Annex V.Part 1.25 0063 Short positions 0064 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0065 Debt securities issued Annex V.Part 1.37 0066 Other financial liabilities Annex V.Part 1.38-41 0070 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0090 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0100 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41 0110 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 0120 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0130 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 0140 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 0141 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 0142 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0143 Debt securities issued Annex V.Part 1.37 0144 Other financial liabilities Annex V.Part 1.38-41 0150 Derivatives – Hedge accounting Accounting Directive art 8(1)(a), (6), (8)(a); Annex V.Part 1.26 IFRS 9.6.2.1; Annex V.Part 1.26 0160 Fair value changes of the hedged items in portfolio hedge of interest rate risk Accounting Directive art 8(5), (6); Annex V.Part 2.8; IAS 39.89A(b) IAS 39.89A(b), IFRS 9.6.5.8 0170 Provisions BAD art 4.Liabilities(6) IAS 37.10; IAS 1.54(l) 0180 Tax liabilities IAS 1.54(n-o) 0190 Share capital repayable on demand IAS 32 IE 33; IFRIC 2; Annex V.Part 2.12 0200 Other liabilities Annex V.Part 2.13 Annex V.Part 2.13 0210 Liabilities included in disposal groups classified as held for sale IAS 1.54 (p); IFRS 5.38, Annex V.Part 2.14 0215 Haircuts for trading liabilities valued at fair value Annex V Part 1.29 0220 LIABILITIES IAS 1.9(b);IG 6

20.3 Geographical breakdown of statement of profit or loss items by location of the activities References National GAAP based on BAD References National GAAP compatible IFRS Current period Domestic activitivies Non-domestic activities Annex V.Part 2.270 Annex V.Part 2.270 0010 0020 0010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 0020 (Interest expenses) BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 1.97; Annex V.Part 2.31 0030 (Expenses on share capital repayable on demand) IFRIC 2.11 0040 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 Annex V.Part 2.40 0050 Fee and commission income BAD art 27.Vertical layout(4) IFRS 7.20(c) 0060 (Fee and commission expenses) BAD art 27.Vertical layout(5) IFRS 7.20(c) 0070 Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net BAD art 27.Vertical layout(6) Annex V.Part 2.45 0080 Gains or (-) losses on financial assets and liabilities held for trading, net BAD art 27.Vertical layout(6) IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.43, 46 0083 Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss IFRS 9.5.7.1 0085 Gains or (-) losses on trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 0090 Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net IFRS 7.20(a)(i); IFRS 9.5.7.1; Annex V.Part 2.44 0095 Gains or (-) losses on non-trading financial assets and liabilities, net BAD art 27.Vertical layout(6) 0100 Gains or (-) losses from hedge accounting, net Accounting Directive art 8(1)(a), (6), (8) Annex V.Part 2.47-48 0110 Exchange differences [gain or (-) loss], net BAD art 39 IAS 21.28, 52 (a) 0120 Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net BAD art 27.Vertical layout(13)-(14); Annex V Part 2.56 Annex V Part 2.56 0130 Gains or (-) losses on derecognition of non financial assets, net IAS 1.34 0140 Other operating income BAD art 27.Vertical layout(7); Annex V.Part 2.314-316 Annex V.Part 2.314-316 0150 (Other operating expenses) BAD art 27.Vertical layout(10); Annex V.Part 2.314-316 Annex V.Part 2.314-316 0155 TOTAL OPERATING INCOME, NET 0160 (Administrative expenses) BAD art 27.Vertical layout(8) 0165 (Cash contributions to resolution funds and deposit guarantee schemes) Annex V.Part 2.48i Annex V.Part 2.48i 0170 (Depreciation) IAS 1.102, 104 0171 Modification gains or (-) losses, net IFRS 9.5.4.3, IFRS 9 Appendix A; Annex V Part 2.49 0175 (Increases or (-) decreases of the fund for general banking risks, net) BAD art 38.2 0180 (Provisions or (-) reversal of provisions) IAS 37.59, 84; IAS 1.98(b)(f)(g) 0190 (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) BAD art 35-37, Annex V.Part 2.52, 53 IFRS 7.20(a)(viii); Annex V Part 2.51, 53 0200 (Impairment or (-) reversal of impairment of investments in subsidaries, joint ventures and associates) BAD art 27.Vertical layout(13)-(14) IAS 28.40-43 0210 (Impairment or (-) reversal of impairment on non-financial assets) IAS 36.126(a)(b) 0220 Negative goodwill recognised in profit or loss Accounting Directive art 24(3)(f) IFRS 3.Appendix B64(n)(i) 0230 Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates BAD art 27.Vertical layout(13)-(14) Annex V.Part 2.54 0240 Profit or (-) loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations IFRS 5.37; Annex V.Part 2.55 0250 PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS IAS 1.102, IG 6; IFRS 5.33 A 0260 (Tax expense or (-) income related to profit or loss from continuing operations) BAD art 27.Vertical layout(15) IAS 1.82(d); IAS 12.77 0270 PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS BAD art 27.Vertical layout(16) IAS 1, IG 6 0275 Extraordinary profit or (-) loss after tax BAD art 27.Vertical layout(21) 0280 Profit or (-) loss after tax from discontinued operations IAS 1.82(ea) ; IFRS 5.33(a), 5.33 A; Annex V Part 2.56 0290 PROFIT OR (-) LOSS FOR THE YEAR BAD art 27.Vertical layout(23) IAS 1.81A(a)

20.4 Country of residence of the counterparty:

Geographical breakdown of assets by residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures Of which: held for trading or trading of which: financial assets subject to impairment, including cash balances at central banks and other demand deposits Of which: forborne Of which: non-perfoming of which: defaulted Annex V.Part 1.34, Part 2.271, 275 Annex V.Part 1.15(a), 16(a), 17, Part 2.273 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.274 Annex V.Part 2.274 0010 0011 0012 0022 0025 0026 0031 0040 0010 Derivatives CRR Annex II; Annex V.Part 2.272 IFRS 9 Appendix A, Annex V.Part 2.272 0020 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0030 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0040 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5; Annex V Part 1.44(b) IAS 32.11 0050 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0060 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0070 Of which: non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0075 Cash balances at central banks and other demand deposits BAD art 13(2); Annex V.Part 2.2, 3, 273 Annex V.Part 2.2, 3 0080 Debt securities Annex V.Part 1.31, 44(b) Annex V.Part 1.31, 44(b) 0090 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0100 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0110 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0120 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0130 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 Loans and advances Annex V.Part 1.32, 44(a) Annex V.Part 1.32, 44(a) 0150 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0160 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0170 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0180 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0190 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0200 Of which: Small and Medium-sized Enterprises SME Art 1 2(a) SME Art 1 2(a) 0210 Of which: Loans collateralized by commercial immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0220 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0230 Of which: Loans collateralized by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0240 Of which: Credit for consumption Annex V.Part 2.88(a) Annex V.Part 2.88(a)

20.5 Country of residence of the counterparty:

Geographical breakdown of off-balance sheet exposures by residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Nominal amount Provisions for commitments and guarantees given Of which: forborne Of which: non-perfoming of which: defaulted Annex V.Part 2.118, 271 Annex V.Part 2.240-258 Annex V.Part 2.275 CRR art 178; Annex V.Part 2.237(b) Annex V.Part 2.276 0010 0022 0025 0026 0030 0010 Loan commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 113 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 113, 116 0020 Financial guarantees given CRR Annex I; Annex V.Part 1.44(f), Part 2.112, 114 IFRS 4 Annex A; CRR Annex I; Annex V.Part 1.44(f), Part 2.102-105, 114, 116 0030 Other Commitments given CRR Annex I; Annex V.Part 1.44(g), Part 2.112, 115 CRR Annex I; Annex V.Part 1.44(g), Part 2.102-105, 115, 116

20.6 Country of residence of the counterparty:

Geographical breakdown of liabilities by residence of the counterparty References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28, 2.271 0010 0010 Derivatives CRR Annex II; Annex V.Part 1.24(a), 25, 26, 44(e), Part 2.272 IFRS 9 Appendix A, Annex V.Part 1.44(e), Part 2.272 0020 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0030 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0040 Short positions Annex V.Part 1.44(d) IFRS 9.BA7(b); Annex V.Part 1.44(d) 0050 Of which: credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0060 Of which: other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0080 Central banks Annex V.Part 1.42(a) Annex V.Part 1.42(a) 0090 General governments Annex V.Part 1.42(b) Annex V.Part 1.42(b) 0100 Credit institutions Annex V.Part 1.42(c) Annex V.Part 1.42(c) 0110 Other financial corporations Annex V.Part 1.42(d) Annex V.Part 1.42(d) 0120 Non-financial corporations Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0130 Households Annex V.Part 1.42(f) Annex V.Part 1.42(f)

20.7.1 Country of residence of the counterparty:

Geographical breakdown by residence of the counterparty of loans and advances other than held for trading to non-financial corporations by NACE codes References Non-financial corporations Annex V. Part 2.271, 277 Gross carrying amount Accumulated impairment Accumulated negative changes in fair value due to credit risk on non-performing exposures of which: loans and advances subject to impairment Of which: non-performing Annex V.Part 1.34, Part 2.275 Annex V.Part 2.273 Annex V.Part 2.275 Annex V.Part 2.274 Annex V.Part 2.274 0010 0011 0012 0021 0022 0010 A Agriculture, forestry and fishing NACE Regulation 0020 B Mining and quarrying NACE Regulation 0030 C Manufacturing NACE Regulation 0040 D Electricity, gas, steam and air conditioning supply NACE Regulation 0050 E Water supply NACE Regulation 0060 F Construction NACE Regulation 0070 G Wholesale and retail trade NACE Regulation 0080 H Transport ans storage NACE Regulation 0090 I Accommodation and food service activities NACE Regulation 0100 J Information and communication NACE Regulation 0105 K Financial and insurance activities NACE Regulation 0110 L Real estate activities NACE Regulation 0120 M Professional, scientific and technical activities NACE Regulation 0130 N Administrative and support service activities NACE Regulation 0140 O Public administration and defence, compulsory social security NACE Regulation 0150 P Education NACE Regulation 0160 Q Human health services and social work activities NACE Regulation 0170 R Arts, entertainment and recreation NACE Regulation 0180 S Other services NACE Regulation 0190 LOANS AND ADVANCES Annex V.Part 1.32

21. Tangible and intangible assets: assets subject to operating lease References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 2.278-279 0010 0010 Property plant and equipment IAS 16.6; IAS 1.54(a) 0020 Revaluation model IAS 17.49; IAS 16.31, 73(a)(d) 0030 Cost model IAS 17.49; IAS 16.30, 73(a)(d) 0040 Investment property IAS 40.IN5; IAS 1.54(b) 0050 Fair value model IAS 17.49; IAS 40.33-55, 76 0060 Cost model IAS 17.49; IAS 40.56,79(c) 0070 Other intangible assets BAD art 4.Assets(9) IAS 38.8, 118 0080 Revaluation model IAS 17.49; IAS 38.75-87, 124(a)(ii) 0090 Cost model IAS 17.49; IAS 38.74

22. Asset management, custody and other service functions

22.

22.1 Fee and commission income and expenses by activity References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V.Part 2.280 BAD art 27.Vertical layout(4), (5) IFRS 7.20(c ) 0010 0010 Fee and commission income Annex V.Part 2.281-284 0020 Securities 0030 Issuances Annex V.Part 2.284(a) Annex V.Part 2.284(a) 0040 Transfer orders Annex V.Part 2.284(b) Annex V.Part 2.284(b) 0050 Other fee and commission income in relation to securities Annex V.Part 2.284(c) Annex V.Part 2.284(c) 0051 Corporate Finance 0052 M&A advisory Annex V.Part 2.284 (e) Annex V.Part 2.284 (e) 0053 Treasury services Annex V.Part 2.284(f) Annex V.Part 2.284(f) 0054 Other fee and commission income in relation to corporate finance activities Annex V.Part 2.284(g) Annex V.Part 2.284(g) 0055 Fee based advice Annex V.Part 2.284(h) Annex V.Part 2.284(h) 0060 Clearing and settlement Annex V.Part 2.284(i) Annex V.Part 2.284(i) 0070 Asset management Annex V.Part 2.284(j); 285(a) Annex V.Part 2.284(j); 285(a) 0080 Custody [by type of customer] Annex V.Part 2.284(j); 285(b) Annex V.Part 2.284(j); 285(b) 0090 Collective investment 0100 Other fee and commission income in relation to custody services 0110 Central administrative services for collective investment Annex V.Part 2.284(j); 285(c) Annex V.Part 2.284(j); 285(c) 0120 Fiduciary transactions Annex V.Part 2.284(j); 285(d) Annex V.Part 2.284(j); 285(d) 0131 Payment services Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0132 Current accounts Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0133 Credit cards Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0134 Debit cards and other card payments Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0135 Transfers and other payment orders Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0136 Other fee and commission income in relation to payment services Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0140 Customer resources distributed but not managed [by type of product] Annex V.Part 2.284 (l); 285(f) Annex V.Part 2.284 (l); 285(f) 0150 Collective investment 0160 Insurance products 0170 Other fee and commission income in relation to customer resources distributed but not managed 0180 Structured Finance Annex V.Part 2.284(n) Annex V.Part 2.284(n) 0190 Loan servicing activities Annex V.Part 2.284(o) Annex V.Part 2.284(o) 0200 Loan commitments given Annex V.Part 2.284(p) IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 0210 Financial guarantees given Annex V.Part 2.284(p) IFRS 9.4.2.1 (c)(ii); Annex V.Part 2.284(p) 0211 Loans granted Annex V.Part 2.284(r) Annex V.Part 2.284(r) 0213 Foreign exchange Annex V.Part 2.284(s) Annex V.Part 2.284(s) 0214 Commodities Annex V.Part 2.284(t) Annex V.Part 2.284(t) 0220 Other fee and commission income Annex V.Part 2.284(u) Annex V.Part 2.284(u) 0230 (Fee and commission expenses) Annex V.Part 2.281-284 0235 (Securities) Annex V.Part 2.284(d) Annex V.Part 2.284(d) 0240 (Clearing and settlement) Annex V.Part 2.284(i) Annex V.Part 2.284(i) 0245 (Asset management) Annex V.Part 2.284(j); 285(a) Annex V.Part 2.284(j); 285(a) 0250 (Custody) Annex V.Part 2.284(j); 285 (b) Annex V.Part 2.284(j); 285 (b) 0255 (Payment services) Annex V.Part 2.284(k), 285(e) Annex V.Part 2.284(k), 285(e) 0256 (of which: Credit, Debit and other Cards) 0260 (Loan servicing activities) Annex V.Part 2.284(o) Annex V.Part 2.284(o) 0270 (Loan commitments received) Annex V.Part 2.284(q) Annex V.Part 2.284(q) 0280 (Financial guarantees received) Annex V.Part 2.284(q) Annex V.Part 2.284(q) 0281 (Externally provided distribution of products) Annex V.Part 2.284(m) Annex V.Part 2.284(m) 0282 (Foreign exchange) Annex V.Part 2.284(s) Annex V.Part 2.284(s) 0290 (Other fee and commission expenses) Annex V.Part 2.284(u) Annex V.Part 2.284(u)

22.2 Assets involved in the services provided References National GAAP based on BAD References National GAAP compatible IFRS Amount of the assets involved in the services provided Annex V.Part 2.285(g) 0010 0010 Asset management [by type of customer] Annex V.Part 2.285(a) Annex V.Part 2.285(a) 0020 Collective investment 0030 Pension funds 0040 Customer portfolios managed on a discretionary basis 0050 Other investment vehicles 0060 Custody assets [by type of customer] Annex V.Part 2.285(b) Annex V.Part 2.285(b) 0070 Collective investment 0080 Other 0090 Of which: entrusted to other entities 0100 Central administrative services for collective investment Annex V.Part 2.285(c) Annex V.Part 2.285(c) 0110 Fiduciary transactions Annex V.Part 2.285(d) Annex V.Part 2.285(d) 0120 Payment services Annex V.Part 2.285(e) Annex V.Part 2.285(e) 0130 Customer resources distributed but not managed [by type of product] Annex V.Part 2.285(f) Annex V.Part 2.285(f) 0140 Collective investment 0150 Insurance products 0160 Other

23. Loans and advances: additional information

23.

23.1 Loans and advances: Number of instruments Number of instruments (Annex V.Part 2.320) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 References National GAAP based on BAD Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87, 234i (a) Annex V.Part 2.86(a), 87, 234i (a) 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0080 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321 Annex V.Part 1.32, 44(a), Part 2.319, 321 0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0150 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319; 322 Annex V.Part 1.32, 44(a), Part 2.319; 322 0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0180 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0200 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix

23.2 Loans and advances: Additional information on gross carrying amounts Gross carrying amount (Annex V.Part 1.34) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 References National GAAP based on BAD Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0150 Loans and advances in pre-litigation status Annex V.Part 1.32, 44(a), Part 2.319, 321 Annex V.Part 1.32, 44(a), Part 2.319, 321 0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0180 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0200 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0220 Loans and advances in litigation status Annex V.Part 1.32, 44(a), Part 2.319, 322 Annex V.Part 1.32, 44(a), Part 2.319, 322 0230 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0240 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0250 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0260 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0270 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0280 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0290 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323 Annex V.Part 1.32, 44(a), Part 2.319, 323 0300 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0310 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0320 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0330 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0340 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0350 Loans and advances with an accumulated coverage ratio > 90% Annex V.Part 1.32, 44(a), Part 2.319, 324 Annex V.Part 1.32, 44(a), Part 2.319, 324 0360 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0370 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0380 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0390 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0400 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0410 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix

23.3 Loans and advances collateralised by immovable property: Breakdown by LTV ratios Gross carrying amount (Annex V.Part 1.34) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 References National GAAP based on BAD Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances collateralised by immovable property Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319 Annex V.Part 1.32, 44(a), Part 2.86(a), 87, 319 0020 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0030 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0040 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0050 Loans and advances to small and medium-sized enterprises (NFCs) collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) 0060 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0070 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0080 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0090 Loans and advances to non-financial corporations (NFCs) other than SMEs collateralised by commercial immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 319; SME Art 1 2(a) 0100 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0110 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0120 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0130 Commercial Real Estate loans to small and medium-sized enterprises (NFCs) collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) 0140 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0150 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0160 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0170 Commercial Real Estate loans to non-financial corporations (NFCs) other than SMEs) collateralised by immovable property Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) Annex V.Part 1.32, 42 (e), 44(a), Part 2.86(a), 87, 239ix, 319; SME Art 1 2(a) 0180 Of which: Loans with a LTV higher than 60% and lower than or equal to 80% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0190 Of which: Loans with a LTV higher than 80% and lower than or equal to 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325 0200 Of which: Loans with a LTV higher than 100% Annex V.Part 2.239x, 325 Annex V.Part 2.239x, 325

23.4 Loans and advances: Additional information on accumulated impairments and accumulated negative changes in fair value due to credit risk Accumulated impairment, accumulated negative changes in fair value due to credit risk (Annex V. Part 2.69-71) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235, 237(f) Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 References National GAAP based on BAD Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235, 237(f) Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0080 Loans and advances at cost or at amortised cost Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 Annex V.Part 1.32, 44(a), Part 2.233 (a), 319 0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0150 Unsecured loans and advances without guarantees Annex V.Part 1.32, 44(a), Part 2.319, 323 Annex V.Part 1.32, 44(a), Part 2.319, 323 0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0170 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0180 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0190 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0200 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix

23.5 Loans and advances: Collateral received and financial guarantees received Maximum amount of the collateral or guarantee that can be considered Annex V.Part 2.171-172, 174 Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 References National GAAP based on BAD Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Financial guarantees received on loans and advances Annex V.Part 2.319, 326 Annex V.Part 2.319, 326 0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0080 Collateral received on loans and advances Annex V.Part 2.319, 326 Annex V.Part 2.319, 326 0090 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0100 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0110 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0120 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0130 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0140 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0150 Immovable property collateral received on loans and advances Annex V.Part 2.319, 326 Annex V.Part 2.319, 326 0160 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0170 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0180 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0190 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0200 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0210 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0220 Memorandum item: Collateral received on loans and advances - uncapped amounts Annex V.Part 2.319, 326, 327 Annex V.Part 2.319, 326, 327 0230 of which: Immovable property collateral Annex V.Part 2.319, 326, 327 Annex V.Part 2.319, 326, 327

23.6 Loans and advances: Accumulated partial write-offs Accumulated partial write-offs (Annex V.Part 2.72, 74) Performing Non Performing Unlikely to pay that are not past due or past due <= 90 days Past due > 90 days of which: Exposures with forbearance measures of which: Past due > 30 days <= 90 days of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures of which: Exposures with forbearance measures Past due > 90 days <= 180 days Past due > 180 days <= 1 year Past due > 1 years <=2 years Past due > 2 years <=5 years Past due > 5 years <=7 years Past due > 7 years References National GAAP compatible IFRS Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-239 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 References National GAAP based on BAD Annex V.Part 1.32 Annex V. Part 2. 256, 259-263 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2. 222, 235 Annex V. Part 2. 259-261 Annex V. Part 2. 213-216, 226-232 Annex V. Part 2.256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236, 256, 259-262 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 Annex V. Part 2.222, 235-236 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 Loans and advances Annex V.Part 1.32, 44(a), Part 2.319 Annex V.Part 1.32, 44(a), Part 2.319 0020 of which: Households Annex V.Part 1.42(f) Annex V.Part 1.42(f) 0030 of which: Loans collateralised by residential immovable property Annex V.Part 2.86(a), 87 Annex V.Part 2.86(a), 87 0040 of which: Non-financial corporations - SMEs Annex V.Part 1.42(e), SME Art 1 2(a) Annex V.Part 1.42(e), SME Art 1 2(a) 0050 of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix 0060 of which: Non-financial corporations - other than SMEs Annex V.Part 1.42(e) Annex V.Part 1.42(e) 0070 of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Annex V.Part 2.239ix Annex V.Part 2.239ix

24. Loans and advances: Flows of non performing exposures, impairment & write offs since the end of the last financial year

24.

24.1 Loans and advances: Inflows and outflows of non-performing exposures References National GAAP based on BAD References National GAAP compatible IFRS Gross Carrying amount (Annex V. Part 1.34) Non-performing exposures - loans and advances of which: Households of which: Non-financial corporations of which: Loans collateralised by residential immovable property of which: SMEs of which: CRE loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Opening balance Annex V.Part 2.328 Annex V.Part 2.328 0020 Inflows Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329 0030 Inflow due to reclassification from performing not forborne Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329 0040 Inflow due to reclassification from performing forborne Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329 0050 of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing Annex V.Part 2.239ii, 239iii, 239vi, 329(b) Annex V.Part 2.239ii, 239iii, 239vi, 329(b) 0060 Inflow due to purchase of exposures Annex V.Part 2.239ii, 239iii, 239vi, 329 Annex V.Part 2.239ii, 239iii, 239vi, 329 0070 Inflow due to accrued interest Annex V.Part 2.239ii, 239iii, 239vi, 329 (a) Annex V.Part 2.239ii, 239iii, 239vi, 329 (a) 0080 Inflow due to other reasons Annex V.Part 2.239ii, 239iii, 239vi, 329 (c) Annex V.Part 2.239ii, 239iii, 239vi, 329 (c) 0090 Of which: Inflow more than once Annex V.Part 2.239ii, 239iii, 239vi, 330 (a) Annex V.Part 2.239ii, 239iii, 239vi, 330 (a) 0100 Of which: Inflow of exposures granted in the past 24 months Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) 0110 Of which: Inflow of exposures granted during the period Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) Annex V.Part 2.239ii, 239iii, 239vi, 330 (b) 0120 Outflows Annex V.Part 2.239iii-239v, 331, 332 Annex V.Part 2.239iii-239v, 331, 332 0130 Outflow due to reclassification as performing not forborne Annex V.Part 2.239iii-239v(a), 331, 332 Annex V.Part 2.239iii-239v(a), 331, 332 0140 Outflow due to reclassification as performing forborne Annex V.Part 2.239iii-239v(a), 331, 332 Annex V.Part 2.239iii-239v(a), 331, 332 0150 Outflow due to partial or total loan repayment Annex V.Part 2.239iii-239v(b), 331, 332 Annex V.Part 2.239iii-239v(b), 331, 332 0160 Outflow due to collateral liquidations Annex V.Part 2.239iii-239v(c), 331, 332 Annex V.Part 2.239iii-239v(c), 331, 332 0170 Net cumulated recoveries from collateral liquidation Annex V.Part 2.333 Annex V.Part 2.333 0180 of which: Write-offs in the context of collateral liquidations Annex V.Part 2.239iii-239v(c) Annex V.Part 2.239iii-239v(c) 0190 Outflow due to taking possession of collateral Annex V.Part 2.239iii-239v(d), 331, 332 Annex V.Part 2.239iii-239v(d), 331, 332 0200 Net cumulated recoveries from taking possession of collateral Annex V.Part 2.333 Annex V.Part 2.333 0210 of which: Write-offs in the context of taking possession of collateral Annex V.Part 2.239iii-239v(d) Annex V.Part 2.239iii-239v(d) 0220 Outflow due to sale of instruments Annex V.Part 2.239iii-239v(e), 331, 332 Annex V.Part 2.239iii-239v(e), 331, 332 0230 Net cumulated recoveries from sale of instruments Annex V.Part 2.333 Annex V.Part 2.333 0240 of which: Write-offs in the context of sale of instruments Annex V.Part 2.239iii-239v(e) Annex V.Part 2.239iii-239v(e) 0250 Outflow due to risk transfers Annex V.Part 2.239iii-239v(f), 331, 332 Annex V.Part 2.239iii-239v(f), 331, 332 0260 Net cumulated recoveries from risk transfers Annex V.Part 2.333 Annex V.Part 2.333 0270 of which: Write-offs in the context of risk transfers Annex V.Part 2.239iii-239v(f) Annex V.Part 2.239iii-239v(f) 0280 Outflow due to write-offs Annex V.Part 2.239iii-239v(g), 331, 332 Annex V.Part 2.239iii-239v(g), 331, 332 0290 Outflow due to reclassification as held for sale Annex V.Part 2.239iii-239vi, 331, 332 Annex V.Part 2.239iii-239vi, 331, 332 0300 Outflow due to other reasons Annex V.Part 2.239iii-239v(h), 331, 332 Annex V.Part 2.239iii-239v(h), 331, 332 0310 Of which: Outflow of non-performing exposures that became non-performing during the period Annex V.Part 2.334 Annex V.Part 2.334 0320 Closing balance Annex V.Part 2.328 Annex V.Part 2.328

24.2 Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures References National GAAP based on BAD References National GAAP compatible IFRS Accumulated impairment and accumulated negative changes in fair value due to credit risk Non-performing exposures - loans and advances of which: Households of which: Non-financial corporations of which: Loans collateralised by residential immovable property of which: SMEs of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix Annex V.Part 1.32, Part 2.69-71, 213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Opening balance Annex V.Part 2.335 Annex V.Part 2.335 0020 Increases during the period Annex V.Part 2.336 Annex V.Part 2.336 0030 Of which: impairments against interest accrued Annex V.Part 2.337 Annex V.Part 2.337 0040 Decreases during the period Annex V.Part 2.338 Annex V.Part 2.338 0050 Of which: Reversal of impairment and negative changes in fair value due to credit risk Annex V.Part 2.339(a) Annex V.Part 2.339(a) 0060 Of which: Release of allowances due to unwinding process Annex V.Part 2.339(b) Annex V.Part 2.339(b) 0070 Closing balance Annex V.Part 2.335 Annex V.Part 2.335

24.3 Loans and advances: Write-offs of non-performing exposures during the period References National GAAP based on BAD References National GAAP compatible IFRS Gross Carrying amount Non-performing exposures - Loans and advances of which: Households of which: Non-financial corporations of which: Loans collateralised by residential immovable property Of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs Of which: Commercial Real Estate (CRE) loans to SMEs Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix Annex V.Part 1.32, 34, Part 2.213-216, 223-239 Annex V.Part 1.42(f), 44(a) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e), 44(a) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Write-offs during the period Annex V.Part 2.340 Annex V.Part 2.340 0020 Of which: Debt forgiveness Annex V.Part 2.340 Annex V.Part 2.340

25. Collateral obtained by taking possession and execution processes

25.

25.1 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Inflows and outflows References National GAAP based on BAD References National GAAP compatible IFRS Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) Time passed since recognition in balance sheet Of which: Non-current assets held-for-sale <= 2 years > 2 years <= 5 years > 5 years Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Value at initial recognition Carrying amount Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 IFRS 5.6, Annex V.Part 2.175, 175i, 344 IFRS 5.6, Annex V.Part 1.27, Part 2.175 Annex V.Part 1.34, Part 2.343 Annex V.Part 1.34, Part 2.343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 352 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0010 Opening balance Annex V.Part 2.341, 342 Annex V.Part 2.341, 342 0020 Inflows of collateral during the period Annex V.Part 2.345, 349 Annex V.Part 2.345, 349 0030 Inflow due to new collateral obtained by taking possession Annex V.Part 2.345, 349 Annex V.Part 2.345, 349 0040 Inflow due to positive changes in value Annex V.Part 2.345, 349 Annex V.Part 2.345, 349 0050 Outflows of collateral during the period Annex V.Part 2.346, 349 Annex V.Part 2.346, 349 0060 Outflow for which cash was collected Annex V.Part 2.347, 349 Annex V.Part 2.347, 349 0070 Cash collected net of costs Annex V.Part 2.347 Annex V.Part 2.347 0080 Profits/(-) losses from sale of collateral obtained by taking possession Annex V.Part 2.347 Annex V.Part 2.347 0090 Outflow with replacement by financial instrument Annex V.Part 2.346, 349 Annex V.Part 2.346, 349 0100 Financing granted Annex V.Part 2.347 Annex V.Part 2.347 0110 Outflow due to negative changes in value Annex V.Part 2.346, 349 Annex V.Part 2.346, 349 0120 Closing balance Annex V.Part 2.341, 342 Annex V.Part 2.341, 342

25.2 Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): Type of collateral obtained References National GAAP based on BAD References National GAAP compatible IFRS Debt balance reduction Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) Time passed since recognition in balance sheet Of which: Non-current assets held-for-sale <= 2 years > 2 years <= 5 years > 5 years Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Accumulated negative changes Value at initial recognition Carrying amount Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 IFRS 5.6, Annex V.Part 2.175, 175i IFRS 5.6, Annex V.Part 1.27, Part 2.175 Annex V.Part 1.34, Part 2.343 Annex V.Part 1.34, Part 2.343 Annex V.Part 2.175, 175i, 344 Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i, 348 Annex V.Part 1.27, Part 2.175, 348 Annex V.Part 2.175, 175ii, 348 Annex V.Part 2.175, 175i Annex V.Part 1.27, Part 2.175 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0010 Residential immovable property Annex V. Part 2.350, 351 Annex V. Part 2.350, 351 0020 Of which: under construction / development Annex V. Part 2.350, 352(a) Annex V. Part 2.350, 352(a) 0030 Commercial immovable property Annex V. Part 2.350, 351 Annex V. Part 2.350, 351 0040 Of which: under construction / development Annex V. Part 2.350, 352(a) Annex V. Part 2.350, 352(a) 0050 Of which: Land related to commercial real estate corporations (excluding agricultural land) Annex V. Part 2.350, 352(b) Annex V. Part 2.350, 352(b) 0060 Of which: Land with planning permission for development Annex V. Part 2.350, 352(b) Annex V. Part 2.350, 352(b) 0070 Of which: Land without planning permission for development Annex V. Part 2.350, 352(b) Annex V. Part 2.350, 352(b) 0080 Movable property Annex V. Part 2.350, 351 Annex V. Part 2.350, 351 0090 Equity and debt securities Annex V. Part 2.350, 351 Annex V. Part 2.350, 351 0100 Other Annex V. Part 2.350, 351 Annex V. Part 2.350, 351 0110 Total Annex V. Part 2.350, 351 Annex V. Part 2.350, 351 0120 Number of Collateral obtained by taking possession Annex V. Part 2.350, 351 Annex V. Part 2.350, 351

25.3 Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) References National GAAP based on BAD References National GAAP compatible IFRS Debt balance reduction Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Value at initial recognition Carrying amount Accumulated negative changes Annex V.Part 1.34, Part 2.343 Annex V.Part 2.69-71, 343 IAS 16.6, Annex V.Part 2.175, 175i IAS 16.6, Annex V.Part 1.27, Part 2.175 IAS 16.6, Annex V.Part 2.175, 175ii Annex V.Part 1.34, Part 2.343 Annex V.Part 1.34, Part 2.343 Annex V.Part 2.175, 175i Annex V.Part 1.27, Part 2.175 Annex V.Part 2.175, 175ii 0010 0020 0030 0040 0050 0010 Total Annex V.Part 2.341, 357-358 Annex V.Part 2.341, 357-358 0020 Inflows due to new collateral obtained by taking possession Annex V.Part 2.341, 345, 357-358 Annex V.Part 2.341, 345, 357-358

26. Forbearance management and quality of forbearance References National GAAP based on BAD References National GAAP compatible IFRS Loans and advances with forbearance measures of which: Households of which: Non-financial corporations of which: performing of which: having been granted forbearance measures during the period of which: performing of which: having been granted forbearance measures during the period of which: performing of which: having been granted forbearance measures during the period Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(f), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 Annex V.Part 1.32, 42(e), 44(a), Part 2.240-245, 252-257 Annex V.Part 2.256, 259-261 Annex V.Part 2.361 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 Number of instruments Annex V. Part 2.320, 355, 356 Annex V. Part 2.320, 355, 356 0020 Gross carrying amount of instruments, for the following types of forbearance measures: Annex V.Part 1.34, Part 2.355, 357, 359 Annex V.Part 1.34, Part 2.355, 357, 359 0030 Grace period/payment moratorium Annex V.Part 2.358(a) Annex V.Part 2.358(a) 0040 Interest rate reduction Annex V.Part 2.358(b) Annex V.Part 2.358(b) 0050 Extension of maturity/term Annex V.Part 2.358(c) Annex V.Part 2.358(c) 0060 Rescheduled payments Annex V.Part 2.358(d) Annex V.Part 2.358(d) 0070 Debt forgiveness Annex V.Part 2.358(e) Annex V.Part 2.358(e) 0080 Debt asset swaps Annex V.Part 2.358(f) Annex V.Part 2.358(f) 0090 Other forbearance measures Annex V.Part 2.358(g) Annex V.Part 2.358(g) Gross carrying amount of instruments that were subject to forbearance measures at multiple points in time Annex V.Part 1.34, Part 2.355 Annex V.Part 1.34, Part 2.355 0100 Loans and advances having been forborne twice Annex V.Part 2.360(a)(i) Annex V.Part 2.360(a)(i) 0110 Loans and advances having been forborne more than twice Annex V.Part 2.360(a)(i) Annex V.Part 2.360(a)(i) 0120 Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures Annex V.Part 2.360(a)(ii) Annex V.Part 2.360(a)(ii) 0130 Gross carrying amount of non-performing forborne loans and advances that failed to meet the non-performing exit criteria Annex V.Part 1.34, Part 2.232, 355, 360(b) Annex V.Part 1.34, Part 2.232, 355, 360(b)

30. Off-balance sheet activities: Interests in unconsolidated structured entities

30.

30.1 Interests in unconsolidated structured entities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount of financial assets recognised in the balance sheet Of which: liquidity support drawn Fair value of liquidity support drawn Carrying amount of financial liabilities recognised in the balance sheet Nominal amount of off-balance sheet exposures given by the reporting institution Of which: Nominal amount of loan commitments given Losses incurred by the reporting institution in the current period IFRS 12.29(a) IFRS 12.29(a); Annex V.Part 2.286 IFRS 12.29(a) IFRS 12.B26(e) IFRS 12 B26(b); Annex V.Part 2.287 0010 0020 0030 0040 0050 0060 0080 0010 Total

30.2 Breakdown of interests in unconsolidated structured entities by nature of the activities By nature of the activities References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Securitisation Special Purpose Entities Asset management Other activities CRR art 4(1)(66) Annex V.Part 2.285(a) IFRS 12.24, B6.(a) 0010 0020 0030 0010 Selected financial assets recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 0021 of which: non-performing Annex V.Part 2.213-239 Annex V.Part 2.213-239 0030 Derivatives CRR Annex II; Annex V.Part 2.272 IFRS 9 Appendix A; Annex V.Part 2.272 0040 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0050 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0060 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0070 Selected equity and financial liabilites recognised in the reporting institution's balance sheet IFRS 12.29(a),(b) 0080 Equity instruments issued IAS 32.11 0090 Derivatives CRR Annex II; Annex V.Part 1.24(a), 25, 26, Part 2.272 IFRS 9 Appendix A; Annex V.Part 2.272 0100 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0110 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 Nominal amount 0120 Off-balance sheet exposures given by the reporting institution CRR Annex I; Annex V.Part 2.112, 113-115, 118 IFRS 12.B26.(e); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 0131 of which: non-performing Annex V.Part 2.117 Annex V.Part 2.117

31. Related parties

31.

31.1 Related parties: amounts payable to and amounts receivable from References National GAAP based on BAD References National GAAP compatible IFRS Outstanding balances Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties IAS 24.19(a),(b) IAS 24.19(c); Annex V.Part 2.289 IAS 24.19(d),(e); Annex V.Part 2.289 IAS 24.19(f) IAS 24.19(g) Accounting Directive art 17(1)(p) Accounting Directive art 17(1)(p); Annex V.Part 2.289 Accounting Directive art 17(1)(p); Annex V.Part 2.289 Accounting Directive art 17(1)(p) Accounting Directive art 17(1)(p) Annex V.Part 2.288-291 Annex V.Part 2.288-291 0010 0020 0030 0040 0050 0010 Selected financial assets IAS 24.18(b) 0020 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 IAS 32.11 0030 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 0050 of which: non-performing Annex V. Part 2.213-239 Annex V. Part 2.213-239 0060 Selected financial liabilities IAS 24.18(b) 0070 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0080 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0090 Nominal amount of loan commitments, financial guarantees and other commitments given CRR Annex I; Annex V.Part 2.112, 113-115, 118 IAS 24.18(b); CRR Annex I; Annex V.Part 2.102-105, 113-115, 118 0100 of which: non-performing Annex V. Part 2.117 IAS 24.18(b); Annex V. Part 2.117 0110 Loan commitments, financial guarantees and other commitments received Annex V.Part 2.102-103, 113-115, 290 IAS 24.18(b); Annex V.Part 2.290 0120 Notional amount of derivatives Annex V.Part 2.133-135 Annex V.Part 2.133-135 0131 Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures Annex V.Part 2.69-71, 291 IAS 24.1(c); Annex V.Part 2.69-71, 291 0132 Provisions on non-performing off-balance sheet exposures Annex V.Part 2.11, 106, 291 Annex V.Part 2.11, 106, 291

31.2 Related parties: expenses and income generated by transactions with References National GAAP based on BAD References National GAAP compatible IFRS Current period Parent and entities with joint control or significant influence Subsidiaries and other entities of the same group Associates and joint ventures Key management of the institution or its parent Other related parties IAS 24.19(a),(b) IAS 24.19(c) IAS 24.19(d),(e) IAS 24.19(f) IAS 24.19(g) Annex V.Part 2.288-289, 292-293 Annex V.Part 2.288-289, 292-293 0010 0020 0030 0040 0050 0010 Interest income BAD art 27.Vertical layout(1); Annex V.Part 2.31 IAS 24.18(a); Annex V.Part 2.31 0020 Interest expenses BAD art 27.Vertical layout(2); Annex V.Part 2.31 IAS 24.18(a); IAS 1.97; Annex V.Part 2.31 0030 Dividend income BAD art 27.Vertical layout(3); Annex V.Part 2.40 IAS 24.18(a); Annex V.Part 2.40 0040 Fee and commission income BAD art 27.Vertical layout(4) IAS 24.18(a); IFRS 7.20(c) 0050 Fee and commission expenses BAD art 27.Vertical layout(5) IAS 24.18(a); IFRS 7.20(c) 0060 Gains or (-) losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss BAD art 27.Vertical layout(6) IAS 24.18(a) 0070 Gains or (-) losses on de-recognition of other than financial assets Annex V.Part 2.292 IAS 24.18(a); Annex V.Part 2.292 0080 Impairment or (-) reversal of impairment on non-performing exposures Annex V. Part 2.293 IAS 24.18(d); Annex V.Part 2.293 0090 Provisions or (-) reversal of provisions on non-performing exposures Annex V. Part 2.50, 293 Annex V. Part 2.50, 293

40. Group structure

40.

40.1 Group structure: entity-by-entity Code Type of code National code Entity name Entry date Share capital of investee Equity of investee Total assets of investee Profit or (-) loss of investee Residence of investee Sector of investee NACE Code Accumulated equity interest [%] Voting rights [%] Group structure [relationship] Accounting treatment [Accounting Group] Accounting treatment [CRR Group] Carrying amount Acquisition cost Goodwill link to Investee Fair value of investments for which there are published price quotations Annex V.Part 2.294-295, 296(a) Annex V.Part 2.294-295, 296(b) Annex V.Part 2.294-295, 296(c) IFRS 12.12(a), 21(a)(i); Annex V.Part 2.294-295, 296(d) Annex V.Part 2.294-295, 296(e) Annex V.Part 2.294-295, 296(f) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g) IFRS 12.B12(b); Annex V.Part 2.294-295, 296(g) IFRS 12.12.(b), 21.(a).(iii); Annex V.Part 2.294-295, 296(h) Annex V.Part 2.294-295, 296(i) Annex V.Part 2.294-295, 296(j) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(k) IFRS 12.21(a)(iv); Annex V.Part 2.294-295, 296(l) IFRS 12.10(a)(i); Annex V.Part 2.294-295, 296(m) IFRS 12.21(b); Annex V.Part 2.294-295, 296(n) CRR art 18; Annex V.Part 2.294-295, 296(o) Annex V.Part 2.294-295, 296(p) Annex V.Part 2.294-295, 296(q) Annex V.Part 2.294-295, 296(r) IFRS 12.21(b)(iii); Annex V.Part 2.294-295, 296(s) 0011 0015 0025 0030 0040 0050 0060 0070 0080 0090 0095 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190

40.2. Group structure: instrument-by-instrument Security code Investee Holding company Accumulated equity interest (%) Carrying amount Acquisition cost Code Type of code Code Type of code National code Holding company name Annex V.Part 2.297(a) Annex V.Part 2.296(a), 297(e) Annex V.Part 2.296(b), 297(e) Annex V.Part 2.297(b) Annex V.Part 2.297(c) Annex V.Part 2.297(d) Annex V.Part 2.296(j), 297(e) Annex V.Part 2.296(o), 297(e) Annex V.Part 2.296(p), 297(e) 0010 0021 0025 0031 0035 0045 0050 0060 0070 0080

41. Fair value

41.

41.1 Fair value hierarchy: financial instruments at amortised cost References National GAAP based on BAD Annex V.Part 2.298 References National GAAP compatible IFRS Annex V.Part 2.298 Fair value IFRS 7.25-26 Fair value hierarchy IFRS 13.97, 93(b) Level 1 IFRS 13.76 Level 2 IFRS 13.81 Level 3 IFRS 13.86 ASSETS 0010 0020 0030 0040 0015 Financial assets at amortised cost Accounting Directive art 8(4)(b), (6); IAS 39.9 IFRS 7.8(f); IFRS 9.4.1.2 0016 Debt securities Annex V.Part 1.24, 26 Annex V.Part 1.31 0017 Loans and advances Annex V.Part 1.24, 27 Annex V.Part 1.32 0021 Non-trading non-derivative financial assets measured at a cost-based method BAD art 35;Accounting Directive Article 6(1)(i) and Article 8(2); Annex V.Part1.18, 19 0022 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0023 Debt securities Annex V.Part 1.31 0024 Loans and advances Annex V.Part 1.32 0031 Other non-trading non-derivative financial assets BAD art 37; Accounting Directive Article 12(7); Annex V.Part 1.20 0032 Equity instruments ECB/2013/33 Annex 2.Part 2.4-5 0033 Debt securities Annex V.Part 1.31 0034 Loans and advances Annex V.Part 1.32 LIABILITIES 0070 Financial liabilities measured at amortised cost Accounting Directive art 8(3), (6); IAS 39.47 IFRS 7.8(g); IFRS 9.4.2.1 0080 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.30 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0090 Debt securities issued Annex V.Part 1.31 Annex V.Part 1.37 0100 Other financial liabilities Annex V.Part 1.32-34 Annex V.Part 1.38-41 0101 Non-trading non-derivative financial liabilities measured at a cost-based method Accounting Directive art 8(3) 0102 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0103 Debt securities issued Annex V.Part 1.37 0104 Other financial liabilities Annex V.Part 1.38-41

41.2 Use of the Fair Value Option References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Accounting mismatch Managed on a fair value basis Hybrid contracts Managed for credit risk IFRS 9.B4.1.29 IFRS 9.B4.1.33 IFRS 9.4.3.6; IFRS 9.4.3.7; Annex V.Part 2.300 IFRS 9.6.7; IFRS 7.8(a)(e); Annex V.Part 2.301 ASSETS 0010 0020 0030 0040 0010 Financial assets designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6) IFRS 7.8(a)(i); IFRS 9.4.1.5 0030 Debt securities Annex V.Part 1.31 Annex V.Part 1.31 0040 Loans and advances Annex V.Part 1.32 Annex V.Part 1.32 LIABILITIES 0050 Financial liabilities designated at fair value through profit or loss Accounting Directive art 8(1)(a), (6); IAS 39.9 IFRS 7.8 (e)(i); IFRS 9.4.2.2 0060 Deposits ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 ECB/2013/33 Annex 2.Part 2.9; Annex V.Part 1.36 0070 Debt securities issued Annex V.Part 1.37 Annex V.Part 1.37 0080 Other financial liabilities Annex V.Part 1.38-41 Annex V.Part 1.38-41

42. Tangible and intangible assets: carrying amount by measurement method References National GAAP compatible IFRS Annex V.Part 2.302 Carrying amount of which: right-of-use assets IFRS 16.47(a), 53(j), Annex V.Part 2.303i 0010 0020 0010 Property plant and equipment IAS 16.6; IAS 16.29; IAS 1.54(a) 0015 Of which: Software assets IAS 38.4; Annex V.Part 2.303 0020 Revaluation model IAS 16.31, 73(a),(d) 0030 Cost model IAS 16.30, 73(a),(d) 0040 Investment property IAS 40.5, 30; IAS 1.54(b) 0050 Fair value model IAS 40.33-55, 76 0060 Cost model IAS 40.56, 79(c) 0070 Other intangible assets IAS 38.8, 118, 122 ; Annex V.Part 2.303 0075 Of which: Software assets IAS 38.9; Annex V.Part 2.303 0080 Revaluation model IAS 38.75-87, 124(a)(ii) 0090 Cost model IAS 38.74

43.(-)(-) Provisions References National GAAP based on BAD References National GAAP compatible IFRS Carrying amount Annex V.Part 1.27-28 Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given under national GAAP Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 Other provisions IAS 19.63; IAS 1.78(d); Annex V.Part 2.9 IAS 19.153; IAS 1.78(d); Annex V.Part 2.10 IAS 37.70-83, 84 (a) IAS 37.14, 84 (a) IAS 37; IFRS 4; Annex V. Part 2.304-305 IAS 37.14 Annex V.Part 2.9 Annex V.Part 2.10 BAD art 24-25, 33(1) 0010 0020 0030 0040 0050 0055 0060 0010 Opening balance [carrying amount at the beginning of the period] IAS 37.84 (a) 0020 Additions, including increases in existing provisions IAS 37.84 (b) 0030 Amounts used IAS 37.84 (c) 0040 Unused amounts reversed during the period IAS 37.84 (d) 0050 Increase in the discounted amount [passage of time] and effect of any change in the discount rate IAS 37.84 (e) 0060 Other movements 0070 Closing balance [carrying amount at the end of the period] IAS 37.84 (a)

44 Defined benefit plans and employee benefits

44

44.1 Components of net defined benefit plan assets and liabilities References National GAAP compatible IFRS Amount Annex V.Part 2.306-307 0010 0010 Fair value of defined benefit plan assets IAS 19.140(a)(i), 142 0020 Of which: Financial instruments issued by the institution IAS 19.143 0030 Equity instruments IAS 19.142(b) 0040 Debt instruments IAS 19.142(c) 0050 Real estate IAS 19.142(d) 0060 Other defined benefit plan assets 0070 Present value of defined benefit obligations IAS 19.140(a)(ii) 0080 Effect of the asset ceiling IAS 19.140(a)(iii) 0090 Net defined benefit assets [Carrying amount] IAS 19.63; Annex V.Part 2.308 0100 Provisions for pensions and other post-employment defined benefit obligations [Carrying amount] IAS 19.63, IAS 1.78(d); Annex V.Part 2.9 0110 Fair value of any right to reimbursement recognised as an asset IAS 19.140(b)

44.2 Movements in defined benefit obligations References National GAAP compatible IFRS Defined benefit obligations Annex V.Part 2.306, 309 0010 0010 Opening balance [present value] IAS 19.140(a)(ii) 0020 Current service cost IAS 19.141(a) 0030 Interest cost IAS 19.141(b) 0040 Contributions paid IAS 19.141(f) 0050 Actuarial (-) gains or losses from changes in demographic assumptions IAS 19.141(c)(ii) 0060 Actuarial (-) gains or losses from changes in financial assumptions IAS 19.141(c)(iii) 0070 Foreign currency exchange increase or (-) decrease IAS 19.141(e) 0080 Benefits paid IAS 19.141(g) 0090 Past service cost, including gains and losses arising from settlements IAS 19.141(d) 0100 Increase or (-) decrease through business combinations and disposals IAS 19.141(h) 0110 Other increases or (-) decreases 0120 Closing balance [present value] IAS 19.140(a)(ii); Annex V.Part 2.310

44.3 Staff expenses by type of benefits References National GAAP based on BAD References National GAAP compatible IFRS Current period 0010 0010 Pension and similar expenses Annex V.Part 2.311(a) Annex V.Part 2.311(a) 0020 Share based payments Annex V.Part 2.311(b) IFRS 2.44; Annex V.Part 2.311(b) 0030 Wages and salaries Annex V.Part 2.311(c) Annex V.Part 2.311(c) 0040 Social security contributions Annex V.Part 2.311(d) Annex V.Part 2.311(d) 0050 Severance payments Annex V.Part 2.311(e) IAS 19.8, Annex V.Part 2.311(e) 0060 Other types of staff expenses Annex V.Part 2.311(f) Annex V.Part 2.311(f) 0070 STAFF EXPENSES

44.4 Staff expenses by category of remuneration and category of staff References National GAAP based on BAD References National GAAP compatible IFRS Current period Total staff of which: Identified staff of which: Management body (in its management function) and senior management of which: Management body (in its supervisory function) Annex V.Part 2.311i (a) Annex V.Part 2.311i Annex V.Part 2.311i (b) 0010 0020 0030 0040 0010 Fixed remuneration Annex V.Part 2.311i (a) Annex V.Part 2.311i (a) 0020 Variable remuneration Annex V.Part 2.311i (a) Annex V.Part 2.311i (a) 0030 Staff expenses other than remuneration 0040 STAFF EXPENSES 0050 NUMBER OF STAFF Annex V.Part 2.311ii Annex V.Part 2.311ii

45 Breakdown of selected items of statement of profit or loss

45

45.1 Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio References National GAAP based on BAD References National GAAP compatible IFRS Current period Changes in fair value due to credit risk Annex V.Part 2.312 0010 0020 0010 Financial assets designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.1.5 0020 Financial liabilities designated at fair value through profit or loss IFRS 7.20(a)(i); IFRS 9.4.2.2 0030 GAINS OR (-) LOSSES ON FINANCIAL ASSETS AND LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS BAD art 27.Vertical layout(6) IFRS 7.20(a)(i)

45.2 Gains or losses on derecognition of non-financial assets References National GAAP based on BAD References National GAAP compatible IFRS Current period Annex V.Part 2.313 0010 0010 Property, Plant and Equipment IAS 16.68, 71 0020 Investment property IAS 40.69; IAS 1.34(a), 98(d) 0030 Intangible assets IAS 38.113-115A; IAS 1.34(a) 0040 Other assets IAS 1.34 (a) 0050 GAINS OR (-) LOSSES ON DERECOGNITION OF NON-FINANCIAL ASSETS IAS 1.34

45.3 Other operating income and expenses References National GAAP based on BAD References National GAAP compatible IFRS Income Expenses 0010 0020 0010 Changes in fair value in tangible assets measured using the fair value model Annex V.Part 2.314 IAS 40.76(d); Annex V.Part 2.314 0020 Investment property Annex V.Part 2.314 IAS 40.75(f); Annex V.Part 2.314 0030 Operating Leases other than investment property Annex V.Part 2.315 IFRS 16.81,82; Annex V.Part 2.315 0040 Other Annex V.Part 2.316 Annex V.Part 2.316 0050 OTHER OPERATING INCOME OR EXPENSES Annex V.Part 2.314-316 Annex V.Part 2.314-316

46. Statement of changes in equity Sources of equity changes References National GAAP based on BAD References National GAAP compatible IFRS Capital Share premium Equity instruments issued other than Capital Other equity Accumulated other comprehensive income Retained earnings Revaluation reserves Fair value reserves Other reserves First consolidation differences (-) Treasury shares Profit or (-) loss atributable to owners of the parent (-) Interim dividends Minority interests Total Accumulated Other Comprehensive Income Other items IAS 1.106, 54(r) IAS 1.106, 78(e) IAS 1.106, Annex V.Part 2.18-19 IAS 1.106; Annex V.Part 2.20 IAS 1.106 CRR art 4(1)(123) IFRS 1.30 D5-D8 IAS 1.106, 54(c) IAS 1.106; IAS 32.34, 33; Annex V.Part 2.30 IAS 1.106(a) IAS 1.106; IAS 32.35 IAS 1.54(q), 106(a) IAS 1.54(q), 106(a) IAS 1.9(c), IG6 BAD art 4.Liabilities(9), BAD art 22 BAD art 4.Liabilities(10); CRR art 4(124) Annex V.Part 2.18-19 Annex V.Part 2.20 Accounting Directive art 8(1)(a), (6) BAD art 4 Liabilities (13); CRR art 4(123) BAD art 4.Liabilities(12) Accounting Directive 24(3)(c) Accounting Directive Annex III Annex III Assets D(III)(2); BAD art 4 Assets (12); Annex V.Part 2.30 BAD art 4.Liabilities(14) CRR Article 26(2b) Accounting Directive art 24(4) Accounting Directive art 24(4) 0010 0020 0030 0040 0050 0060 0070 0075 0080 0085 0090 0100 0110 0120 0130 0140 0010 Opening balance [before restatement] 0020 Effects of corrections of errors IAS 1.106.(b); IAS 8.42 0030 Effects of changes in accounting policies IAS 1.106.(b); IAS 1.IG6; IAS 8.22 0040 Opening balance [current period] 0050 Issuance of ordinary shares IAS 1.106.(d).(iii) 0060 Issuance of preference shares IAS 1.106.(d).(iii) 0070 Issuance of other equity instruments IAS 1.106.(d).(iii) 0080 Exercise or expiration of other equity instruments issued IAS 1.106.(d).(iii) 0090 Conversion of debt to equity IAS 1.106.(d).(iii) 0100 Capital reduction IAS 1.106.(d).(iii) 0110 Dividends IAS 1.106.(d).(iii); IAS 32.35; IAS 1.IG6 0120 Purchase of treasury shares IAS 1.106.(d).(iii); IAS 32.33 0130 Sale or cancellation of treasury shares IAS 1.106.(d).(iii); IAS 32.33 0140 Reclassification of financial instruments from equity to liability IAS 1.106.(d).(iii) 0150 Reclassification of financial instruments from liability to equity IAS 1.106.(d).(iii) 0160 Transfers among components of equity IAS 1.106.(d).(iii); Annex V.Part 2.318 0170 Equity increase or (-) decrease resulting from business combinations IAS 1.106.(d).(iii) 0180 Share based payments IAS 1.106.(d).(iii); IFRS 2.10 0190 Other increase or (-) decrease in equity IAS 1.106.(d) 0200 Total comprehensive income for the year IAS 1.106.(d).(i)-(ii); IAS 1.81A.(c); IAS 1.IG6 0210 Closing balance [current period]

47. Loans and advances: Average duration and recovery periods References TOTAL of which: Households of which: Non-financial corporations of which: loans collateralised by residential immovable property of which: SMEs Of which: Commercial Real Estate (CRE) loans to NFCs other than SMEs of which: Commercial Real Estate (CRE) loans Annex V.Part 1.42(f) Annex V.Part 2.86(a), 87 Annex V.Part 1.42(e) SME Art 1 2(a) SME Art 1 2(a), Annex V.Part 2.239ix Annex V.Part 2.239ix 0010 0020 0030 0040 0050 0060 0070 0010 Non-performing loans and advances: weighted average time since past due date (in years) Annex V.Part 2.362, 363 0020 Net cumulated recoveries from litigation procedures concluded during the period Annex V.Part 2.362, 364(a) 0030 Gross carrying amount reduction from litigation procedures concluded during the period Annex V.Part 2.362, 364(b) 0040 Average duration of litigation procedures concluded in the period (in years) Annex V.Part 2.362, 364(c)

ANNEX V INSTRUCTIONS FOR REPORTING ON FINANCIAL INFORMATION

PART 1 GENERAL INSTRUCTIONS

1.1.2.3.4.5. REFERENCES This Annex contains additional instructions for the financial information templates (FINREP) in Annexes III and IV to this Regulation. This Annex complements the instructions included in the form of references in the templates in Annexes III and IV. Institutions that use national accounting standards compatible with IFRS (compatible national GAAP) shall apply the common and IFRS instructions in this Annex, unless otherwise provided. This is without prejudice to the compliance of the compatible national GAAP requirements with the requirements of BAD. Institutions that use national GAAP requirements that are non-compatible with IFRS or that have not yet been made compatible with the requirements in IFRS 9 shall apply the common and BAD instructions in this Annex, unless provided otherwise. The data points identified in the templates shall be drawn up in accordance with the recognition, offsetting and valuation rules of the relevant accounting framework, as defined in point (77) of Article 4(1) of Regulation (EU) No 575/2013. An institution shall only submit those parts of the templates relating to: For the purposes of Annexes III and IV as well as this Annex, the following abbreviations shall apply:

1.1.2.3.4.

(a) assets, liabilities, equity, income and expenses that are recognised by the institution;

(b) off-balance sheet exposures and activities in which the institution is involved;

(c) transactions performed by the institution;

(d) valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.

1.1.2.3.4.5.

(a) CRR: Regulation (EU) No 575/2013;

(b) IAS or IFRS: International Accounting Standards, as defined in Article 2 of Regulation (EC) No 1606/2002 of the European Parliament and of the Council, which have been adopted by the Commission;

(c) ECB BSI Regulation or ECB/2013/33: Regulation (EU) No 1071/2013 of the European Central Bank;

(d) NACE Regulation: Regulation (EC) No 1893/2006 of the European Parliament and of the Council;

(e) NACE codes: codes in NACE Regulation;

(f) BAD: Council Directive 86/635/EEC;

(g) Accounting Directive: Directive 2013/34/EU of the European Parliament and of the Council;

(h) National GAAP: national generally accepted accounting principles developed under BAD;

(i) SME: micro, small and medium-sized enterprises as defined in Commission Recommendation C(2003)1422;

(j) ISIN code: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;

(k) LEI code: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction;

(l) Impairment stages: categories of impairment as defined in IFRS 9.5.5. Stage 1 refers to impairment measured in accordance with IFRS 9.5.5.5. Stage 2 refers to impairment measured in accordance with IFRS 9.5.5.3. Stage 3 refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9;

(m) ESRB recommendation on closing real estate data gaps refers to the Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14).

2.6.7.8.9.10.11. Table 1 Credit/debit convention, positive and negative signs

CONVENTIONS For the purposes of Annexes III and IV, a data point shadowed in grey shall mean that that data point is not requested or that it is not possible to report it. In Annex IV, a row or a column with references shadowed in black shall mean that the related data points shall not be submitted by those institutions that follow those references in that row or column. Templates in Annexes III and IV include implicit validation rules which are laid down in the templates themselves through the use of conventions. The use of brackets in the label of an item in a template means that this item is to be subtracted to obtain a total, but it does not mean that it shall be reported as negative. Items that shall be reported in negative are identified in the compiling templates by including (-) at the beginning of their label such as in (-) Treasury shares. In the Data Point Model (DPM) for financial information reporting templates of Annexes III and IV, every data point (cell) has a base item to which the credit/debit attribute is allocated. That allocation ensures that all entities that report data points follow the sign convention and allows to know the credit/debit attribute that corresponds to each data point. Schematically, this convention works as in Table 1. Element Credit/Debit Balance /Movement Figure reported Assets Debit Balance on assets Positive (Normal, no sign needed) Increase on assets Positive (Normal, no sign needed) Negative balance on assets Negative (Minus - sign needed) Decrease on assets Negative (Minus - sign needed) Expenses Balance on expenses Positive (Normal, no sign needed) Increase on expenses Positive (Normal, no sign needed) Negative balance (including reversals) on expenses Negative (Minus - sign needed) Decrease on expenses Negative (Minus - sign needed) Liabilities Credit Balance on liabilities Positive (Normal, no sign needed) Increase on liabilities Positive (Normal, no sign needed) Negative balance on liabilities Negative (Minus - sign needed) Decrease on liabilities Negative (Minus - sign needed) Equity Balance on equity Positive (Normal, no sign needed) Increase on equity Positive (Normal, no sign needed) Negative balance on equity Negative (Minus - sign needed) Decrease on equity Negative (Minus - sign needed) Income Balance on income Positive (Normal, no sign needed) Increase on income Positive (Normal, no sign needed) Negative balance (including reversals) on income Negative (Minus - sign needed) Decrease on income Negative (Minus - sign needed)

3.12. CONSOLIDATION Unless specified otherwise in this Annex, FINREP templates shall be prepared using the prudential scope of consolidation in accordance with Section 2 of Chapter 2 of Title II of Part 1 CRR. Institutions shall account for their subsidiaries, joint ventures and associates using the same methods as for prudential consolidation:

3.12.

(a) institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5)CRR;

(b) institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) CRR;

(c) institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) CRR.

4.13.14. ACCOUNTING PORTFOLIOS OF FINANCIAL INSTRUMENTS For the purposes of Annexes III and IV as well as this Annex, accounting portfolios means financial instruments aggregated by valuation rules. Those aggregations shall not include investments in subsidiaries, joint ventures and associates, balances receivable on demand classified as Cash, cash balances at central banks and other demand deposits, nor financial instruments classified as Held for sale presented in the items Non-current assets and disposal groups classified as held for sale and Liabilities included in disposal groups classified as held for sale. Under national GAAP, institutions that are permitted or required to apply certain valuation rules for financial instruments in accordance with IFRS shall submit, to the extent that those rules are applied, the relevant IFRS accounting portfolios. Where the valuation rules for financial instruments that institutions are permitted or required to use under national GAAP based on BAD do refer to the valuation rules in IAS 39, institutions shall submit the accounting portfolios based on BAD for all their financial instruments until the valuation rules they apply refer to the valuation rules in IFRS 9.

4.13.14.

4.1.15.16.17.18.19.20.21.22.

Financial assets The following accounting portfolios based on IFRS shall be used for financial assets: The following accounting portfolios based on national GAAP shall be used for financial assets: Trading financial assets includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex. Under national GAAP based on BAD, for financial assets, cost-based methods shall include those valuation rules by which the debt instrument is measured at cost plus interest accrued less impairment losses. Under national GAAP based on BAD, Non-trading non-derivative financial assets measured at a cost-based method includes financial instruments measured at cost-based methods as well as instruments measured at the lower of cost or market (LOCOM) under a non-continuous basis (moderate LOCOM), regardless of their actual measurement as of the reporting reference date. Assets measured at moderate LOCOM are assets for which LOCOM is applied only in specific circumstances. The applicable accounting framework provides for those circumstances, such as impairment, a prolonged decline in fair value compared to cost or change in the management intent. Under national GAAP based on BAD, Other non-trading non-derivative financial assets shall include financial assets that do not qualify for inclusion in other accounting portfolios. That accounting portfolio includes, among others, financial assets that are measured at LOCOM on a continuous basis (strict LOCOM). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM. Regardless of their measurement method, investments in subsidiaries, joint ventures and associates that are not fully or proportionally consolidated under the regulatory scope of consolidation are reported in Investments in subsidiaries, joint ventures and associates, except where they are classified as held for sale in accordance with IFRS 5. Derivatives – Hedge accounting shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only where there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

4.1.15.

(a) Financial assets held for trading;

(b) Non-trading financial assets mandatorily at fair value through profit or loss;

(c) Financial assets designated at fair value through profit or loss;

(d) Financial assets at fair value through other comprehensive income;

(e) Financial assets at amortised cost.

4.1.15.16.

(a) Trading financial assets;

(b) Non-trading non-derivative financial assets measured at fair value through profit or loss;

(c) ‘Non-trading non-derivative financial assets measured at fair value to equity;

(d) Non-trading non-derivative financial assets measured at a cost-based method;

(e) Other non-trading non-derivative financial assets.

4.2.23.24.25.26.

Financial liabilities The following accounting portfolios based on IFRS shall be used for financial liabilities: The following accounting portfolios based on national GAAP shall be used for financial liabilities: Trading financial liabilities includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex. Derivatives – Hedge accounting shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.

4.2.23.

(a) Financial liabilities held for trading;

(b) Financial liabilities designated at fair value through profit or loss;

(c) Financial liabilities measured at amortised cost.

4.2.23.24.

(a) Trading financial liabilities;

(b) Non-trading non-derivative financial liabilities measured at a cost-based method.

5.27.28.29. FINANCIAL INSTRUMENTS For the purposes of Annexes III and IV as well as this Annex, the carrying amount means the amount to be reported in the balance sheet. The carrying amount of financial instruments shall include accrued interest. Under the relevant national GAAP based on BAD, the carrying amount of derivatives either shall be the carrying amount under national GAAP including accruals, premium values and provisions if applicable, or it shall be equal to zero where derivatives are not recognised on-balance sheet. If recognised under the relevant national GAAP based on BAD, accruals and deferrals of financial instruments including interest accrual, premiums and discounts or transaction costs shall be reported together with the instrument and not as other assets or other liabilities. Where applicable under national GAAP based on BAD, Haircuts for trading positions valued at fair value shall be reported. The haircuts decrease the value of trading assets and increase the value of trading liabilities.

5.27.28.29.

5.1.30.31.32.33.

Financial assets Financial assets shall be distributed among the following classes of instruments: Cash on hand, Derivatives, Equity instruments, Debt securities and Loans and advances. Debt securities are debt instruments held by the institution issued as securities that are not loans, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. Loans and advances are debt instruments held by the institutions that are not securities. That item includes loans as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation (including demand deposits at credit institutions and central banks, irrespective of their classification as per the applicable accounting framework) as well as advances that cannot be classified as loans defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. Advances that are not loans are further characterized in paragraph 85(g) of Part 2 of this Annex. In FINREP, debt instruments shall include loans and advances and debt securities.

5.2.34. Gross carrying amount Gross carrying amount of debt instruments shall have the following meaning:

5.2.34.

(a) under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether those debt instruments are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative changes in fair value due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purposes of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;

(b) under IFRS for debt instruments at amortised cost, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance and for debt instruments at fair value through other comprehensive income, the amortised cost before adjusting for any loss allowance;

(c) under national GAAP based on BAD, for debt instruments classified as non-trading non-derivative financial assets measured at a cost-based method, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount;

(d) under national GAAP based on BAD, the gross carrying amount of debt instruments classified as Non-trading non-derivative financial assets measured at fair value to equity shall depend on whether those financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When those financial assets are not subject to impairment requirements, the gross carrying amount of those financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk;

(e) under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting reference period. Where those debt instruments are measured at market value, the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments;

(f) under national GAAP based on BAD, for debt instruments reported under Other non-trading non-derivative financial assets under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;

(g) for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before those haircuts.

5.3.35.36.37.38.39.40.41.

Financial liabilities Financial liabilities shall be distributed among the following classes of instruments: Derivatives, Short positions, Deposits, Debt securities issued and Other financial liabilities. For the purposes of Annexes III and IV as well as this Annex, deposits shall be deposits as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. Debt securities issued shall be debt instruments issued as securities by the institution that are not deposits, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation. Other financial liabilities shall include all financial liabilities other than derivatives, short positions, deposits and debt securities issued. Under IFRS, Other financial liabilities shall include financial guarantees given where they are measured either at fair value through profit or loss (IFRS 9.4.2.1(a)) or at the amount initially recognised less cumulative amortization (IFRS 9.4.2.1(c)(ii)). Loan commitments given shall be reported as Other financial liabilities where they are designated as financial liabilities at fair value through profit or loss (IFRS 9.4.2.1(a)) or they are commitments to provide a loan at a below-market interest rate (IFRS 9.2.3(c), IFRS 9.4.2.1(d)). Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as other financial liabilities and not as provisions for Commitments and guarantees given. Other financial liabilities shall also include dividends to be paid, amounts payable in respect of suspense and transit items, and amounts payable in respect of future settlements of transactions in securities or foreign exchange transactions where payables for transactions are recognised before the payment date.

6.42.43.44. COUNTERPARTY BREAKDOWN Where a breakdown by counterparty is required the following counterparty sectors shall be used: The counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done on the basis of the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE codes shall be driven by the characteristics of the more relevant or determinant obligor. The immediate counterparties in the following transactions shall be:

6.42.

(a) central banks;

(b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under credit institutions, other financial corporations or non-financial corporations depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements;

(c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account) and multilateral development banks (MDBs);

(d) other financial corporations: all financial corporations and quasi-corporations, other than credit institutions, such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders;

(e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II to the ECB BSI Regulation;

(f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (NPISH) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.

6.42.43.44.

(a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables;

(b) for debt securities (including securitisation instruments) and equity instruments, the issuer of the securities;

(c) for deposits, the depositor;

(d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement;

(e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs;

(f) for financial guarantees given, the counterparty shall be the direct counterparty of the underlying guaranteed debt instrument;

(g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution;

(h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution.

PART 2 TEMPLATE RELATED INSTRUCTIONS

1. BALANCE SHEET

1.

1.1.1.2.3.4.5.6.7.

Assets (1.1) Cash on hand shall include holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments. Cash balances at central banks shall include loans and advances that are balances receivable on demand at central banks. Other demand deposits shall include loans and advances that are balances receivable on demand with credit institutions. Investments in subsidiaries, joint ventures and associates shall include the investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated under the regulatory scope of consolidation, except where they shall be classified as held for sale in accordance with IFRS 5, irrespective of how they are measured, including where the accounting standards allow for them to be included in the different accounting portfolios used for financial instruments. The carrying amount of investments accounted for using the equity method shall include related goodwill. Assets that are not financial assets and that due to their nature could not be classified in specific balance sheet items shall be reported in Other assets. Other assets shall include, among others, gold, silver and other commodities, even where they are held with trading intent. Under the relevant national GAAP based on BAD, the carrying amount of repurchased own shares shall be reported as other assets where presentation as asset is allowed under the relevant national GAAP. Non-current assets and disposal groups classified as held for sale shall have the same meaning as under IFRS 5.

1.2.8.9.10.11.12.13.14.15.

Liabilities (1.2) Under national GAAP based on BAD, provisions for contingent losses arising from the ineffective part of portfolio hedge relationship shall be reported in row Derivatives – Hedge accounting where the loss arises from the valuation of the hedging derivative, or in row Fair value changes of the hedged items in portfolio hedge of interest rate risk where the loss arises from the valuation of the hedged position. Where no distinction between losses arising from the valuation of the hedging derivative and loss arising from the valuation of the hedged position is possible, all provisions for contingent losses arising from the ineffective part of the portfolio hedge relationship shall be reported in row Derivatives – Hedge accounting. Provisions for Pensions and other post-employment defined benefit obligations shall include the amount of net defined benefit liabilities. Under IFRS, provisions for Other long-term employee benefits shall include the amount of the deficits in the long-term employment benefit plans listed in IAS 19.153. The accrued expense from short-term employee benefits (IAS 19.11(a)), defined contribution plans (IAS 19.51(a)) and termination benefits (IAS 19.169(a)) shall be included in Other liabilities. Under IFRS, provisions for Commitments and guarantees given shall include provisions related to all commitments and guarantees, irrespective of whether their impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or whether they are treated as insurance contracts under IFRS 4. Liabilities arising from commitments and financial guarantees measured at fair value through profit or loss shall not be reported as provisions although they are due to credit risk, but as other financial liabilities in accordance with paragraph 40 of Part 1 of this Annex. Under national GAAP based on BAD, provisions for Commitments and guarantees given shall include provisions related to all commitments and guarantees. Share capital repayable on demand shall include the capital instruments issued by the institution that do not meet the criteria to be classified in equity. Institutions shall include in this item the cooperative shares that do not meet the criteria to be classified in equity. Liabilities that are not financial liabilities and that due to their nature could not be classified in specific balance sheet items shall be reported in Other liabilities. Liabilities included in disposal groups classified as held for sale shall have the same meaning as under IFRS 5. Under national GAAP based on BAD Funds for general banking risks are amounts that have been assigned in accordance with Article 38 of BAD. Where recognised, they shall appear separately either as liabilities under provisions or within equity under other reserves in accordance with the relevant national GAAP.

1.3.16.17.18.19.20.21.22.23.24.25.26.27.28.29.30.

Equity (1.3) Under IFRS, equity instruments that are financial instruments shall include those contracts under the scope of IAS 32. Under the relevant national GAAP based on BAD, Unpaid capital which has been called up shall include the carrying amount of capital issued by the institution that has been called-up to the subscribers but not paid at the reference date. If capital increase, not yet paid, is recorded as an increase of share capital, unpaid capital which has been called up shall be reported in Unpaid capital which has been called up in template 1.3 as well as in other assets in template 1.1. Under the relevant national GAAP based on BAD, where capital increase can be recorded only following the receipt of the payment from shareholders, unpaid capital shall not be reported in template 1.3. Equity component of compound financial instruments shall include the equity component of compound financial instruments (that is, financial instruments that contain both a liability and an equity component) issued by the institution, where segregated in accordance with the relevant accounting framework (including compound financial instruments with multiple embedded derivatives the values of which are interdependent). Other equity instruments issued shall include equity instruments that are financial instruments other than Capital and Equity component of compound financial instruments. Other equity shall comprise all equity instruments that are not financial instruments including, among others, equity-settled share-based payment transactions (IFRS 2.10). Fair value changes of equity instruments measured at fair value through other comprehensive income shall include accumulated gains and losses due to changes in fair value on investments in equity instruments for which the reporting entity has made the irrevocable election to present changes in fair value in other comprehensive income. Hedge ineffectiveness of fair value hedges for equity instruments measured at fair value through other comprehensive income shall comprise the accumulated hedge ineffectiveness arising in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. Hedge ineffectiveness reported in this row shall be the difference between the accumulated variation of the fair value of the equity instrument reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) and the accumulated variations of the fair value of the hedging derivative reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument) (IFRS 9.6.5.3 and IFRS 9.6.5.8). Fair value changes of financial liabilities at fair value through profit or loss attributable to changes in the credit risk shall include accumulated gains and losses recognised in other comprehensive income and related to own credit risk for liabilities designated at fair value through profit or loss, regardless of whether the designation takes place at initial recognition or subsequently. Hedge of net investments in foreign operations (effective portion) shall include the foreign currency translation reserve for the effective portion of both on-going hedges of net investments in foreign operations and hedges of net investments in foreign operations that no longer apply while the foreign operations remain recognised in the balance sheet. Hedging derivatives. Cash flow hedges reserve (effective portion) shall include the cash flow hedge reserve for the effective portion of the variation in fair value of hedging derivatives in a cash flow hedge, both for on-going cash flow hedges and cash flow hedges that no longer apply. Fair value changes of debt instruments measured at fair value through other comprehensive income shall include accumulated gains or losses on debt instruments measured at fair value through other comprehensive income, net of the loss allowance that is measured at the reporting date in accordance with IFRS 9.5.5. Hedging instruments (not designated elements) shall include the accumulated changes in fair value of all of the following: Under IFRS, Revaluation reserves shall include the amount of reserves resulting from first-time adoption to IAS that have not been released to other type of reserves. Other reserves shall be split between Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method and Other. Reserves or accumulated losses of investments in subsidiaries, joint ventures and associates accounted for using the equity method shall include the accumulated amount of income and expenses generated by the aforementioned investments through profit or loss in past years where they are accounted for using the equity method. Other shall include reserves different from those separately disclosed in other items and may include legal reserve and statutory reserve. Treasury shares shall cover all financial instruments that have the characteristics of own equity instruments which have been reacquired by the institution while they are not sold or amortised, except where under the relevant national GAAP based on BAD they shall be reported in other assets.

1.3.16.17.18.19.20.21.22.23.24.25.26.27.

(a) the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument (IFRS 9.6.5.15);

(b) the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument;

(c) the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument (IFRS 9.6.5.15, IFRS 9.6.5.16).

2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.47.48.48i.49.50.51.52.53.54.55.56.

STATEMENT OF PROFIT OR LOSS (2) Interest income and interest expense from financial instruments measured at fair value through profit or loss and from hedging derivatives classified in the category hedge accounting shall be reported either separately from other gains and losses under items interest income and interest expense (clean price) or as part of gains or losses from these categories of instruments (dirty price). The clean or dirty price approach shall be applied consistently for all financial instruments measured at fair value through profit or loss and for hedging derivatives classified in the category hedge accounting. Institutions shall report the following items, which include income and expense in relation to related parties not fully or proportionally consolidated under the regulatory scope of consolidation, broken down by accounting portfolios: Interest income. Financial assets held for trading and Interest expenses. Financial liabilities held for trading shall include, where the clean price is used, the amounts related to those derivatives classified in the category held for trading which are hedging instruments from an economic but not accounting point of view to present correct interest income and expenses from the financial instruments that are hedged. Where the clean price is used, Interest income. Financial assets held for trading and Interest expenses. Financial liabilities held for trading shall also include time-apportioned fees and balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion (IFRS 9.6.7). Interest income. Derivatives – Hedge accounting, interest rate risk and Interest expenses. Derivatives – Hedge accounting, interest rate risk shall include, where the clean price is used, the amounts related to those derivatives classified in the category hedge accounting which cover interest rate risk, including hedges of a group of items with offsetting risk positions (hedges of a net position) whose hedged risk affect different line items in the statement of profit or loss. Where the clean price is used, those amounts shall be reported as interest income and expenses on a gross basis to present correct interest income and expenses from the hedged items to which they are linked. With clean price, where the hedged item generates interest income (expense), those amounts shall be reported as an interest income (expense) even where it is a negative (positive) amount. Interest income – other assets shall include amounts of interest income not included in the other items, like interest income related to cash, cash balances at central banks and other demand deposits and to non-current assets and disposal groups classified as held for sale as well as net interest income from net defined benefit asset. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial liabilities with a negative effective interest rate shall be reported in Interest income on liabilities. These liabilities and their interests give rise to a positive yield for an institution. Interest expenses – other liabilities shall include amounts of interest expenses not included in the other items, like interest expenses related to liabilities included in disposal groups classified as held for sale, expenses derived from increases in the carrying amount of a provision reflecting the passage of time or net interest expenses from net defined benefit liabilities. Under IFRS and where not provided otherwise in national GAAP, interest in relation to financial assets with a negative effective interest rate shall be reported in Interest expense on assets. Those assets and their interests give rise to a negative yield for an institution. Dividend income on equity instruments measured at fair value through profit or loss shall be reported either as dividend income separately from other gains and losses from those classes of instruments where the clean price is used, or as part of gains or losses from those classes of instruments where the dirty price is used. Dividend income on equity instruments designated at fair value through other comprehensive income shall encompass dividends related to instruments derecognised during the reporting reference period and dividends related to instruments held at the end of the reporting reference period. Dividend income from investments in subsidiaries, joint ventures and associates shall include the dividends of those investments where they are accounted for using other than the equity method. Gains or (-) losses on financial assets and liabilities held for trading, net shall include gains and losses in the remeasurement and derecognition of financial instruments classified as held for trading. This item shall also include gains and losses on credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss, as well as dividend and interest income and expense on financial assets and liabilities held for trading where the dirty price is used. Gains or losses on financial assets and liabilities designated at fair value through profit or loss shall include also the amount recognised in the statement of profit or loss for the own credit risk of liabilities designated at fair value where recognising own credit risk changes in other comprehensive income creates or enlarges an accounting mismatch (IFRS 9.5.7.8). This item shall include also gains and losses on the hedged instruments that are designated as measured at fair value through profit or loss where the designation is used to manage credit risk, as well as interest income and expense on financial assets and liabilities designated at fair value through profit or loss where the dirty price is used. Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss shall not include gains on equity instruments that a reporting entity choses to measure at fair value through other comprehensive income (IFRS 9.5.7.1(b)). Where a change in business model leads to the reclassification of a financial asset into a different accounting portfolio, the gains or losses from the reclassification shall be reported in the relevant rows of the accounting portfolio in which the financial asset is reclassified, in accordance with the following: Gains or (-) losses from hedge accounting, net shall include gains and losses on hedging instruments and on hedged items, including those on hedged items measured at fair value through other comprehensive income other than equity instruments, in a fair value hedge in accordance with IFRS 9.6.5.8. It shall also include the ineffective part of the variation of the fair value of the hedging instruments in a cash flow hedge. The reclassifications of the cash flow hedges reserve or of the reserve for hedges of net investment in a foreign operation shall be recognised in the same rows of the Statement of profit or loss as those impacted by the cash flows from the hedged items. Gains or (-) losses from hedge accounting, net shall include also the gains and losses from hedges of net investment in foreign operations. This item shall also include gains on hedges of net positions. Gains or losses on derecognition of non-financial assets shall include the gains and losses on derecognition of non-financial assets, except where classified as held for sale or as investments in subsidiaries, joint ventures and associates. Cash contributions to resolution funds and deposit guarantee schemes shall include the amounts of contributions to resolution funds and deposit guarantee schemes where they are paid in the form of cash. Where the contribution is made in the form of a payment commitment, this payment commitment shall be included in provisions or (-) reversal of provisions, if the payment commitment gives rise to a liability in accordance with the applicable accounting standard. Modification gains or (-) losses, net shall include the amounts arising from adjusting the gross carrying amounts of financial assets to reflect the renegotiated or modified contractual cash flows (IFRS 9.5.4.3 and Appendix A). The modification gains or losses shall not include the impact of modifications on the amount of expected credit losses, which shall be reported in Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss. Provisions or (-) reversal of provisions. Commitments and guarantees given shall include the net charges in the Statement of profit or loss for provisions on all commitments and guarantees in the scope of IFRS 9, IAS 37 or IFRS 4 in accordance with paragraph 11 of this Part, or under national GAAP based on BAD. Under IFRS, any change in the fair value of commitments and financial guarantees measured at fair value shall be reported in Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net. Provisions therefore include the impairment amount for commitments and guarantees for which impairment is determined in accordance with IFRS 9 or their provisioning follows IAS 37 or they are treated as insurance contracts under IFRS 4. Under IFRS, Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss shall include all impairment gains or losses for debt instruments arising from the application of the impairment rules in IFRS 9.5.5, regardless of whether the expected credit losses in accordance with IFRS 9.5.5 are estimated over a 12-month or a lifetime period, and including the impairment gains or losses for trade receivables, contract assets and lease receivables (IFRS 9.5.5.15). Under national GAAP based on BAD Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit and loss shall include all allowances and reversal of allowances of financial instruments measured at cost based methods due to the change in creditworthiness of the debtor or issuer, as well as, depending on the specifications of the national GAAP, the allowances due to the impairment of financial instruments measured at fair value through equity and other measurement methods, including LOCOM. Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss shall also include the amounts written off – as defined in paragraph 72, 74 and 165(b) of this Part of this Annex- that exceed the amount of the loss allowance at the date of write-off and are therefore recognised as a loss directly in profit or loss, as well as recoveries of previously written-off amounts recorded directly to the statement of profit or loss. The share of profit or loss from subsidiaries, associates and joint ventures which are accounted for under the equity method in the regulatory scope of consolidation shall be reported within Share of the profit or (-) loss of investments in subsidiaries, joint ventures and associates accounted for using the equity method. According to IAS 28.10, the carrying amount of the investment shall be reduced by the amount of dividends paid by those entities. The impairment on those investments shall be reported in (Impairment or (-) reversal of impairment of investments in subsidiaries, joint ventures and associates). Gains or losses on derecognition of these investments shall be reported in accordance with paragraph 55 and 56of this Part. Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations shall include profit or loss generated by non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations. Under IFRS, the gains or losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported within Profit or (-) loss before tax from discontinued operations where they are considered discontinued operations under IFRS 5. Where investments in subsidiaries, joint ventures and associates are derecognised without being previously classified as held for sale and without being qualified as discontinued operations under IFRS 5, any gains or losses on derecognition of these investments shall be reported in Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net, irrespective of the consolidation method applied. Under national GAAP based on BAD, all gains and losses on derecognition of investments in subsidiaries, joint ventures and associates shall be reported in Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net.

2.31.32.

(a) Interest income;

(b) Interest expense;

(c) Dividend income;

(d) Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net;

(e) Modification gains or losses, net;

(f) Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss.

2.31.32.33.34.35.36.37.38.39.40.41.42.43.44.45.46.

(a) where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio (IFRS 9.5.6.2), gains or losses due to the reclassification shall be reported in Gains or (-) losses on financial assets and liabilities held for trading, net or Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net, as applicable;

(b) where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7), the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in Gains or (-) losses on financial assets and liabilities held for trading, net or Gains or (-) losses on non-trading financial assets mandatorily at fair value through profit or loss, net, as applicable.

3.57.58.59.60.61.62.63.64.65.66.

STATEMENT OF COMPREHENSIVE INCOME (3) Gains or (-) losses from hedge accounting of equity instruments at fair value through other comprehensive income shall include the change in the accumulated hedge ineffectiveness in fair value hedges in which the hedged item is an equity instrument measured at fair value through other comprehensive income. The change in accumulated hedge ineffectiveness reported in this row shall be the difference between the changes in the variation of the fair value of the equity instrument reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedged item) and the changes in the variation of the fair value of the hedging derivative reported in Fair value changes of equity instruments measured at fair value through other comprehensive income (hedging instrument). Hedge of net investments in foreign operations (effective portion) shall include the change in the accumulated foreign currency translation reserve for the effective portion of both on-going and discontinued hedges of net investments in foreign operations. For hedges of net investment in foreign operations and cash flow hedges, the respective amounts reported in Transferred to profit or loss shall include amounts transferred because the hedged flows have occurred and are no longer expected to occur. Hedging instruments (not designated elements) shall include changes in the accumulated changes in fair value of all of the following where they are not designated as a hedging component: For options, the amounts reclassified to profit or loss and reported in Transferred to profit or loss shall include reclassifications due to options that hedge a transaction-related hedged item and options that hedge a time-period related hedge item. Debt instruments at fair value through other comprehensive income shall include gains or losses on debt instruments measured at fair value through other comprehensive income other than impairment gains or losses and foreign exchange gains and losses, that shall respectively be reported in (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss) and in Exchange differences (gain or (-) loss), net in template 2. Transferred to profit or loss in particular shall include the transfer to profit or loss due to derecognition or reclassification into the fair value through profit or loss measurement category. Where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through other comprehensive income measurement category (IFRS 9.5.6.4), the gains or losses arising due to the reclassification shall be reported in Debt instruments at fair value through other comprehensive income. Where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category (IFRS 9.5.6.7) or into the amortised cost measurement category (IFRS 9.5.6.5), the reclassified cumulative gains and losses previously recognised in other comprehensive income shall be respectively reported in Transferred to profit or loss and in Other reclassifications, adjusting in the latter case the carrying amount of the financial asset. For all components of the other comprehensive income, Other reclassifications shall include transfers other than the reclassifications from the other comprehensive income to the profit or loss or to the initial carrying amount of hedged items in the case of cash flow hedges. Under IFRS Income tax relating to items that will not be reclassified and Income tax relating to items that may be reclassified to profit or (-) loss (IAS 1.91 (b), IG6) shall be reported as separate line items.

3.57.58.59.60.

(a) time value of options;

(b) forward elements of forward contracts;

(c) foreign exchange basis spread of financial instruments.

4.67.68.69.70.71.72.73.74.75.76.78.79.80.81.82.

BREAKDOWN OF FINANCIAL ASSETS BY INSTRUMENT AND BY COUNTERPARTY SECTOR (4) Financial assets shall be broken down by accounting portfolio and instrument and – where required – by counterparty. For debt instruments measured at fair value through other comprehensive income and at amortised cost, the gross carrying amount of assets and accumulated impairments shall be broken down by impairment stages, except where they are purchased or originated financial assets that are credit-impaired at initial recognition as defined in IFRS 9 Appendix A. For these assets, the gross carrying amount and accumulated impairment shall be separately reported, outside the impairment stages, in templates 4.3.1 and 4.4.1. Derivatives reported as trading financial assets under GAAP based on BAD include instruments measured at fair value as well as instruments measured at cost-based methods or LOCOM. For the purposes of Annexes III and IV as well as this Annex, accumulated negative changes in fair value due to credit risk means, for non-performing exposures, accumulated changes in fair value due to credit risk where the accumulated net change is negative. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the debt instrument. That amount shall only be reported where the addition of positive and negative changes in fair value due to credit risk results in a negative amount. The valuation of the debt instruments shall be performed on the level of single financial instruments. For each debt instrument, Accumulated negative changes in fair value due to credit risk shall be reported until the derecognition of the instrument. For the purposes of Annexes III and IV as well as this Annex, accumulated impairment shall have the following meaning: Under IFRS, accumulated impairment shall include the allowance for expected credit losses for financial assets under each of the impairment stages specified by IFRS 9 and the allowance for purchased or originated credit-impaired financial assets. Under national GAAP based on BAD, it shall include specific and general allowance for credit risk, as well as the general allowance for banking risk where it reduces the carrying amount of debt instruments. Accumulated impairment shall also include the credit risk-induced value adjustments on financial assets under LOCOM. Accumulated partial write-offs and Accumulated total write-offs shall include, respectively, the accumulated partial and total amount as at the reference date of principal and accrued past due interest and fees of any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 because the institution has no reasonable expectations of recovering the contractual cash flows. Those amounts shall be reported until the total extinguishment of all the reporting institution’s rights by expiry of the statute-of-limitations period, forgiveness or other causes, or until recovery. Therefore, where the written-off amounts are not recovered, they shall be reported while they are subject to enforcement activities. Where a debt instrument is eventually totally written-off because of successive partial write-offs, the cumulative amount written-off shall be reclassified from the Accumulated partial write-offs into the Accumulated total write-offs column. Write-offs shall constitute a derecognition event and relate to a financial asset in its entirety or to a portion of it, including where the modification of an asset leads the institution to give up its right of collecting cash flows on a portion or the entirety of this asset as further explained in paragraph 72. Write-offs shall include amounts caused by both reductions of the carrying amount of financial assets recognised directly in profit or loss and reductions in the amounts of the allowance accounts for credit losses taken against the carrying amount of financial assets. The column of which: Instruments with low credit risk shall include instruments that are determined to have low credit risk at the reporting date and for which the institution assumes that the credit risk has not increased significantly since initial recognition in accordance with IFRS 9.5.5.10. Trade receivables within the meaning of IAS 1.54(h), contract assets and lease receivables for which the simplified approach of IFRS 9.5.5.15 for the estimation of loss allowances has been applied, shall be reported within loans and advances in template 4.4.1. The corresponding loss allowance for those assets that are not purchased or originated credit-impaired financial assets shall be reported in either Accumulated impairment on assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) or Accumulated impairment on credit-impaired assets (Stage 3), depending on whether trade receivables, contract assets or lease receivables under the simplified approach are considered as credit-impaired assets. In template 4.5, institutions shall report the carrying amount of Loans and advances and Debt securities that fall within the definition of subordinated debt in paragraph 100 of this Part. In template 4.8, information to be reported depends on whether Non-trading non-derivative financial assets measured at fair value to equity can be subject to impairment requirements in application of the national GAAP based on BAD. Where those financial assets are subject to impairment, institutions shall report information in this template that relates to the carrying amount, the gross carrying amount of unimpaired assets and impaired assets, accumulated impairment and accumulated write-offs. Where those financial assets are not subject to impairment, institutions shall report the accumulated negative changes in fair value due to credit risk for non-performing exposures. In template 4.9, financial assets measured under moderate LOCOM and their associated value adjustments shall be identified separately from other financial assets measured at a cost-based method and their associated impairment. Financial assets under a cost-based method, including financial assets under moderate LOCOM, shall be reported as unimpaired assets where they have no value adjustments or impairment associated with them, and as impaired assets in case they have value adjustments that qualify as impairment or impairment associated with them. Value adjustments that qualify as impairment shall be credit risk-induced value adjustments reflecting the deterioration of the creditworthiness of the counterparty. Financial assets under moderate LOCOM with market-risk induced value adjustments reflecting the impact of changes in the market conditions on the value of the asset shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately. In template 4.10, assets measured at strict LOCOM as well as their associated value adjustments shall be reported separately from assets under other measurement methods. Financial assets under strict LOCOM and financial assets under other measurement methods shall be reported as impaired assets in case they have credit-risk induced value adjustments as defined in paragraph 80 or impairment associated with them. Financial assets under strict LOCOM with market risk induced value adjustments as defined in paragraph 80 shall not be considered as impaired. Accumulated credit-risk induced and market-risk induced value adjustments shall be reported separately. Under national GAAP based on BAD, the amount of general allowances for banking risk to be reported in the applicable templates shall only be the part that affects the carrying amount of debt instruments (BAD Article 37.2).

4.67.68.69.70.

(a) for debt instruments measured at amortised cost or at a cost-based method, that are not purchased or originated credit-impaired financial assets, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD;

(b) for debt instruments measured at fair value through other comprehensive income under IFRS that are not purchased or originated credit-impaired financial assets, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition;

(c) for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event.

(d) for purchased or originated credit-impaired financial assets, the initial estimate of lifetime expected credit losses is incorporated into the calculation of the credit-adjusted effective interest rate and accumulated impairment is the sum of subsequent changes in lifetime expected credit losses since initial recognition that are recognized as a variation of carrying amount/fair value on a given instrument. Accumulated impairment for purchased or originated credit-impaired financial assets can be positive in case of impairment gains exceeding any previously recognised impairment losses (IFRS 9.5.5.14).

5.83.84.85.86.87.88.89.

BREAKDOWN OF NON-TRADING LOANS AND ADVANCES BY PRODUCT (5) Loans and advances other than those held for trading, trading assets or held for sale assets shall be broken down by type of product and by counterparty sector for the carrying amount and by type of products only for the gross carrying amount. Balances receivable on demand classified as Cash, cash balances at central banks and other demand deposits shall also be reported in this template independently of how they are measured. Loans and advances shall be allocated to the following products: Loans and advances shall be classified on the basis of the collateral received as follows: Loans and advances shall be classified based on the collateral and irrespective of the purpose of the loan. The carrying amount of loans and advances secured by more than one type of collateral shall be classified and reported as collateralised by immovable property where those loans and advances are secured by immovable property regardless of whether they are also secured by other types of collateral. Loans and advances shall be classified on the basis of their purpose as: Loans shall be classified on the basis of how they can be recovered. Project finance loans shall include loans that meet the characteristics of specialised lending exposures as referred to in Article 147(8) CRR.

5.83.84.85.

(a) on demand (call) and short notice (current account) shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include overdrafts that are debit balances on current account balances and compulsory reserves held at the central bank;

(b) Credit card debt shall include credit granted either via delayed debit cards or via credit cards as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;

(c) Trade receivables shall include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. That item shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse);

(d) Finance leases shall include the carrying amount of finance lease receivables. Under IFRS, finance lease receivables are as defined in IAS 17;

(e) Reverse repurchase loans shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part;

(f) Other term loans shall include debit balances with contractually fixed maturities or terms that are not included in other items;

(g) Advances that are not loans shall include advances that cannot be classified as loans in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. That item shall include, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).

5.83.84.85.86.

(a) Loans collateralized by immovable property shall include loans and advances formally secured by residential or commercial immovable property collateral, regardless of their loan/collateral ratio (commonly referred as loan-to-value) and the legal form of the collateral;

(b) Other collateralized loans shall include loans and advances formally secured by collateral, regardless of their loan/collateral ratio (commonly referred to as loan-to-value (LTV) ratio) and the legal form of the collateral, other than Loans collateralised by immovable property. That collateral shall include pledges of securities, cash, and other collateral, regardless of the legal form of the collateral.

5.83.84.85.86.87.88.

(a) Credit for consumption shall include loans granted mainly for the personal consumption of goods and services, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation;

(b) Lending for house purchase shall include credit extended to households for the purpose of investing in houses for own use or rental, including building and refurbishments, as defined in the Table of Part 2 of Annex II to the ECB BSI Regulation.

6.90.91.92.93.

BREAKDOWN OF NON-TRADING LOANS AND ADVANCES TO NON-FINANCIAL CORPORATIONS BY NACE CODES (6) Gross carrying amount of loans and advances to non-financial corporations other than those included in the held for trading, trading or held for sale portfolios shall be classified by sector of economic activities using NACE Codes on the basis of the principal activity of the counterparty. The classification of the exposures incurred jointly by more than one obligor shall be done in accordance with paragraph 43 of Part 1 of this Annex. Reporting of NACE codes shall be done with the first level of disaggregation (by section). Institutions shall report loans and advances to non-financial corporations which engage in financial or insurance activities in K – Financial and insurance activities. Under IFRS, financial assets subject to impairment are those included in the following accounting portfolios: (i) financial assets at amortised cost, and (ii) financial assets at fair value through other comprehensive income. Under national GAAP based on BAD, financial assets subject to impairment shall include financial assets measured at a cost-based method, including under LOCOM. Depending on the specifications in each national GAAP, they may include (i) financial assets measured at fair value through equity, and (ii) financial assets under other measurement methods.

7.94.95.96. FINANCIAL ASSETS SUBJECT TO IMPAIRMENT THAT ARE PAST DUE (7) The carrying amount of debt instruments that are included in the accounting portfolios subject to impairment shall be reported in template 7.1 only where they are past due. Past-due instruments shall be allocated to the corresponding past-due buckets on the basis of their individual situation. Accounting portfolios subject to impairment shall be financial assets subject to impairment, as defined as in paragraph 93 of this Part. Financial assets shall qualify as past due where any amount of principal, interest or fee has not been paid at the date it was due. Past due exposures shall be reported for their entire carrying amount and broken down according to the number of days of the oldest past due amount unpaid at the reference date. Under IFRS, the carrying amounts of assets that are not purchased or originated credit-impaired financial assets shall be reported by impairment stages; the carrying amount of purchased or originated credit-impaired financial assets shall be separately reported. Under national GAAP based on BAD, past-due assets shall be reported by impairment status in accordance with the applicable accounting standards.

8.97.98.99.100.101.

BREAKDOWN OF FINANCIAL LIABILITIES (8) Deposits and the product breakdown shall be defined in accordance with the Table of Part 2 of Annex II to the ECB BSI Regulation. Regulated savings deposits shall be classified in accordance with the ECB BSI Regulation and distributed according to the counterparty. In particular, non-transferable sight savings deposits, which although legally redeemable at demand are subject to significant penalties and restrictions and have features that are very similar to overnight deposits, shall be classified as deposits redeemable at notice. Debt securities issued shall be disaggregated into the following type of products: Subordinated financial liabilities issued shall be treated in the same way as other financial liabilities incurred. Subordinated liabilities issued in the form of securities shall be classified as Debt securities issued and subordinated liabilities in the form of deposits are classified as Deposits. Template 8.2 shall include the carrying amount of Deposits and Debt securities issued that shall be subordinated debt, as determined in Table of Part 2 of Annex II to the ECB BSI Regulation, classified by accounting portfolios. Subordinated debt instruments provide a subsidiary claim on the issuing institution that can only be exercised after all claims with a higher status have been satisfied. Accumulated changes in fair value due to changes in own credit risk shall include all the said accumulative changes in fair value, regardless of whether they are recognised in profit or loss or in the other comprehensive income.

8.97.98.

(a) Certificates of deposits shall be securities that enable the holders to withdraw funds from an account;

(b) Asset backed securities shall be securities derived from securitisation transactions as defined in point (61) of Article 4(1) CRR;

(c) Covered Bonds as referred to in Article 129(1) CRR;

(d) Hybrid contracts shall comprise contracts with embedded derivatives that are not included in the products referred to in points (b) and (c) or classified as convertible compound financial instruments under point (e);

(e) Other debt securities issued shall be debt securities that are not included in the products referred to in points (a) to (d) and shall distinguish between convertible compound financial instruments and non-convertible instruments.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.117.118.119.

LOAN COMMITMENTS, FINANCIAL GUARANTEES AND OTHER COMMITMENTS (9) Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I to CRR. In templates 9.1, 9.1.1 and 9.2, all off-balance sheet exposures listed in Annex I to CRR shall be broken down in loan commitments, financial guarantees, and other commitments. Information on loan commitments, financial guarantees and other commitments given and received shall include both revocable and irrevocable commitments. Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4. Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met: Liabilities that shall be recognised as credit losses for the financial guarantees and commitments given referred to under points (a) and (c) of paragraph 105 of this Part of this Annex shall be reported as provisions regardless of the measurement criteria applied. Institutions under IFRS shall report the nominal amount and provisions of instruments that are subject to the impairment requirements of IFRS 9, including those measured at initial cost less cumulative income recognised, broken down by impairment stages, except where they are deemed credit-impaired at initial recognition consistently with the definition of purchased or originated financial assets of IFRS 9 Appendix A. For these exposures, the nominal amount and provisions shall be separately reported, outside the impairment stages in template 9.1.1. Only the nominal amount of the commitment shall be reported in template 9.1.1 where a debt instrument includes both an on-balance sheet instrument and an off-balance sheet component. Where the reporting entity is unable to identify separately the expected credit losses on the on-balance sheet and off-balance components, the expected credit losses on the commitment shall be reported together with the accumulated impairment on the on-balance sheet component. Where the combined expected credit losses exceed the gross carrying amount of the debt instrument, the remaining balance of the expected credit losses shall be reported as a provision in the appropriate column in template 9.1.1 (IFRS 9.5.5.20 and IFRS 7.B8E). A financial guarantee or a commitment to provide a loan at a below-market rate that is measured in accordance with IFRS 9.4.2.1(d) and for which its loss allowance is determined in accordance with IFRS 9.5.5 shall be reported in the appropriate column. Where loan commitments, financial guarantees and other commitments are measured at fair value in accordance with IFRS 9, institutions shall report in template 9.1.1 the nominal amount and accumulated negative changes in fair value due to credit risk of those financial guarantees and commitments in dedicated columns. Accumulated negative changes in fair value due to credit risk shall be reported applying the criteria of paragraph 69of this Part. The nominal amount and provisions of other commitments or guarantees that are within the scope of IAS 37 or IFRS 4 shall be reported in dedicated columns. Institutions under national GAAP based on BAD shall report in template 9.1 the nominal amount of commitments and financial guarantees referred to in paragraphs 102 and 103, as well as the amount of provisions required to be held against those off-balance sheet exposures. Loan commitments shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as Loan commitments: Financial guarantees shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as financial guarantees: Other commitments shall include the following items of Annex I to CRR: Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures: The item of which: non-performing shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213 to 239 of this Part. For financial guarantees, loan commitments and other commitments given, the Nominal amount shall be the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques. In template 9.2, for loan commitments received, the nominal amount shall be the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received, the nominal amount shall be the total amount committed by the other party in the transaction. For financial guarantees received, the maximum amount of the guarantee that can be considered shall be the maximum amount the counterparty would have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk.

9.102.103.104.105.

(a) they are subject to impairment requirements of IFRS 9;

(b) they are designated at fair value through profit or loss under IFRS 9;

(c) they are within the scope of IAS 37 or IFRS 4.

9.102.103.104.105.106.107.108.109.110.111.112.113.

(a) Forward deposits;

(b) Undrawn credit facilities, which comprise agreements to lend or provide acceptance facilities under pre-specified terms and conditions.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.

(a) Guarantees having the character of credit substitute;

(b) Credit derivatives that meet the definition of financial guarantee;

(c) Irrevocable standby letters of credit having the character of credit substitutes.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.

(a) Unpaid portion of partly-paid shares and securities;

(b) Documentary credits issued or confirmed;

(c) Trade finance off-balance sheet items;

(d) Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions;

(e) Warranties and indemnities (including tender and performance bonds) and guarantees not having the character of credit substitutes;

(f) Shipping guarantees, customs and tax bonds;

(g) Note issuance facilities (NIFs) and Revolving underwritings facilities (RUFs);

(h) Undrawn credit facilities which comprise agreements to lend or provide acceptance facilities where the terms and conditions are not pre-specified;

(i) Undrawn credit facilities which comprise agreements to purchase securities or provide guarantees;

(j) Undrawn credit facilities for tender and performance guarantees;

(k) Other off-balance sheet items in Annex I to CRR.

9.102.103.104.105.106.107.108.109.110.111.112.113.114.115.116.

(a) Credit derivatives that do not meet the definition of financial guarantees are derivatives under IFRS 9;

(b) Acceptances are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as trade receivables on the balance sheet;

(c) Endorsements on bills that do not meet the criteria for derecognition under IFRS 9;

(d) Transactions with recourse that do not meet the criteria for derecognition under IFRS 9;

(e) Assets purchased under outright forward purchase agreements are derivatives under IFRS 9;

(f) Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 86/635/EEC. In those contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified or on a date to be specified. Therefore, those contracts meet the definition of derivatives in Appendix A to IFRS 9.

10.120.121.122.123.124.125.126.127.128.

DERIVATIVES AND HEDGE ACCOUNTING (10 AND 11) For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases. The carrying amount and the notional amount of the derivatives held for trading, including economic hedges, as well as the derivatives held for hedge accounting shall be reported broken down by type of underlying risk, type of market and type of product in templates 10 and 11. Institutions shall report the derivatives held for hedge accounting also broken down by type of hedge. Information on non-derivative hedging instruments shall be reported separately and broken down by types of hedges. Under the relevant national GAAP based on BAD, all derivatives shall be reported in these templates irrespective of whether they are or are not recognised on the balance sheet under the relevant national GAAP. The breakdown of the carrying amount, fair value and notional amount of trading and hedging derivatives by accounting portfolios and types of hedges shall be implemented taking into consideration the accounting portfolios and types of hedges that are applicable in IFRS or national GAAP under BAD, whichever framework applies to the reporting entity. Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately. Template 11 shall include hedging instruments and hedged items irrespective of the accounting standard used to recognise a qualifying hedge relationship, including where that qualifying hedge relationship concerns a net position. Where an institution has elected to keep applying IAS 39 for hedge accounting (IFRS 9.7.2.21), the references and names for the types of hedges and accounting portfolios shall be read as the relevant references and names in IAS 39.9: Financial assets measured at fair value through other comprehensive income shall refer to Available for sale assets, and Assets at amortised cost shall gather Held to maturity as well as ‘Loans and receivables. Derivatives included in hybrid instruments, which have been separated from the host contract, shall be reported in templates 10 and 11 according to the nature of the derivative. The amount of the host contract is not included in those templates. However, where the hybrid instrument is measured at fair value through profit or loss, the contract shall be reported as a whole and the embedded derivatives shall not be reported in templates 10 and 11. Commitments considered as derivatives (IFRS 9.2.3(b)) and credit derivatives that do not meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported in template 10 and template 11 following the same breakdowns as the other derivative instruments, but not be reported in template 9. The carrying amount of non-derivative financial assets or non-derivative financial liabilities that are recognised as hedging instrument in application of IFRS or the relevant national GAAP under BAD shall be reported separately in template 11.3.

10.1.129.130.

Classification of derivatives by type of risk All derivatives shall be classified into one of the following risk categories: Where a derivative is influenced by more than one type of underlying risk, the instrument shall be allocated to the most sensitive type of risk. For multi-exposure derivatives, in cases of uncertainty, the deals shall be allocated according to the following order of precedence:

10.1.129.

(a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument the cash flows of which are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those deals where all the legs are exposed to only one currency’s interest rate. It shall thus exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts the predominant risk characteristic of which is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for those types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaps and interest rate warrants;

(b) equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices;

(c) foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They shall therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaps and currency warrants. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity;

(d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees (IFRS 9.4.2.1 (c)). The contracts shall specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9;

(e) commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products;

(f) other: those derivatives shall be any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.

10.1.129.130.

(a) commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category;

(b) equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates shall be included in this category;

(c) foreign exchange and gold: This category shall include all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining to either interest-bearing financial instruments or exchange rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk.

10.2.131.132.133.134.135.136.

Amounts to be reported for derivatives Under IFRS, the carrying amount for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be financial assets and derivatives with a negative fair value (below zero) shall be financial liabilities. The carrying amount shall be reported separately for derivatives with a positive fair value (financial assets) and for those with a negative fair value (financial liabilities). At the date of initial recognition, a derivative shall be classified as financial asset or financial liability according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as financial asset) or unfavourable (and the derivative is classified as financial liability). The carrying amount of hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair value that are not designated as hedging instruments. In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD. The Notional amount shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount: The column Notional amount of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed. The Notional amount shall be reported by total and by of which: sold for the line items: OTC options, Organised market options, Credit, Commodity and Other. The item of which sold shall include the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option, and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to its counterparties (protection buyers). The allocation of a transaction as OTC or Organized market shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An Organised market is a regulated market in the meaning of point (92) of Article 4(1) CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as OTC and not as Organised market.

10.2.131.132.133.

(a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the nominal or notional principal amounts at the reference date;

(b) the notional amount value to be reported for a derivative contract with a multiplier component shall be the contract effective notional amount or par value;

(c) swaps: The notional amount of a swap shall be the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based;

(d) equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract shall be the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal shall be the contractual amount multiplied by the number of remaining exchanges of principal in the contract;

(e) credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of the relevant reference credit;

(f) digital options have a predefined payoff, which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options shall be either the predefined monetary amount or the fair value of the underlying at the reference date.

10.3.137.138.139.140.

Derivatives classified as economic hedges Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as economic hedges. This shall apply also to all of the following cases: Economic hedges shall not include derivatives for proprietary trading. Derivatives that meet the definition of economic hedges shall be reported separately in template 10 for each type of risk. Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately.

10.3.137.

(a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value;

(b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;

(c) derivatives that are classified as held for trading in accordance with Appendix A to IFRS 9 or classified as trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in point (86) of Article 4(1) CRR.

10.4.141.142.

Breakdown of derivatives by counterparty sector The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the following categories: All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those counterparties.

10.4.141.

(a) credit institutions;

(b) other financial corporations;

(c) rest comprising all other counterparties.

10.5.143.144.

Hedge accounting under national GAAP (11.2) Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories: fair-value hedges, cash flow hedges, cost-price hedges, hedge in net investments in a foreign operation, portfolio fair value hedges of interest rate risk and portfolio cash flow hedges of interest rate risk. Where applicable in accordance with national GAAP based on BAD, Cost price hedges shall refer to a hedging category in which the hedging derivative is generally measured at cost.

10.6.145. Amount to be reported for non-derivative hedging instruments (11.3 and 11.3.1) For non-derivative hedging instruments, the amount to be reported shall be the carrying amount of those non-derivative hedging instruments according to the applicable measurement rules in IFRS or in GAAP based on BAD for the accounting portfolios to which they belong. No notional amount shall be reported for non-derivative hedging instruments.

10.7.146.147.148.149.150.151.152.

Hedged items in fair value hedges (11.4) The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129. Micro-hedges shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89 A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6. Hedge adjustments on micro-hedges shall include all hedge adjustments for all the micro-hedges as defined in paragraph 147. Hedge adjustments included in the carrying amount of assets/liabilities shall be the accumulated amount of the gains and losses on the hedged items that have adjusted the carrying amount of those items and been recognised in profit or loss. Hedge adjustments for the hedged items that are equities measured at fair value through other comprehensive income shall be reported in template 1.3. Hedge adjustments for unrecognised firm commitments or a component thereof shall not be reported. Remaining adjustments for discontinued micro-hedges including hedges of net positions shall include those hedge adjustments which, following the discontinuation of the hedge relationship and the end of the adjustment of hedged items for hedging gains and losses, remain to be amortised to the profit or loss via a recalculated effective interest rate for hedged items measured at amortised cost, or to the amount that represents the previously recognised cumulative hedging gain or loss for hedged assets measured at fair value through other comprehensive income. Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting that group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in Assets or liabilities included in hedge of a net position (before netting). Hedged items in portfolio hedge of interest rate risk shall include financial assets and financial liabilities included in a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities. Those financial instruments shall be reported at their carrying amount on a gross basis, before netting between instruments within the portfolio.

11. MOVEMENTS IN ALLOWANCES AND PROVISIONS FOR CREDIT LOSSES (12)

11.

11.1.153.154.155.

Movements in allowances for credit losses and impairment of equity instruments under national GAAP based on BAD (12.0) Template 12.0 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured under cost-based methods, as well as for financial assets under other measurement methods or measured at fair value through equity where the national GAAP under BAD require those assets to be subject to impairment (including cash balances at central banks and other demand deposits). Value adjustments on assets measured at the lower of cost or market shall not be reported in template 12.0. Increases due to amounts set aside for estimated loan losses during the period shall be reported where, for the main category of assets or the counterparty, the estimation of the impairment for the period results in the recognition of net expenses; that is, for the given category or counterparty, the increases in the impairment for the period exceed the decreases. Decreases due to amounts reversed for estimated loan losses during the period shall be reported where, for the main category of assets or counterparty, the estimation of the impairment for the period result in the recognition of net income; that is, for the given category or counterparty, the decreases in the impairment for the period exceed the increases. Changes in the allowance amounts due to repayment and disposals of financial assets shall be reported in Other adjustments. Write-offs shall be reported in accordance with paragraphs 72 to 74.

11.2.156.157.158.159.160.161.162.163.164.165.166.166i.

Movements in allowances and provisions for credit losses under IFRS (12.1) Template 12.1 contains a reconciliation of the opening and closing balances of the allowance account for financial assets measured at amortised cost and at fair value through other comprehensive income broken down by impairment stages, by instrument (including cash balances at central banks and other demand deposits) and by counterparty. A separate reconciliation for purchased or originated credit-impaired financial assets shall be reported in the template. The provisions for off-balance sheet exposures that are subject to the impairment requirements of IFRS 9 shall be reported by impairment stages and separately for purchased or originated credit-impaired exposures. Impairment for loan commitments shall be reported as provisions only where they are not considered together with the impairment of on-balance sheet assets in accordance with IFRS 9.7.B8E and paragraph 108 of this part. Movements in provisions for commitments and financial guarantees measured under IAS 37 and financial guarantees treated as insurance contracts under IFRS 4 shall not be reported in this template but in template 43. Changes in the fair value due to credit risk of commitments and financial guarantees measured at fair value through profit or loss in accordance with IFRS 9 shall not be reported in this template but in item Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net in accordance with paragraph 50 of this Part. The items of which: collectively measured allowances and of which: individually measured allowances shall include the movements in the cumulative amount of impairment related to financial assets which have been measured on a collective or individual basis. Increases due to origination and acquisition shall include the amount of increases in expected losses accounted for on the initial recognition of financial assets originated or acquired. That increase of the allowance shall be reported at the first reporting reference date following the origination or acquisition of those financial assets. Increases or decreases in the expected losses on those financial assets after their initial recognition shall be reported in other columns. Originated or acquired assets shall include assets resulting from the drawdown of off-balance sheet commitments given. Decreases due to derecognition shall include the amount of changes in allowances due to financial assets de-recognised totally in the reporting reference period for reasons other than write-offs, which include transfers to third parties or the expiry of the contractual rights due to full repayment, disposal of those financial assets or their transfer in another accounting portfolio. The change in allowance shall be recognised in this column at the first reporting reference date following the repayment, disposal or transfer. For off-balance sheet exposures, this item shall also include the decreases in the impairment due to the off-balance sheet item becoming an on-balance sheet asset. Changes due to change in credit risk (net) shall include the net amount of changes in expected losses at the end of the reporting reference period due to an increase or decrease in credit risk since initial recognition, irrespective of whether those changes led to a transfer of the financial asset to another stage. The impact on the allowance due to the increase or decrease of the amount of financial assets as a consequence of the interest income accrued and paid shall be reported in this column. This item shall also include the impact of the passing of time on the expected losses calculated in accordance with IFRS 9.5.4.1(a) and (b). The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall also be reported in this column. Changes in expected losses due to partial repayment of exposures via instalments shall be reported in this column with the exception of the last instalment, which shall be reported in the column Decreases due to derecognition. All changes in expected credit losses related to revolving exposures shall be reported in Changes due to change in credit risk (net), except for those changes related to write-offs and updates in the institution’s methodology for estimation of credit losses. Revolving exposures shall be those for which customers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay up to a limit established by the institution. Changes due to an update in the institution’s methodology for estimation (net) shall include changes due to updates in the institution’s methodology for estimation of expected losses due to changes in the existing models or establishment of new models used to estimate impairment. Methodological updates shall also encompass the impact of the adoption of new standards. Changes in methodology that trigger an asset to change impairment stage shall be considered for a model change in its entirety. The changes in estimates due to updates or review of risk parameters as well as changes in forward-looking economic data shall not be reported in this column. The reporting of the changes in the expected losses related to modified assets (IFRS 9.5.4.3 and Appendix A) shall depend on the feature of the modification in accordance with the following: Write-offs shall be reported in accordance with paragraphs 72 to 74 of this Part of this Annex and in accordance with the following: Other adjustments shall include any amount not reported in the previous columns, including the adjustments on expected losses due to foreign exchange differences where it is consistent with the reporting of the impact of foreign exchange in template 2. Gains or losses on derecognition of debt instruments shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received.

11.2.156.157.158.159.160.161.162.163.164.

(a) where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in Decrease in allowance account due to write-offs, and any other impact from modification on expected credit losses in other appropriate columns;

(b) where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in Changes due to derecognition for the changes due to the asset derecognised, and in Increases due to origination and acquisition for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes;

(c) where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in Changes due to modifications without derecognition.

11.2.156.157.158.159.160.161.162.163.164.165.

(a) where the debt instrument is partially or totally derecognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: Decrease in allowance account due to write-offs;

(b) Amounts written-off directly to the statement of profit or loss shall be the amounts of financial assets written-off during the reporting reference period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting reference period and not only those which are still subject to enforcement activity.

11.3.167.168.169.170.

Transfers between impairment stages (gross basis presentation) (12.2) For financial assets included in the accounting portfolios and off-balance exposures, other than purchased or originated credit-impaired financialexposures, that are subject to the impairment requirements of IFRS 9, the gross carrying amount and the nominal amount that have been transferred between impairment stages during the reporting reference period shall be reported in template 12.2 respectively. Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered. For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date. The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher or lower at the date of the transfer.

12. COLLATERAL AND GUARANTEES RECEIVED (13)

12.

12.1.171.172.173.174.

Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1) The collateral and guarantees backing the loans and advances included in the accounting portfolios, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose. In the item of which: non-performing, loans and advances shall be reported as defined in paragraphs 213 to 239 or 260 of this Part. In template 13.1, the maximum amount of the collateral or guarantee that can be considered shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan. For reporting loans and advances according to the type of pledge, the following definitions shall be used: For loans and advances that have simultaneously several types of collateral or guarantee, the amount of the Maximum collateral/guarantee that can be considered shall be allocated according to its quality, starting from the one with the best quality. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the Maximum collateral/guarantee that can be considered exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality.

12.1.171.172.173.

(a) within Loans collateralised by immovable property, Residential shall include loans secured by residential immovable property and Commercial loans secured by pledges of immovable property other than residential, including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with point (75) of Article 4(1) CRR;

(b) within Other collateralised loans:

(b)

(i) Cash, deposits, (Debt securities issued) shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan;

(ii) Movable property shall comprise pledges of physical collateral other than immovable property and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical and technical equipment), inventories and commodities (merchandise, finished and semi-finished products, raw materials) and other forms of movable property;

(iii) Equities and debt securities shall include collateral in the form of equity instruments, including investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities issued by third parties;

(iv) Rest shall include pledges of assets;

(c) Financial guarantees received shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution for a loss it incurs because a specified debtor failed to make a payment where due in accordance with the original or modified terms of a debt instrument.

12.2.175.175i.175ii.

Collateral obtained by taking possession during the period (held at the reference date) (13.2.1) This template shall be used to report information on collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph. Value at initial recognition shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution. Accumulated negative changes shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative.

12.3.176. Collateral obtained by taking possession accumulated (13.3.1) Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as Property, plant and equipment and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

13.177.178.179.

FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14) Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template. Change in fair value for the period shall include gains or losses from re-measurements made in accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts to be reported are before taxes. Accumulated change in fair value before taxes shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.

14.180.181.182.183.184.185.

DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15) Template 15 shall include information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights. The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side. The column Amounts derecognised for capital purposes shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR. Repurchase agreements (repos) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered Repurchase agreements (repos). Amounts received by the institution in exchange for financial assets transferred to a third party (temporary acquirer) shall be classified under repurchase agreements where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include: Repurchase agreements (repos) and reverse repurchase loans (reverse repos) shall involve cash received or loaned out by the institution. In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the accounting portfolios in which the financial assets were included prior to their derecognition.

14.180.181.182.183.

(a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;

(b) amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.

15.186. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16) For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.

15.186.

15.1.187.188.189.190.191.192.193.194.194i.194ii.

Interest income and expenses by instrument and counterparty sector (16.1) Interest income shall be broken down in accordance with both of the following: Interest expenses shall be broken down in accordance with both of the following: Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate. Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate. For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items Derivatives – Hedge accounting not used to hedge interest rate risk. Derivatives – Hedge accounting, interest rate risk shall include the interest income and expenses on hedging instruments where the hedged items generate interest. Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those derivatives held for trading which qualify as economic hedges that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view. In such case, interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading. Under IFRS, Of which: interest-income on impaired financial assets means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets where the latter are considered as non-performing in accordance with paragraph 215 of this Part. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk. Of which: credit for consumption and of which: lending for house purchase shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part. Of which: interest from leases shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively.

15.1.187.

(a) interest income on financial assets included in the accounting portfolios and other assets (including cash, cash balances at central banks and other demand deposits);

(b) interest income on financial liabilities with negative effective interest rate.

15.1.187.188.

(a) interest expenses on financial liabilities included in the accounting portfolios and other liabilities;

(b) interest expenses on financial assets with negative effective interest rate.

15.2.195.196.

Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2) Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses. Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and in accordance with measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for those instruments.

15.3.197.198.199.

Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3) Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument. Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or derecognition and re-measurement shall not be included in trading gains and losses but in Other operating income or Other operating expense in accordance with paragraph 316 of this Part. The item Of which: economic hedges with use of the fair value option shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in Of which: gains and losses due to the reclassification of assets at amortised cost.

15.4.200. Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4) Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows:

15.4.200.

(a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);

(b) equity: including trading of shares, quotas of UCITS and other equity instruments;

(c) foreign exchange trading: including exclusively trading on foreign exchanges;

(d) credit risk: including trading of credit link notes;

(e) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under Other operating income or Other operating expense in accordance with paragraph 316of this Part;

(f) other: including trading of financial instruments, which cannot be classified in other breakdowns.

15.5.201.202.

Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1) Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio (IFRS 9.5.6.2) shall be reported in Of which: gains and losses due to the reclassification of assets at amortised cost.

15.6.203.204.

Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5) Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income. Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in Of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net. Subsequent fair value gains or losses on those financial instruments shall be reported in Of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net.

15.7.205.206.207.

Gains or losses from hedge accounting (16.6) All gains and losses from hedge accounting, except interest income or expense where the clean price is used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position). Fair value changes of the hedged item attributable to the hedged risk shall include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8). Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.

15.8.208. Impairment on non-financial assets (16.7) Additions shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. Reversals shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in the recognition of net income.

15.9.208i.208ii.208iii.208iv.208v.208vi.208vii.208viii.208ix.208x.

Other Administrative Expenses (16.8) Information Technology expenses shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses. Among the Information Technology expenses, IT outsourcing shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets. Taxes and duties (other)shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution. Consulting and professional services shall mean expenses made to get expert or strategic advice. Advertising, marketing and communication shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events. Expenses related to credit risk shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings. Litigation expenses not covered by provisions shall mean litigation expenses not related to credit risk that were not covered by an associated provision. Real estate expenses shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating). Under IFRS, leasing expenses shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses. Other administrative expenses – Rest shall include all the remaining components of other administrative expenses, such as supervisory fees or bank levies, administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2.

16.209.210.211.212.

RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17) Accounting scope of consolidation shall include the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation, that is, including in the consolidation subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements. In this template, the item Investments in subsidiaries, joint ventures and associates shall not include subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation. Assets under reinsurance and insurance contracts shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued. Liabilities under insurance and reinsurance contracts shall include liabilities under insurance and reinsurance contracts issued.

17. NON-PERFORMING EXPOSURES (18)

17.

17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.234.234i.235.236.237.238.239.

Information on performing and non-performing exposures (18.0) For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are purchased or originated credit-impaired shall be considered as non-performing where they meet the criteria to be considered as non-performing in accordance with Article 47a(3) CRR. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 2018/171 (RTS on materiality threshold for credit obligations past due). For the purpose of template 18, exposures shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures. Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items: Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately. In template 18 for debt instruments, gross carrying amount as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported. For the purpose of template 18, an exposure is past-due where it meets the criteria of paragraph 96 of this Part. For the purpose of classification of exposures as non-performing in accordance with point (a) of Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the exposure should then be classified as non-performing. For the purpose of template 18, debtor shall mean an obligor within the meaning of Article 178 CRR. Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (transaction based) or as non-performing for the overall exposure to a given debtor (debtor based). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures: Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty. Exposures shall be considered to have ceased being non-performing where all of the conditions provided in Article 47a(4) CRR are met. The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure in accordance with Article 47a(5) CRR. Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the conditions provided in Article 47a(6) CRR are met. Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of Article 47a(6) CRR, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18: Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in Financial assets designated at fair value through profit or loss (IFRS) or Non-trading non-derivative financial assets measured at fair value through profit or loss (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9. The following exposures shall be identified in separate rows: Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in Past due > 30 days <= 90 days. Non-performing exposures shall be reported broken down by past due time bands. In case of application of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of non-performing in accordance with their individual past-due status. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due. The following exposures shall be identified in separate columns: Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part. Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.

17.1.213.215.216.217.218.219.

(a) loan commitments given;

(b) financial guarantees given;

(c) other commitments given.

17.1.213.215.216.217.218.219.220.221.222.223.226.

(a) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categorisation approach of that Article shall be applied;

(b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;

(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 CRR for defaulted exposures shall be applied.

17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.

(a) Debt instruments at cost or at amortised cost shall encompass debt instruments included in any of the following:

(a)

(i) Financial assets at amortised cost (IFRS);

(ii) Non-trading non-derivative financial assets at a cost based method, including debt instruments under moderate LOCOM (national GAAP based on BAD);

(iii) Other non-trading non-derivative financial assets, except debt instruments measured at strict LOCOM (national GAAP based on BAD);

(b) Debt instruments at fair value through other comprehensive income or through equity subject to impairment shall encompass debt instruments included in any of the following:

(b)

(i) Financial assets at fair value through other comprehensive income (IFRS);

(ii) Non-trading non-derivative financial assets measured at fair value to equity, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD;

(c) Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment shall encompass debt instruments included in any of the following:

(c)

(i) Non-trading financial assets mandatorily at fair value through profit or loss (IFRS);

(ii) Financial assets designated at fair value through profit or loss (IFRS);

(iii) Non-trading non-derivative financial assets measured at fair value through profit or loss (national GAAP based on BAD);

(iv) Other non-trading non-derivative financial assets where debt instruments are measured under strict LOCOM (national GAAP based on BAD);

(v) Non-trading non-derivative financial assets measured at fair value through equity, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD.

17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.234.234i.

(a) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;

(b) Credit for consumption as defined in paragraph 88(a) of this Part.

17.1.213.215.216.217.218.219.220.221.222.223.226.227.228.230.231.232.233.234.234i.235.236.237.

(a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3) which does not include purchased or originated credit impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported;

(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR;

(c) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2) which do not include purchased or originated credit impaired assets;

(d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1);

(e) exposures which are considered as purchased or originated financial assets that are credit-impaired at initial recognition in accordance with IFRS 9 Appendix A, including any off-balance sheet exposures that are deemed credit-impaired upon their initial recognition;

(f) for performing exposures, the amount of accumulated impairment for exposures past due by more than 30 days.

17.2.239i.239ii.239iii.239iv.239v.239vi.239vii.

Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1) Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector. Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well. For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date. Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well. An outflow shall be reported in the following cases: The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to held for sale shall be reported as outflow from the original accounting portfolio and inflow to held for sale. The following exposures shall be identified in separate rows:

17.2.239i.239ii.239iii.239iv.239v.

(a) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne;

(b) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow;

(c) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral;

(d) the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps;

(e) a non-performing exposure is sold;

(f) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised;

(g) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow;

(h) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons.

17.2.239i.239ii.239iii.239iv.239v.239vi.239vii.

(a) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs;

(b) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;

(c) credit for consumption as defined in paragraph 88(a) of this Part.

17.3.239viii.239ix.239x.239xi.

Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2) Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded. Commercial real estate (CRE) loans shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps. The LTV ratio shall be calculated in accordance with the method for the calculation of the current loan-to-value ratio (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.

18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.260.261.262.263.264.265.266.267.268.

FORBORNE EXPOSURES (19) For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures as defined in Article 47b(1) and (2) CRR have been applied. Forbearance measures also include the exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (embedded forbearance clauses) and which shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties. For the purposes of Annexes III and IV as well as this Annex, refinancing shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with. For the purpose of template 19, debtor means an obligor within the meaning of Article 47b(4) CRR. For the purpose of template 19, debt shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. Debt shall exclude exposures held for trading. Debt shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5. For the purposes of template 19, exposure shall have the same meaning as debt in paragraphs 246 and 247 of this Part. The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 in accordance with paragraph 233 of this Part. For the purposes of template 19, institution shall mean the institution, which applied the forbearance measures. In template 19 for debt, the gross carrying amount shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported. Exposures shall be regarded as forborne where a concession has been made in accordance with Article 47b(1) CRR, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in Article 47b(1) CRR has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition. There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in Article 47b(3) CRR. Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures. Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the conditions provided in Article 47a(7) CRR are met. Where the conditions referred to in Article 47a(7) CRR are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis. Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures. A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met: Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing in accordance with point (c) of Article 47a(3) CRR. Performing exposures with forbearance measures (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the non-performing forborne exposures category shall be reported separately within the performing exposures with forbearance measures in the column of which: Performing forborne exposures under probation reclassified from non-performing. Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following: Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column of which: forbearance of exposures non-performing prior to forbearance measures. The following non-performing exposures with forbearance measures shall be identified in separate columns: The column Refinancing shall comprise the gross carrying amount of the new contract (refinancing debt) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding. Forborne exposures combining modifications and refinancing shall be allocated to the column Instruments with modifications of the terms and conditions or the column Refinancing, depending on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be reported in the column Refinancing for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt. Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part. Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.

18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.

(a) that extension has not led the exposure to be classified as non-performing;

(b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.

18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.260.261.262.

(a) exposures which have become non-performing due to the application of forbearance measures;

(b) exposures which were non-performing prior to the extension of forbearance measures;

(c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.

18.240.243.244.245.246.247.248.249.250.251.252.254.255.256.257.258.259.260.261.262.263.264.

(a) exposures which are considered, in accordance with the applicable accounting framework, to be impaired. Under IFRS, the amount of credit-impaired assets (Stage 3) and the amount of purchased or originated credit-impaired financial assets where they are considered as non-performing in accordance with paragraph 215 of this Part shall be reported in this column;

(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.

19.269. GEOGRAPHICAL BREAKDOWN (20) Template 20 shall be reported where the institution exceeds the threshold described in point (4) of Article 5(a) of this Regulation.

19.269.

19.1.270. Geographical breakdown by location of activities (20.1-20.3) The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between domestic activities and non-domestic activities. For the purposes of this Part, location shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. Domestic shall include the activities recognised in the Member State where the reporting institution is located.

19.2.271.272.273.274.275.276.277.

Geographical breakdown by residence of the counterparty (20.4-20.7) Templates 20.4 to 20.7 contain information country-by-country on the basis of the residence of the immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area Other countries. Derivatives shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11. Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. For the purpose of template 20.4, cash balances at central banks and other demand deposits shall be reported together with financial assets subject to impairment. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired. In templates 20.4 and 20.7, Accumulated impairment and Accumulated negative changes in fair value due to credit risk on non-performing exposures, as determined in accordance with paragraphs 69 to 71 of this Part shall be reported. In template 20.4 for debt instruments, gross carrying amount, as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column Of which: Non-performing debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all debt contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended. In template 20.5, Provisions for commitments and guarantees given shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part. In template 20.7, loans and advances not held for trading, trading or held for sale shall be reported with the classification by NACE Codes on a country-by-country basis. NACE Codes shall be reported with the first level of disaggregation (by section). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.

20.278.279. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21) For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by the total of tangible assets. Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be broken down by measurement method.

21.280. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22) For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of net fee and commission income shall be the absolute value of the difference between fee and commission income and fee and commission expense. For the same purposes, the amount of net interest shall be the absolute value of the difference between interest income and interest expenses.

21.280.

21.1.281.282.283.284.

Fee and commission income and expenses by activity (22.1) The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following: Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (IFRS 9.5.1.1). Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of Gains or losses on financial assets and liabilities held for trading, net, Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net and Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net, depending on the accounting portfolio in which those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss. Institutions shall report fee and commission income and expenses in accordance with the following criteria:

21.1.281.

(a) amounts considered for the calculation of the effective interest of financial instruments (IFRS 7.20.(c));

(b) amounts arising from financial instruments that are measured at fair value through profit or loss (IFRS 7.20.(c).(i)).

21.1.281.282.283.284.

(a) Securities. Issuances shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;

(b) Securities. Transfer orders shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;

(c) Securities. Other fee and commission income in relation to securities shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;

(d) Under fee and commission expenses, securities shall include fees and commissions charged to the institution where it is receiving services related with securities regardless of whether they are originated or issued by the institution or not;

(e) Corporate Finance. M&A advisory shall include fees and commissions for advisory services surrounding corporate clients’ mergers and acquisitions activities;

(f) Corporate Finance. Treasury services shall include fees and commissions for corporate finance services related to capital market advisory for corporate clients;

(g) Corporate Finance. Other fee and commission income in relation to corporate finance activities shall include all other corporate finance related fees and commissions;

(h) Fee based advice shall include fees and commissions charged for advisory services to clients that are not directly linked to asset management, such as private banking related fees. M&A advisory fees shall not be included here, but under Corporate Finance. M&A advisory;

(i) Clearing and settlement shall include fees and commission income (expenses) generated by (charged to) the institution where that institution participates in counterparty, clearing and settlement facilities;

(j) Asset management, Custody, Central administrative services for collective investment undertakings and Fiduciary transactions shall include fees and commission income (expenses) generated by (charged to) the institution that provides those services;

(k) Payment services shall include fees and commission income (expenses) generated by (charged to) the institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 2015/2366 of the European Parliament and of the Council. Information on the fee and commission income shall be reported separately for current accounts, credit cards, debit cards and other card payments, transfers and other payment orders as well as other fee and commission income in relation to payment services. Other fee and commissions income in relation to payment services shall include charges for the use of the institution’s ATM network by cards not issued by the institution. Information on fee and commission expenses on credit, debit and other cards shall be reported separately;

(l) Customer resources distributed but not managed (by type of product) shall comprise fee and commission income for distribution of products issued by entities outside the prudential group to its current customers. This information shall be reported by type of product;

(m) Under fee and commission expenses, Externally provided distribution of products shall comprise the expenses for distribution of the institution’s products and services via an external agent network/distribution arrangement with external providers such as mortgage brokers, online loan platforms or Fintech frontends;

(n) Structured finance shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;

(o) Fees from Loan servicing activities shall include, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers;

(p) Loan commitments given and Financial guarantees given shall include the amount, recognized as income during the period, of the amortization of the fees and commission for those activities initially recognised as other liabilities;

(q) Loan commitments received and Financial guarantees received shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as other assets;

(r) Under loans granted, fees and commissions shall be reported which are charged in the process of granting loans, but are not part of the effective interest rate calculation;

(s) Foreign exchange includes fee and commission income (expenses) for foreign exchange services (including exchange of foreign banknotes or coins, fees on international currency cheques, bid-ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) attributable to foreign exchange transactions can be separated from the other credit/debit card related fee income, this item shall also include foreign-exchange related fees and commissions generated via credit or debit cards;

(t) Commodities include fee and commission income related to the commodity business, except for income related to commodity trading which shall be reported as other operating income;

(u) Other fee and commission income (expenses) shall include the fee and commission income (expenses) generated by (charged to) the institution that cannot be allocated to any of the other listed items.

21.2.285. Assets involved in the services provided (22.2) Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:

21.2.285.

(a) Asset management shall refer to assets belonging directly to the customers, for which the institution is providing management. Asset management shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles;

(b) Custody assets shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. Custody assets shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item of which: entrusted to other entities shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;

(c) Central administrative services for collective investment shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent, of compiling accounting documents, of preparing the prospectus, financial reports and all other documents intended for investors, of carrying out the correspondence by distributing financial reports and all other documents intended for investors, of carrying out issues and redemptions and keeping the register of investors, as well as of calculating the net asset value;

(d) Fiduciary transactions shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody, asset management services, to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item irrespective of whether the institution provides other services;

(e) Payment services shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;

(f) Customer resources distributed but not managed shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product;

(g) Amount of the assets involved in the services provided shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable.

22.286.287. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30) For the purposes of Annexes III and IV as well as this Annex, liquidity support drawn shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities. Losses incurred by the reporting institution in the current period shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities.

23.288.289. RELATED PARTIES (31) Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in IAS 24. Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under Subsidiaries and other entities of the same group, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under Associates and joint ventures, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.

23.288.289.

23.1.290.291.

Related parties: amounts payable to and amounts receivable from (31.1) For Loan commitments, financial guarantees and other commitments received, the amounts that shall be reported shall be the sum of the nominal of loan and other commitments received and the maximum amount of the guarantee that can be considered of financial guarantees received as defined in paragraph 119. Accumulated impairment and accumulated negative changes in fair value due to credit risk on non-performing exposures, as determined in paragraphs 69 to 71, in this Part shall be reported for non-performing exposures only. Provisions on non-performing off-balance sheet exposures shall include provisions in accordance with paragraphs 11, 106 and 111 of this Part for exposures which are non-performing, as determined in accordance with paragraphs 213 to 239of this Part.

23.2.292.293.

Related parties: expenses and income generated by transactions with (31.2) Gains or losses on derecognition of other than financial assets shall include all the gains and losses on derecognition of non-financial assets generated by transactions with related parties. This item shall include the gains and losses on derecognition of non-financial assets, which have been generated by transactions with related parties and that are part of any of the following line items of the Statement of profit or loss: Impairment or (-) reversal of impairment on non-performing exposures shall include impairment losses as defined in paragraphs 51 to 53 of this Part for exposures which are non-performing in accordance with paragraphs 213 to 239 of this Part. Provisions or (-) reversal of provisions on non-performing exposures shall include provisions as defined in paragraph 50 of this Part for off-balance sheet exposures which are non-performing as referred in paragraphs 213 to 239 of this Part.

23.2.292.

(a) Gains or losses on derecognition of investments in subsidiaries, joint ventures and associates, where reporting under national GAAP based on BAD;

(b) Gains or losses on derecognition of non-financial assets;

(c) Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations;

(d) Profit or loss after tax from discontinued operations.

24.294.295. GROUP STRUCTURE (40) Institutions shall provide, as of the reporting date, detailed information on subsidiaries, joint ventures and associates fully or proportionally consolidated within the scope of accounting consolidation as well as entities reported as Investments in subsidiaries, joint ventures and associates in accordance with paragraph 4 of this Part, including those entities in which investments are held for sale under IFRS 5. All entities shall be reported, regardless of the activity they perform. Equity instruments that do not meet the criteria to be classified as investments in subsidiaries, joint ventures and associates and in own shares of the reporting institution owned by it (Treasury shares) shall be excluded from this template.

24.294.295.

24.1.296. Group structure: entity-by-entity (40.1) The following information shall be reported on a entity-by-entity basis and the following requirements shall apply for the purposes of Annexes III and IV as well as this Annex:

24.1.296.

(a) Code shall be the identification code of the investee. The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value;

(b) Type of code: institutions shall identify the type of code reported in the column Code as a LEI code or Non-LEI code. The type of code shall always be reported;

(c) National code: institutions may additionally report the national code when they report LEI code as identifier in the column Code;

(d) Entity name shall include the name of the investee;

(e) Entry date shall mean the date on which the investee entered within the scope of the group;

(f) Share capital of investee shall mean the total amount of capital issued by the investee as of the reference date;

(g) Equity of investee, Total assets of the Investee and Profit or (loss) of the Investee shall include the amounts of those items in the last financial statements approved by the investee’s board of directors or similar authorised body;

(h) Residence of investee shall mean the country of residence of the investee;

(i) Sector of investee shall mean the sector of counterparty referred to in paragraph 42 of Part 1 of this Annex;

(j) the NACE code shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by section). For financial corporations, NACE codes shall be reported with a two level detail (by division);

(k) Accumulated equity interest (%) shall be the percentage of ownership instruments held by the institution as of the reference date;

(l) Voting rights (%) shall mean the percentage of voting rights associated to the ownership instruments held by the institution as of the reference date;

(m) Group structure (relationship) shall indicate the relationship between the ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate);

(n) Accounting treatment (Accounting Group) shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);

(o) Accounting treatment (CRR Group) shall indicate the relationship between the accounting treatment and the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);

(p) Carrying amount shall mean the amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;

(q) Acquisition cost shall mean the amount paid by investors;

(r) Goodwill link to the investee shall mean the amount of goodwill reported on the consolidated balance sheet of the reporting institution for the investee in the items goodwill or investments in subsidiaries, joint ventures and associated;

(s) Fair value of the investments for which there are published price quotations shall mean the price at the reference date. It shall be provided only where the instruments are quoted.

24.2.297. Group structure: instrument-by-instrument (40.2) The following information shall be reported on an instrument-by-instrument basis:

24.2.297.

(a) Security code shall include the ISIN code of the security. For securities without ISIN code, it shall include another code that uniquely identifies the security. Security code and Holding company/Code shall be a composite row identifier, and together shall be unique for each row in template 40.2;

(b) Holding company/Code shall be the identification code of the entity within the group that holds the investment. The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value;

(c) Holding company/Type of code: institutions shall identify the type of code reported in the column Holding company/Code as a LEI code or Non-LEI code. The type of code shall always be reported;

(d) Holding company/National code: institutions may additionally report the national code when they report LEI code as identifier in the column Holding company/Code;

(e) Investee/Code, Investee/Type of code, Accumulated equity interest (%), Carrying amount and Acquisition cost are defined in paragraph 296 of this Part. The amounts shall correspond to the security held by the related holding company.

25. FAIR VALUE (41)

25.

25.1.298. Fair value hierarchy: financial instruments at amortised cost (41.1) Information on the fair value of financial instruments measured at amortised cost, using the hierarchy in IFRS 13.72, 76, 81, and 86, shall be reported in this template. Where national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.

25.2.299.300.301.

Use of fair value option (41.2) Information on the use of fair value option for financial assets and liabilities designated at fair value through profit or loss shall be reported in this template. Hybrid contracts shall, for liabilities, include the carrying amount of hybrid financial instruments classified, as a whole, in the accounting portfolio of financial liabilities designated at fair value through profit or loss It shall thus include non-separated hybrid instruments in their entirety. Managed for credit risk shall include the carrying amount of instruments that are designated at fair value through profit or loss at the occasion of their hedging against credit risk by credit derivatives measured at fair value through profit or loss in accordance with IFRS 9.6.7.

26.302.303.303i.

TANGIBLE AND INTANGIBLE ASSETS: CARRYING AMOUNT BY MEASUREMENT METHOD (42) Property, plant and equipment’, Investment property and Other intangible assets shall be reported by the criteria used in their measurement. Other intangible assets shall include all intangible assets other than goodwill. Software assets shall be reported within Other intangible assets or within Property, plant and equipment in accordance with the applicable accounting framework. Where the institution assumes the role of a lessee, it shall provide separate information on lease assets (right-of-use assets).

27.304.305. PROVISIONS (43) This template shall include reconciliation between the carrying amount of the item Provisions at the beginning and end of the period by the nature of the movements, except provisions measured under IFRS 9 that shall instead be reported in template 12. Other commitments and guarantees given measured under IAS 37 and guarantees given measured under IFRS 4 shall include provisions measured under IAS 37 and the credit losses of financial guarantees treated as insurance contracts under IFRS 4.

28.306. DEFINED BENEFIT PLANS AND EMPLOYEE BENEFITS (44) These templates shall include accumulated information of all defined benefit plans of the institution. Where there is more than one defined benefit plan, aggregated amount of all plans shall be reported.

28.306.

28.1.307.308.

Components of net defined benefit plan assets and liabilities (44.1) The template on components of net defined benefit plan assets and liabilities shall show the reconciliation of the accumulated present value of all net defined benefit liabilities (assets) as well as reimbursement rights (IAS 19.140 (a), (b)). Net defined benefit assets shall include, in the event of a surplus, the surplus amounts that shall be recognised in the balance sheet as they are not affected by the limits set up in IAS 19.63. The amount of this item and the amount recognised in the memo item Fair value of any right to reimbursement recognized as asset shall be included in the item Other assets of the balance sheet.

28.2.309.310.

Movements in defined benefit obligations (44.2) The template on movements in defined benefit obligations shall show the reconciliation of opening and closing balances of the accumulated present value of all defined benefit obligations of the institution. The effects of the different elements listed in IAS 19.141 during the period shall be presented separately. The amount of Closing balance (present value) in the template for movements in defined benefit obligations shall be equal to Present value defined benefit obligations.

28.3.311. Staff expenses by type of benefits (44.3) For reporting of staff expenses by type of benefits, the following definitions shall be used:

28.3.311.

(a) Pension and similar expenses shall include the amount recognised in the period as staff expenses for any post-employment benefit obligations (both defined contribution plans and defined benefit plans), including post-employment-related contributions to social security funds (pension funds) maintained by the government or social security entities;

(b) Share based payments shall include the amount recognised in the reference period as staff expenses for share based payments;

(c) Wages and salaries shall include the remuneration of the institution’s employees for their labour or services, but shall exclude severance payments and remuneration in the form of share-based items which shall be reported in separate items;

(d) Social security contributions shall include contributions to social security funds, amounts paid to the government or to social security entities in order to receive a future social benefit, but shall exclude post-employment-related contributions to social security funds in terms of pensions (contributions to pension funds);

(e) Severance payments shall mean payments relating to the early termination of a contract and shall include termination benefits as defined in IAS 19.8;

(f) Other types of staff expenses shall include staff expenses that cannot be allocated to any of the categories above.

28.4.311i.311ii.

Staff expenses by category of remuneration and category of staff (44.4) For reporting of staff expenses by category of remuneration and category of staff, the following definitions shall be used: Number of staff shall include, as of the reporting reference date, the number of staff, expressed in full time equivalents (FTEs), plus the number of members in the management body expressed in terms of headcount for prudential (CRR) scope of consolidation. Of those, the number of identified staff, and the number of representatives in the management body in its management function and in senior management, as well as the number of representatives in the management body in its supervisory function shall be reported separately.

28.4.311i.

(a) Fixed remuneration, variable remuneration, identified staff and management body in its management function shall have the same meaning as in the EBA Guidelines on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/2013 (EBA/GL/2015/22);

(b) Management body, management body in its supervisory function and senior management shall comprise staff as defined in points (7), (8) and (9) of Article 3(1) CRD.

29. BREAKDOWN OF SELECTED ITEMS OF STATEMENT OF PROFIT OR LOSS (45)

29.

29.1.312. Gains or losses on financial assets and liabilities designated at fair value through profit or loss by accounting portfolio (45.1) Financial liabilities designated at fair value through profit or loss shall only include the gains and losses due to the change in the own credit risk of issuers of liabilities designated at fair value through profit or loss where the reporting institution has chosen to recognise them in profit or loss because a recognition in other comprehensive income would create or enlarge an accounting mismatch.

29.2.313. Gains or losses on derecognition of non-financial assets (45.2) Gains or losses on derecognition of non-financial assets shall be broken down by type of asset. Each line item shall include the gain or the loss on the asset that has been derecognised. Other assets shall include other tangible assets, intangible assets and investments not reported elsewhere.

29.3.314.315.316.

Other operating income and expenses (45.3) Other operating income and expenses shall be broken down according to the following items: fair value adjustments on tangible assets measured using the fair value model; rental income and direct operating expenses from investment property; income and expenses on operating leases other than investment property and the rest of operating income and expenses. Operating leases other than investment property shall include, for the column income the returns obtained, and for the column expenses the costs incurred, by the institution as lessor in its operating leasing activities other than those with assets classified as investment property. The costs for the institution as lessee shall be included in the item Other administrative expenses. Gains or losses from derecognition and re-measurements of holdings of gold, other precious metals and other commodities measured at fair value, less costs to sell, shall be reported among the items included in Other operating income. Other or Other operating expenses. Other

30.317.318. STATEMENT OF CHANGES IN EQUITY (46) The statement of changes in equity shall disclose the reconciliation between the carrying amount at the beginning of the period (opening balance) and the end of the period (closing balance) for each component of equity. Transfers among components of equity shall include all amounts transferred within equity, including both gains and losses due to own-credit risk of liabilities designated at fair value through profit or loss and the accumulated fair value changes of equity instruments measured at fair value through other comprehensive income that are transferred to other components of equity upon derecognition.

31.319.320.321.322.323.324.325.326.327.

LOANS AND ADVANCES: ADDITIONAL INFORMATION (23) Template 23 presents additional information on loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets and debt instruments held for sale. For the purposes of determining the number of instruments, an instrument shall be understood as a banking product with an outstanding balance and, where applicable, a credit limit, typically being associated with an account. An exposure towards a specific counterparty can consist of multiple instruments. The number of instruments shall be determined based on the way the institution manages the exposure. The number of instruments shall be indicated separately for exposures in pre-litigation status and exposures in litigation status as defined in paragraphs 321 and 322 of this Part. An exposure shall be in pre-litigation status where the debtor has been formally notified that the institution will take legal action against the debtor within a defined time period, unless certain contractual or other payment obligations are met. That shall also include cases where the contract has been terminated by the reporting institution because the debtor is in formal breach of the terms and conditions of the contract and the debtor has been notified accordingly, but no legal action against the debtor has formally been taken by the institution yet. Exposures classified as in pre-litigation status can exit this classification if the outstanding amounts are paid or if they enter into litigation status as defined in the following paragraph. An exposure shall be in litigation status where legal action against the debtor has formally been taken. This comprises cases where a court of law confirmed that formal judiciary proceedings have occurred or the judiciary system has been notified of the intention to commence legal proceedings. Unsecured loans and advances without guarantees refers to exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall not be included. Loans and advances with an accumulated coverage ratio of more than 90 % shall be reported separately. For that purpose, the accumulated coverage ratio shall be the ratio between the accumulated impairments, respectively the accumulated negative changes in fair value due to credit risk related to a loan or advance as numerator, and the gross carrying amount of that loan or advance as denominator. Loans collateralised by immovable property as defined in paragraphs 86(a) and 87 of this Part as well as commercial real estate loans as defined in paragraph 239ix of this Part shall be reported broken down by loan/collateral ratio (loan-to-value (LTV) ratio) as defined in paragraph 239x of this Part. Information on collateral held and guarantees received on the loans and advances shall be reported in accordance with paragraph 239 of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure. Immovable property pledged as collateral shall be reported separately in addition. By way of derogation from the previous paragraph, collateral received on loans and advances – uncapped amounts shall reflect the full value of the collateral received without a cap at the carrying amount of the related exposure.

32. LOANS AND ADVANCES: FLOWS OF NON PERFORMING EXPOSURES, IMPAIRMENTS AND WRITE OFFS SINCE THE END OF THE LAST FINANCIAL YEAR (24)

32.

32.1.328.329.330.331.332.333.334.

Loans and advances: Inflows and outflows of non-performing exposures (24.1) Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow. Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category held for sale, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context: The following exposures shall be reported in separate rows: Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, outflow due to write-offs shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period. In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type. Net cumulated recoveries shall mean (i) the amount of cash or cash equivalents collected, net of related costs, in the context of collateral liquidations, of the sale of exposures and of risk transfers, respectively (ii) the value at initial recognition as defined in paragraph 175i of this Part of the collateral obtained in the context of outflows due to taking possession of collateral. The outflow pertaining to loans and advances that became non-performing during the period and afterwards ceased to meet the criteria for being classified as non-performing shall be reported separately.

32.1.328.329.

(a) Inflow due to accrued interest shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;

(b) of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing shall include performing forborne exposures under probation reclassified from non-performing, as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;

(c) Inflow due to other reasons shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since.

32.1.328.329.330.

(a) Inflow more than once shall comprise loans and advances that were reclassified multiple times from non-performing to performing or vice versa during the period;

(b) Inflow of exposures granted in the past 24 months shall represent loans and advances that were granted in the 24 months prior to the reference date and that were classified as non-performing in accordance paragraphs 213 to 239 or 260 of this Part during the period. Of these exposures, those granted during the period shall be reported separately in addition.

32.2.335.336.337.338.339.

Loans and advances: Flow of impairments and accumulated negative changes in fair value due to credit risk on non-performing exposures (24.2) Template 24.2 shall contain a reconciliation of the opening and closing balances of the allowance accounts and the stock of accumulated negative changes in fair value due to credit risk pertaining to loans and advances that are or were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part, excluding loans and advances classified as cash balances at central banks and other demand deposits or as held for sale. Increases during the period shall comprise: The part of the increase attributable to impairments and accumulated negative changes in fair value booked against interest accrued shall be reported separately in addition. Decreases during the period shall comprise: The following items shall be reported separately:

32.2.335.336.

(a) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and are still classified as non-performing at the reporting reference date;

(b) the stock, as of the derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that became non-performing during the period and were derecognised during the period; and

(c) the increase of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are either still classified as such at the reporting reference date or were derecognised during the period.

32.2.335.336.337.338.

(a) the stock, as of derecognition date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and exited the institution’s portfolio during the period;

(b) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that ceased to be non-performing during the period and are still not classified as non-performing at the reference date;

(c) the stock, as of the reference date, of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were reclassified as held for sale during the period; and

(d) the decrease of accumulated impairments and accumulated negative changes in fair value due to credit risk pertaining to loans and advances that were classified as non-performing at the end of the preceding financial year and are still classified as such at the reporting reference date.

32.2.335.336.337.338.339.

(a) the decrease attributable to the reversal of allowances and the reversal of negative changes in fair value due to credit risk;

(b) the decrease attributable to the unwinding of discounts in the context of application of effective interest rate’s accounting method.

32.3.340. Loans and advances: Write-offs of non-performing exposures during the period (24.3) Template 24.3 shall be used to report the write-offs as defined in paragraph 74 of this Part to the extent that they (i) were made during the period (inflows) and (ii) refer to loans and advances classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period, excluding loans and advances classified as held for trading, trading financial assets or held for sale. Both partial and total write-offs shall be reported. Of these write-offs, those attributable to the forfeiture of the right to legally recover an exposure, or part of it, shall be reported separately.

33.341. COLLATERAL OBTAINED BY TAKING POSSESSION AND EXECUTION PROCESSES (25) Collateral obtained by taking possession shall include both assets that were pledged by the debtor as collateral and assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

33.341.

33.1.342.343.344.345.346.347.348.349.

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E): inflows and outflows (25.1) Template 25.1 shall be used to present the reconciliation of the opening balance, as of the beginning of the financial year, and the closing balance of the stock of collateral obtained by taking possession, other than collateral classified as property, plant and equipment (PP&E). In addition, the template shall provide information on the related debt balance reduction and the value at initial recognition of collateral obtained by taking possession. Debt balance reduction shall mean the gross carrying amount of the exposure that was derecognised from the balance sheet in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, and the related impairments and negative changes in fair value due to credit risk accumulated at that point in time. Where, at the moment of exchange, a write-off was made, that amount shall be considered part of the debt balance reduction as well. Derecognitions from the balance sheet due to other reasons, such as cash collections, shall not be reported. Value at initial recognition shall have the same meaning as described in paragraph 175i of this Part. With regard to the inflows during the period: With regard to the outflows during the period: In case of a sale of collateral for cash, the Outflow for which cash was collected shall be equal to the sum of Cash collected net of costs and Profits/(-) losses from sale of collateral obtained by taking possession. Cash collected net of costs shall mean the amount of cash received net of transaction costs, such as fees and commissions paid to agents, transfer taxes and duties. Profits/(-) losses from sale of collateral obtained by taking possession shall mean the difference between the carrying amount of the collateral measured at the date of derecognition and the amount of cash received net of transaction costs. In case of replacement of collateral with financial instruments as described in paragraph 346 of this Part, the carrying amount of the financing granted shall be reported. Collateral obtained by taking possession shall be reported broken down by time passed since the collateral has been recognised in the institutions balance sheet. In the context of the presentation of collateral obtained bytime passed since recognition in the balance sheet, the ageing of collateral on the balance sheet, i.e. the migration between the predefined time buckets, shall be reported neither as inflow nor as outflow.

33.1.342.343.344.345. a)

the collateral obtained by taking possession shall include: (i) new collateral obtained by taking possession during the period (since the beginning of the financial year), irrespective of whether the collateral is still recognised in the institution’s balance sheet (held) at the reference date or not and (ii) positive changes in valuation of collateral during the period due to different reasons (such as positive changes in fair value, appreciation, reversal of impairment, changes of accounting policies). These types of inflows shall be reported separately in addition.

b)

the debt balance reduction shall reflect the debt balance reduction of the exposure derecognised related to the collateral that was obtained during the period.

33.1.342.343.344.345.346. a)

the collateral obtained by taking possession shall include: (i) collateral sold for cash during the period; (ii) collateral sold with replacement by financial instruments during the period; and (iii) negative changes in valuation of collateral during the period due to different reasons (such as negative changes in fair value, depreciation, impairment, write-off, changes of accounting policies). Those types of outflows shall be reported separately. Where collateral is derecognised in exchange for both cash and financial instruments, the relevant amounts shall be split and allocated to the two outflow types. Collateral sold with replacement by financial instruments shall describe cases where the collateral is sold to a counterparty, and the acquisition by that counterparty is financed by the reporting institution.

b)

the debt balance reduction shall reflect the debt balance reduction of the exposure related to cases where the collateral was sold for cash or replaced by financial instruments during the period.

33.2.350.351.352.

Collateral obtained by taking possession other than collateral classified as Property Plant and Equipment (PP&E) – Type of collateral obtained (25.2) Template 25.2 shall include a breakdown of the collateral obtained by taking possession as defined in paragraphs 341 of this Part, by type of collateral obtained. The template reflects collateral recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained. In addition, the template provides information on the related debt balance reduction and value at initial recognition as defined in paragraphs 343 and 344 of this Part and on the number of collateral obtained by taking possession and recognised in the balance sheet at the reference date. The number of collateral obtained by taking possession shall be calculated regardless of the carrying amount of the collateral and it can be one or more than one for each exposure derecognized from the balance sheet in exchange for the collateral obtained by taking possession. The type of collateral shall be the ones referred to in paragraph 173 of this Part with the exception of those in point (b) (i) of that paragraph. With regard to collateral in the form of immovable property, the following information shall be reported in separate rows:

(a) immovable property that is under construction or development;

(b) with regard to commercial immovable property, collateral in the form of land related to commercial real estate corporations, excluding agricultural land. Separate information on land with and without a planning permission shall be reported in addition.

33.3.353.354.

Collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) (25.3) In template 25.3, information on collateral obtained by taking possession classified as Property Plant and Equipment (PP&E) shall be reported. In addition, the template shall provide information on the related debt balance reduction and value at initial recognition as defined in paragraphs 343 and 344 of this Part. Information shall be provided on the stock of collateral as of the reference date, irrespective of the point in time it was obtained, and the inflows due to new collateral obtained by taking possession during the period between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. With regard to the debt balance reduction, the total shall reflect the debt balance reduction related to the collateral as of the reference date and the inflows due to new collateral obtained by taking possession shall reflect the debt balance reduction related to the collateral that was obtained during the period.

34.355.356.357.358.359.360.361.

FORBEARANCE MANAGEMENT AND QUALITY OF FORBEARANCE (26) Template 26 shall include detailed information on loans and advances classified as forborne in accordance with paragraphs 240 to 268 of this Part, excluding instruments classified as cash balances at central banks and other demand deposits or as held for sale. Forborne exposures referring to either a modification of the previous terms and conditions or a total or partial refinancing of a troubled debt contract as defined in paragraph 241 of this Part shall be broken-down in more specific types of forbearance measures. The Number of instruments shall be determined as defined in paragraph 320of this Part. The gross carrying amount of exposures with forbearance measures shall be allocated to a category reflecting the type of forbearance measure. Where multiple forbearance measures have been applied to an exposure, the gross carrying amount of exposures with forbearance measures shall be allocated to the most relevant type of forbearance measure. The latter shall be identified based on the type of forbearance measure which has the highest impact on the Net Present Value (NPV) of the forborne exposure or by using any other methods considered applicable. The types of forbearance measures shall be the following: Where the forbearance measure affects the gross carrying amount of an exposure, the gross carrying amount at the reference date, i.e. after application of the forbearance measure, shall be reported. In the case of refinancing, the gross carrying amount of the new contract (refinancing debt) granted which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding shall be reported. The following items shall be reported in separate rows: Exposures to which forbearance measures have been granted since the end of the last financial year shall be reported in separate columns.

34.355.356.357.358.

(a) grace period/payment moratorium: temporary suspension of repayment obligations with regard to the principal or the interest, with repayments to be resumed at a later point in time;

(b) interest rate reduction: permanent or temporary reduction of the interest rate (fixed or variable) to a fair and sustainable rate;

(c) extension of maturity/term: extension of the maturity of the exposure, entailing a reduction in instalment amounts by spreading the repayments over a longer period;

(d) rescheduled payments: adjustment of the contractual repayment schedule with or without changes to instalment amounts, other than grace periods/payment moratorium, extension of maturity/term and debt forgiveness. That category shall include, among others, capitalisation of arrears and/or accrued interest arrears to the outstanding principal balance for repayment under a sustainable, rescheduled programme; decrease of the amount of principal repayment instalments over a defined period, regardless of whether interests remain to be paid in full or whether they are capitalised or forfeited;

(e) debt forgiveness: partial cancellation of the exposure by the reporting institution through forfeiture of right to legally recover it;

(f) debt asset swaps: partial replacement of exposures in the form of debt instruments with assets or equity;

(g) other forbearance measures, including among others, total or partial refinancing of a troubled debt contract.

34.355.356.357.358.359.360.

(a) Instruments that were subject to forbearance measures at multiple points in time, where:

(a)

(i) Loans and advances having been forborne twice and ‘more than twice shall mean exposures classified as forborne in accordance with paragraphs 240 to 268 of this Part at the reporting reference date, to which forbearance measures have been applied at two, respectively more than two different points in time. That includes, among others, originally forborne exposures that exited the forborne status (cured forborne exposures), but were granted new forbearance measures after that;

(ii) Loans and advances to which forbearance measures were granted in addition to already existing forbearance measures shall mean forborne exposures under probation to which forbearance measures were applied in addition to forbearance measures granted at an earlier point in time, without the exposure having cured in between.

(b) Non-performing forborne exposures that failed to meet the non-performing exit criteria. That shall comprise non-performing forborne exposures that failed to meet the conditions for ceasing to be non-performing as described in paragraph 232 of this Part at the end of the probation period of 1 year specified in paragraph 231 (b) of this Part.

35.362.363.364.

LOANS AND ADVANCES: AVERAGE DURATION AND RECOVERY PERIODS (47) The information provided in template 47 shall refer to loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, held for trading, trading financial assets or held for sale. The weighted average time since past due date (in years) shall be calculated as the weighted average of the number of days past due of exposures classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part at the reference date. Non-performing exposures that are not past due shall be considered as being zero days past due in this calculation. Exposures shall be weighted by the gross carrying amount measured at the reference date. The weighted average time since past due date shall be expressed in years (with decimals). The following information on the results of litigation procedures on non-performing loans and advances concluded during the period shall be reported:

(a) Net cumulated recoveries: This item shall include recoveries resulting from in-court procedures. Recoveries stemming from voluntary agreements shall not be included.

(b) Gross carrying amount reduction: This item shall include the gross-carrying amount of non-performing loans and advances derecognised in response to the conclusion of a litigation procedure. This includes related write-offs.

(c) Average duration of litigation procedures concluded in the period: shall be calculated as the average of the elapsed time between the date of classification of the instrument as in litigation status in accordance with paragraph 322 of this Part and the date of the finalisation of legal proceedings; it shall be expressed in years (with decimals).

PART 3 1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a)(b)(c)(d)(e)(f)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

Tables 2 and 3 map exposure classes to be used to calculate capital requirements in accordance with CRR to counterparty sectors used in FINREP tables. SA exposure classes (CRR Article 112) FINREP counterparty sectors Comments Central governments or central banks These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Regional governments or local authorities (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Public sector entities (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Multilateral development banks Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty International organisations (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Institutions (i.e. credit institutions and investment firms) These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Corporates (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Retail These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Secured by mortgages on immovable property (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. In default These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Items associated with particularly high risk These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Covered bonds These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Securitisation positions (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions. Institutions and corporates with a short-term credit assessment These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty. Collective investment undertakings Equity instruments Investments in CIU shall be classified as equity instruments in FINREP, regardless of whether the CRR allows look-through. Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets Other items Various items of the balance sheet In FINREP, other items may be included under different asset categories. IRBA exposure classes (CRR Article 147) FINREP counterparty sectors Comments Central governments and central banks These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Institutions (i.e. credit institution and investment firms as well as some general governments and multilateral banks) (2) General governments (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Corporates (2) General governments These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Retail These exposures shall be assigned to FINREP counterparty sectors according to the nature of the immediate counterparty Equity Equity instruments In FINREP, equities shall be separated as instruments under different categories of financial assets Securitisation positions (2) General governments (3) Credit institutions These exposures shall be assigned to FINREP counterparty sectors according to the underlying risk of the securitisation positions. In FINREP, where securitized positions remain recognised in the balance sheet, the counterparty sectors shall be the sectors of the immediate counterparties of these positions Other non credit obligations Various items of the balance sheet In FINREP, other items may be included under different asset categories.

1. Table 2 (a) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(1) Central banks

(2) General governments

1. Table 2 (a)(b)(c) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations.

1. Table 2 (a)(b)(c)(d)(3)(e)(f) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(3) Credit institutions

(4) Other financial corporations

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(4) Other financial corporations

(5) Non-financial corporations.

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(1) Central banks

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(1) Central banks

(2) General governments

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach

(3) Credit institutions

(4) Other financial corporations

(5) Non-financial corporations

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

(1) Central banks

(2) General governments

(3) Credit institutions

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a)(b) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

(4) Other financial corporations

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a)(b)(c) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a)(b)(c)(d) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

1. Table 2 (a)(b)(c)(d)(3)(e)(f)(g)(h)(i)(j)(ja)(k)(l)(m)(n)(o)(p) Table 3 (a)(b)(c)(d)(e)(f) MAPPING OF EXPOSURE CLASSES AND COUNTERPARTY SECTORS Standardised Approach Internal Ratings Based Approach

(4) Other financial corporations

(5) Non-financial corporations

(6) Households

ANNEX VI REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY C 15.00 — EXPOSURES AND LOSSES FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY (CR IP LOSSES) Country:

IP LOSSES TEMPLATES Template number Template code Name of the template /group of templates Short name IP LOSSES LE 15 C 15.00 Exposures and losses from lending collateralised by immovable property CR IP LOSSES Losses Exposures Sum of losses stemming from lending up to the reference percentages Sum of overall losses Sum of the exposures of which: immovable property valued with mortgage lending value of which: immovable property valued with mortgage lending value Row column 0010 0020 0030 0040 050 collateralised by: 0010 Residential property 0020 Commercial immovable property

ANNEX VII INSTRUCTIONS FOR REPORTING ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY 1.2.

This Annex contains instructions in relation to the templates included in Annex VI to this Regulation. All the general instructions included in Part I of Annex II to this Regulation shall also apply.

1.3.4. Reporting scope Institutions that use immovable property in accordance with Part Three, Title II of CRR shall report the data specified in Article 430a(1) CRR. The template covers all national markets an institution/group of institutions is exposed to (see Article 430a(1) CRR). In accordance with the third sentence of Article 430a(2) the data shall be reported for each property market within the Union separately.

2.5.6.7.8.9. Definitions Loss shall mean the loss defined in point (2) of Article 5 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 as reducing the losses 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. For exposures secured by residential and commercial property the calculation of economic loss shall start from outstanding exposure value at the reporting date and shall include at least: (i) proceeds from collateral realisation; (ii) direct costs (including interest rates payments and recovery costs linked to the liquidation of the collateral); and (iii) indirect costs (including operating costs of the recovery unit). All components shall be discounted to the reporting reference date. The exposure value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR (see Chapter 2 for institutions using the standardised approach, and Chapter 3 for institutions using the IRB approach). The property value shall be determined in accordance with the rules stipulated in Title II of Part Three CRR. F/X effect: Amounts shall be converted to the reporting currency using 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 a different currency.

3.10. Geographical breakdown Institutions shall report the following templates:

3.10. a)

one total template;

b)

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

c)

one template aggregating the data for all national markets outside the Union the institution is exposed to.

4.11.12.13.14.15.

Reporting of exposures and losses Exposures: All exposures that are subject to requirements in Title II of Part Three CRR and where the collateral is used to reduce the risk-weighted exposure amount shall be reported in template C 15.00. This also means that the exposures and losses concerned must not reported if the risk mitigation effect of the immovable property is only used for internal purposes (i.e. under Pillar 2) or for large exposures (see Part Four CRR). 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 in accordance with accounting rules. The estimated losses shall also be reported. Losses from exposures collateralised by immovable property shall be calculated on a loan-by-loan basis and aggregated for reporting purposes. Reference date: The exposure value at default shall be used. Role of the valuation of the property: The latest valuation of the property before the default date of the exposure is needed as reference 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 column 0010 (identification of exposure values which is fully and completely secured) and the re-valued property value for the amount to be reported (estimation of a possible recovery from collateral) in columns 0010 and 0030. 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 shall be reported for all defaults on loans secured by real estate property that occur during the reporting period and irrespective of whether the recovery has been completed. Losses to be reported as of 31 December shall refer to the whole calendar year. Since there may be a long time lag between default and the recognition of losses (which includes incomplete recovery process), loss estimates shall be reported in cases where the recovery 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 recovery, actual loss known); or (iii) incomplete recovery (loss estimates to be used). Loss reporting shall include only losses stemming from scenario (ii) realisation of collateral (observed losses) and scenario (iii) incomplete recovery (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 0010 0020 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. 0030 0040 Of which: immovable property valued with mortgage lending value Institutions shall report losses, where the value of the collateral has been calculated as mortgage lending value 0050 Rows 0010 Residential property Residential property as defined in point (75) of Article 4(1) CRR 0020 Commercial immovable property

5. Sum of losses stemming from lending up to the reference percentages

Points (a) and (d) of Article 430a(1) CRR respectively, Market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) 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 in accordance with Article 124(1) CRR.

Sum of overall losses

Points (b) and (e) of Article 430a(1) CRR respectively; market value and mortgage lending value in accordance with points (74) and (76) of Article 4(1) 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 in accordance with Article 124(1) CRR.

Sum of the exposures

Points (c) and (f) of Article 430a(1) CRR 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 reported exposure value shall be the exposure value just before the default.

ANNEX VIII C 26.00 — Large Exposures limits (LE Limits) C 27.00 — Identification of the counterparty (LE 1) C 28.00 — Exposures in the non-trading and trading book (LE 2) C 29.00 — Detail of the exposures to individual clients within groups of connected clients (LE 3) TEMPLATES FOR REPORTING LARGE EXPOSURES AND CONCENTRATION RISK

LARGE EXPOSURES TEMPLATES Template number Template code Name of the template /group of templates Short name LARGE EXPOSURES LE 26 C 26.00 Large Exposures limits LE LIMITS 27 C 27.00 Identification of the counterparty LE 1 28 C 28.00 Exposures in the non-trading and trading book LE 2 29 C 29.00 Detail of the exposures to individual clients within groups of connected clients LE 3 Applicable limit 010 010 Non institutions 020 Institutions 030 Institutions in % 040 Globally Systemic Important Institutions (G-SIIs) COUNTERPARTY IDENTIFICATION Code Type of code Name National code Residence of the counterparty Sector of the counterparty NACE code Type of counterparty 011 015 021 035 040 050 060 070 COUNTERPARTY ORIGINAL EXPOSURES (-) Value adjustments and provisions (-) Exposures deducted from CET 1 or Additional Tier 1 items Exposure value before application of exemptions and CRM ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES (-) Amounts exempted Exposure value after application of exemptions and CRM Code Group or individual Transactions where there is an exposure to underlying assets (-) Substitution effect of eligible credit risk mitigation techniques (-) Funded credit protection other than substitution effect (-) Real estate Direct exposures Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non-trading book % of Tier 1 capital (-) Debt instruments (-) Equity instruments (-) Derivatives (-) Off balance sheet items Total Of which: Non-trading book % of Tier 1 capital Loan commitments Financial guarantees Other commitments Loan commitments Financial guarantees Other commitments (-) Loan commitments (-) Financial guarantees (-) Other commitments 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 COUNTERPARTY ORIGINAL EXPOSURES (-) Value adjustments and provisions (-) Exposures deducted from CET 1 or Additional Tier 1 items Exposure value before application of exemptions and CRM ELIGIBLE CREDIT RISK MITIGATION (CRM) TECHNIQUES (-) Amounts exempted Exposure value after application of exemptions and CRM Code Group code Transactions where there is an exposure to underlying assets (-) Substitution effect of eligible credit risk mitigation techniques (-) Funded credit protection other than substitution effect (-) Real estate Direct exposures Indirect exposures Additional exposures arising from transactions where there is an exposure to underlying assets Total original exposure Of which: defaulted Debt instruments Equity instruments Derivatives Off balance sheet items Debt instruments Equity instruments Derivatives Off balance sheet items Total Of which: Non-trading book % of Tier 1 capital (-) Debt instruments (-) Equity instruments (-) Derivatives (-) Off balance sheet items Total Of which: Non-trading book % of Tier 1 capital Loan commitments Financial guarantees Other commitments Loan commitments Financial guarantees Other commitments (-) Loan commitments (-) Financial guarantees (-) Other commitments 010 020 030 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360

ANNEX IX INSTRUCTIONS FOR REPORTING ON LARGE EXPOSURES AND CONCENTRATION RISK

PART I GENERAL INSTRUCTIONS

1.1.2.3.4.5.6.

Structure and conventions The reporting framework on large exposures (LE) shall consist of four templates which include the following information: The instructions include legal references as well as detailed information regarding the data that shall be reported in each template. The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported. In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}. ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.

1.1.

(a) large exposures limits;

(b) identification of the counterparty (template LE1);

(c) exposures in the non-trading and trading book (template LE2);

(d) detail of the exposures to individual clients within groups of connected clients (template LE3);

2.7. Abbreviations For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as CRR.

PART II TEMPLATE RELATED INSTRUCTIONS

1.1.2.3.4.5.6.7.8.

Scope and level of the LE reporting In order to report information on large exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 (CRR) on a solo basis, institutions shall use the templates LE1, LE2 and LE3. In order to report information on large exposures to clients or groups of connected clients in accordance with Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. Every large exposure defined in accordance with Article 392 CRR shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 CRR. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with the second subparagraph of Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, CRR shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (Amounts exempted) of template LE2 from the amount in column 210 (Total) of that same template is the amount that shall be used for determining these 20 largest exposures. In order to report information on the ten largest exposures to institutions, on a consolidated basis, as well as on the ten largest exposures to shadow banking entities which carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2), points (a) to (d), CRR, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. The exposure value calculated in column 210 (Total) of template LE2 is the amount that shall be used for determining these 20 largest exposures. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital on a consolidated basis according to the last sentence of Article 394(1) of CRR, the parent institutions in a Member State shall use templates LE1, LE2 und LE3. The exposure value calculated in column 210 (Total) of template LE2 is the amount that shall be used for determining these exposures. The data on the large exposures and the relevant largest exposures as well as the data on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure). Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.

2.9.10. Structure of the LE template The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure. The columns of the templates LE2 and LE3 shall present the following blocks of information:

2.9.10.

(a) the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;

(b) the effect of the exemptions and of the credit risk mitigation techniques;

(c) the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.

3.11.12.13.14.15.16.17.18.19.20.

Definitions and general instructions for the purposes of the LE reporting Group of connected clients is defined in Article 4(1), point (39), CRR. Institutions is defined in Article 4(1), point (3) CRR. Exposures to civil-law associations shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them. Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance with Article 389 CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items. Exposures are defined in Article 389 CRR. The exposures to groups of connected clients shall be calculated in accordance with Article 390(1) CRR. The netting agreements shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(3), (4) and (5) CRR. The exposure value of derivative contracts listed in Annex II of CRR and of credit derivative contracts directly entered into with a client shall be determined in accordance with Part Three, Title II, Chapter 6, CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, Section 3 to Section 5, CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, CRR. In accordance with Article 296 CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as other commitments in the LE templates. The value of an exposure shall be calculated in accordance with Article 390 CRR. The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is specified in Articles 399 to 403 CRR. Institutions shall report exposures resulting from reverse repurchase agreements in accordance with Article 402(3) CRR. Provided that the criteria in Article 402(3) of CRR are met, the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.

3.11.12.13.14.15.

(a) exposures are any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 CRR, but excluding items which fall under Article 390(6), points (a) to (d), CRR.

(b) indirect exposures are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.

4. C 26.00 – LE Limits template

4.

4.1. Instructions concerning specific rows Rows Legal references and instructions 010 020 030 040

4.1. Non institutions

Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR The amount of the applicable limit for counterparties other than institutions shall be reported. This amount is 25 % of Tier 1 capital, which is reported in row 015 of template C 01.00 of Annex I, unless a more restrictive percentage applies due to the application of national measures in accordance with Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR.

Institutions

Article 395(1), Article 458(2), point (d)(ii), Article 458(10) and Article 459, point (b), CRR Institutions shall report the amount of the applicable limit for counterparties that are institutions. In accordance with Article 395(1) CRR, this amount shall be the following: These limits may be stricter in case of application of national measures in accordance with Article 395(6) or Article 458 CRR or the delegated acts adopted in accordance with Article 462 with respect to the requirements referred to in Article 459, point (b), CRR.

if the 25 % of the Tier 1 capital is greater than EUR 150 million (or a lower limit than EUR 150 million set out by the competent authority in accordance with the third subparagraph of Article 395(1) CRR), 25 % of the Tier 1 capital shall be reported;

if EUR 150 million (or a lower limit set out by the competent authority in accordance with the third paragraph of Article 395(1) CRR) is greater than 25 % of the institution’s Tier 1 capital, EUR 150 million (or the lower limit if set out by the competent authority) shall be reported. If the institution has determined a lower limit in terms of its Tier 1 capital, required by the second subparagraph of Article 395(1) of CRR, that limit shall be reported.

Institutions in %

Articles 395(1) and 459, point (a), CRR The amount that shall be reported is the absolute limit (reported in row 020) expressed as a percentage of the Tier 1 capital.

Global Systemically Important Institutions (G-SIIs)

Articles 395(1) of CRR The amount of the applicable limit for counterparties which are institution or group identified as a G-SII or as a non-EU G-SII shall be reported. In accordance with Article 395(1) CRR, this limit shall be the following:

a G-SII shall not incur an exposure to another institution or group identified as a G-SII or a non-EU G-SII, the value of which, after taking into account the effect of credit risk mitigation, exceeds 15 % of its Tier 1 capital.

5. C 27.00 – Identification of the counterparty (LE1)

5.

5.1. Instructions concerning specific columns Column Legal references and instructions 010-070 011 015 021 035 040 050 060 070

5.1. Counterparty Identification:

Institutions shall report the identification of any counterparty for which information is being submitted in any of the templates C 28.00 to C 29.00. The identification of the group of connected clients shall not be reported, unless the national reporting system provides a unique code for the group of connected clients. According to the third subparagraph of Article 394(1) CRR, institutions shall report the identification of the counterparty to which they have exposures of a value greater than or equal to EUR 300 million but less than 10 % of their Tier 1 capital. According to Article 394(1), point (a), CRR, institutions shall report the identification of the counterparty to which they have a large exposure as defined in Article 392 CRR. According to Article 394(2), point (a) CRR, institutions shall report the identification of the counterparty to which they have the largest exposures (in the cases where the counterparty is an institution or a shadow banking entity).

Code

The code as part of a row identifier must be unique for each reported entity. For institutions and insurance undertakings, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value.

Type of code

The institutions shall identify the type of code reported in column 010 as a LEI code or Non-LEI code. The type of code shall always be reported.

Name

The name shall correspond to the name of the group whenever a group of connected clients is reported. In any other case, the name shall correspond to the individual counterparty. For a group of connected clients, the name that shall be reported shall be the name of the parent company or, when the group of connected clients does not have a parent, it shall be the group’s commercial name.

National code

Institutions may additionally report the national code when they report LEI code as identifier in the Code column.

Residence of the counterparty

The ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used (including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s Balance of Payments Vademecum) For groups of connected clients, no residence shall be reported.

Sector of the counterparty

One sector shall be allocated to every counterparty on the basis of FINREP, Annex V, Part 1, paragraph 42, economic sector classes and splitting other financial corporations into investment firms and other financial corporations as follows: For groups of connected clients, no sector shall be reported.

(i) Central Banks;

(ii) General Governments;

(iii) Credit institutions;

(iv) Investment firms as defined in Article 4(1)(2) CRR;

(v) Other financial corporations (excluding investment firms);

(vi) Non-financial corporations;

(vii) Households.

NACE code

For the economic sector, the NACE codes (Nomenclature statistique des activités économiques dans l’Union européenne = Statistical Classification of Economic Activities in the European Union) shall be used. This column shall apply only for the counterparties Other financial corporations (excluding investment firms) and Non-financial corporations. NACE codes shall be used for Non-financial corporations with one level detail (e.g. F – Construction) and for Other financial corporations (excluding investment firms) with a two level detail, which provides separate information on insurance activities (e.g. K65 – Insurance, reinsurance and pension funding, except compulsory social security). The Other financial corporations (excluding investment firms) and Non-financial corporations economic sectors shall be derived from FINREP counterparty breakdown. For groups of connected clients, no NACE code shall be reported.

Type of counterparty

Article 394(2) CRR The type of the counterparty of the ten largest exposures to institutions and the ten largest exposures to shadow banking entities shall be specified by using I for institutions or S for shadow banking entities, which carry out banking activities outside the regulated framework.

6. C 28.00 — Exposures in the non-trading and trading book (LE2)

6.

6.1. Instructions concerning specific columns Column Legal references and instructions 010 020 030 040-180 040 050 060-110 060 70 080 090-110 090 100 110 120-170 120 130 140 150-170 150 160 170 180 190 200 210-230 210 220 Of which: Non-trading book The amount of the non-trading book from the total exposure before exemptions and CRM 230 240-310 240-290 240 250 260 270-290 270 280 290 300 310 320 330-350 330 340 350

6.1. Code

For a group of connected clients, if a unique code is available at national level, this code shall be reported as the code of the group of connected clients. Where there is no unique code at the national level, the code that shall be reported shall be the code of the parent company in C 27.00. In the cases where the group of connected clients does not have a parent, the code that shall be reported shall be the code of the individual entity which is considered by the institution as the most significant within the group of connected clients. In any other case, the code shall correspond to the individual counterparty. The codes shall be used in a consistent way across time. The composition of the code depends on the national reporting system, unless a uniform codification is available in the EU.

Group or individual

The institution shall report 1 for the reporting of exposures to individual clients and 2 for the reporting of exposures to groups of connected clients.

Transactions where there is an exposure to underlying assets

Article 390(7) CRR In accordance with further technical specifications by the national competent authorities, when the institution has exposures to the reported counterparty through a transaction where there is an exposure to underlying assets, the equivalent to Yes shall be reported; otherwise the equivalent to No shall be reported.

Original exposures

Articles 24, 389, 390 and 392 CRR The institution shall report in this block of columns the original exposures of direct exposures, indirect exposures, and additional exposures arising from transactions where there is an exposure to underlying assets. According to Article 389 CRR, assets and off balance sheet items shall be used without risk weights or degrees of risk. Specifically, credit conversion factors shall not be applied to off balance sheet items. These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210. The definition and calculation of the exposure value is set out in Articles 389 and 390 CRR. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 CRR. Exposures deducted from Common Equity Tier 1 items or Additional Tier 1 items, which are not exposures referred to in Article 390(6), point (e), CRR, shall be included in these columns. These exposures shall be deducted in column 200. Exposures referred to in Article 390(6), points (a) to (d), CRR shall not be included in these columns. Original exposures shall include any asset and off-balance sheet items. The exemptions of Article 400 CRR shall be deducted for the purpose of Article 395(1) CRR in column 320. Exposures from both non-trading and trading book shall be included. The net position calculated in accordance with point (b) of Article 390(3) CRR shall be reported as direct exposure and included in the column (060 or 070 or 080), that corresponds to the dominant instrument type. The dominant instrument shall be determined based on the value of the net position in each instrument type. For the breakdown of the exposures in financial instruments, where different exposures arising from netting agreements constitute a single exposure, the latter shall be allocated to the financial instrument corresponding to the principal asset included in the netting agreement (in addition, see the introductory section).

Total original exposure

The institution shall report the sum of direct exposures and indirect exposures as well as the additional exposures that arise from the exposure to transactions where there is an exposure to underlying assets.

Of which: defaulted

Article 178 CRR The institution shall report the part of the total original exposure corresponding to defaulted exposures.

Direct exposures

Direct exposures shall mean the exposures on immediate borrower basis.

Debt instruments

Regulation (EU) No 1071/2013 (ECB/2013/33) Annex II, Part 2, table, categories 2 and 3 Debt instruments shall include debt securities, and loans and advances. The instruments included in this column shall be those qualified as loans of up to and including one year/over one year and up to and including five years/of over five years’ original maturity, or as debt securities, according to ECB/2013/33. Repurchase transactions, securities or commodities lending or borrowing transactions (securities financing transactions) and margin lending transactions shall be included in this column.

Equity instruments

ECB/2013/33 Annex II, Part 2, table, categories 4 and 5 The instruments included in this column shall be those qualified as Equity or as Investment fund shares/units in accordance with ECB/2013/33.

Derivatives

Article 272(2) and Annex II CRR The instruments that shall be reported in this column shall include derivatives listed in Annex II CRR and long settlement transactions, as defined in Article 272(2) CRR. Credit derivatives that are subject to counterparty credit risk shall be included in this column.

Off balance sheet items

Annex I to CRR The value that shall be reported in these columns shall be the nominal value before any reduction of specific credit risk adjustments and without application of conversion factors.

Loan commitments

Annex I, points 1(c) and (h), 2(b)(ii), 3(b)(i) and 4(a), CRR Loan commitments are firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument.

Financial guarantees

Annex I, points 1(a), (b) and (f), CRR Financial guarantees are contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Credit derivatives that are not included in the column derivatives shall be reported in this column.

Other commitments

Other commitments are the items in Annex I to CRR that are not included in the previous categories. The exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the institution shall be reported in this column.

Indirect exposures

Article 403 of CRR In accordance with Article 403 CRR, a credit institution shall use the substitution approach where an exposure to a client is guaranteed by a third party, or secured by collateral issued by a third party. The institution shall report in this block of columns the amounts of the direct exposures that are re-assigned to the guarantor or the issuer of collateral provided that the latter would be assigned an equal or lower risk weight than the risk weight which would be applied to the client under Part Three, Title II, Chapter 2, CRR. In the case of exposures secured by collateral issued by a third party, Article 403(3) CRR offers an alternative treatment. The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of Eligible credit risk mitigation techniques. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral via substitution effect. This shall apply also to guarantees given within a group of connected clients. The institution shall report the original amount of the indirect exposures in the column that corresponds to the type of direct exposure guaranteed or secured by collateral such as, when the direct exposure guaranteed is a debt instrument, the amount of Indirect exposure assigned to the guarantor shall be reported under the column Debt instruments. Exposures arising from credit-linked notes shall also be reported in this block of columns, according to Article 399 CRR.

Debt instruments

See column 060.

Equity instruments

See column 070.

Derivatives

See column 080.

Off balance sheet items

The value of these columns shall be the nominal value before any reduction of specific credit risk adjustments and conversion factors are applied.

Loan commitments

See column 090.

Financial guarantees

See column 100.

Other commitments

See column 110.

Additional exposures arising from transactions where there is an exposure to underlying assets

Article 390(7) CRR Additional exposures that arise from transactions where there is an exposure to underlying assets.

(-) Value adjustments and provisions

Articles 34, 24, 110 and 111 CRR Value adjustment and provisions included in the corresponding accounting framework (Directive 86/635/EEC or Regulation (EC) No 1606/2002) that affect the valuation of exposures shall be determined in accordance with Articles 24 and 110 CRR. Value adjustments and provisions against the gross exposure given in column 040 shall be reported in this column.

(-) Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items

Article 390(6), point (e), CRR Exposures deducted from Common Equity Tier 1 or Additional Tier 1 items, which shall be included in the different columns of Total original exposure, shall be reported.

Exposure value before application of exemptions and CRM

Article 394(1), point (b), CRR Institutions shall report the exposure value before taking into account the effect of the credit risk mitigation, where applicable.

Total

The exposure value to be reported in this column shall be the amount used for determining whether an exposure is a large exposure according to the definition in Article 392 of CRR. This shall include the original exposure after subtracting value adjustments and provisions and the amount of the exposures deducted from Common Equity Tier 1 or Additional Tier 1 items.

% of Tier 1 capital

Articles 392 and 395 CRR The amount that shall be reported is the percentage of the exposure value before application of exemptions and CRM related to Tier 1 capital of the institution, as defined in Article 25 CRR.

(-) Eligible credit risk mitigation (CRM) techniques

Articles 399 and 401 to 403, CRR; CRM techniques as defined in Article 4(1), point (57), CRR The CRM techniques recognised in Part Three, Title II, Chapter 3 and 4, CRR shall be used in accordance with Articles 401 to 403, CRR. CRM techniques may have three different effects in the LE regime: substitution effect; funded credit protection other than substitution effect; and real estate treatment.

(-) Substitution effect of eligible credit risk mitigation techniques

Article 403 CRR The amount of funded and unfunded credit protection that shall be reported in these columns shall correspond to the exposures guaranteed by a third party, or secured by collateral issued by a third party, where the institution shall treat the portion of the exposure which is guaranteed and/or collateralised by the market value of recognised collateral as incurred with the guarantor or the issuer of collateral.

(-) Debt instruments

See column 060.

(-) Equity instruments

See column 070.

(-) Derivatives

See column 080.

(-) Off balance sheet items

The value of these columns shall be without application of conversion factors.

(-) Loan commitments

See column 090.

(-) Financial guarantees

See column 100.

(-) Other commitments

See column 110.

(-) Funded credit protection other than substitution effect

Article 401 CRR The institution shall report the amounts of funded credit protection, as defined in Article 4(1), point (58), CRR, that are deducted from the exposure value due to the application of Article 401 CRR. In accordance with Article 401(1) CRR, volatility adjustments shall be applied to the exposure value and shall be reported as an increase in the exposure value.

(-) Real estate

Article 402 CRR The institution shall report the amounts deducted from the exposure value due to the application of Article 402 CRR.

(-) Amounts exempted

Article 400 CRR The institution shall report the amounts exempted from the LE regime.

Exposure value after application of exemptions and CRM

Article 394(1), point (d), CRR The institution shall report the exposure value after taking into account the effect of the exemptions and credit risk mitigation calculated for the purpose of Article 395(1) CRR.

Total

This column shall include the amount to be taken into account in order to comply with the large exposures limit set out in Article 395 CRR.

Of which: Non-trading book

The institution shall report the total exposure after application of exemptions and after taking into account the effect of CRM belonging to the non-trading book.

% of Tier 1 capital

The institution shall report the percentage of the exposure value after application of exemptions and CRM related to the Tier 1 capital of the institution, as defined in Article 25 CRR.

7. C 29.00 – Details of the exposures to individual clients within groups of connected clients (LE3)

7.

7.1. Instructions concerning specific columns Column Legal references and instructions 010-360 The institution shall report in template LE3 the data of the individual clients belonging to the groups of connected clients included in the rows of template LE2. 010 020 030 050-360 When financial instruments in template LE2 are provided to the whole group of connected clients they shall be allocated to the individual counterparties in template LE3 in accordance with the business criteria of the institution. The remaining instructions are the same as for template LE2.

7.1. Code

Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. The code of the individual counterparty belonging to the groups of connected clients shall be reported. The codes shall be used in a consistent way across time.

Group code

Columns 010 and 020 are a composite row identifier, and together must be unique for each row in the table. If a unique code for a group of connected clients is available at national level, this code shall be reported. Where there is no unique code at the national level, the code that shall be reported shall be the code used for reporting exposures to the Group of Connected clients in C 28.00 (LE2). Where a client belongs to several groups of connected clients, it shall be reported as a member of all the groups of connected clients.

Transactions where there is an exposure to underlying assets

See column 030 of template LE2.

ANNEX X C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4) C 44.00 — GENERAL INFORMATION (LR5) C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc) C 48.01 — Leverage ratio volatility: Mean value for the reporting period (LR6.1) C 48.02 — Leverage ratio volatility: daily values for the reporting period (LR6.2) REPORTING ON LEVERAGE

LEVERAGE RATIO REPORTING TEMPLATES Template code Template code Name of the template Short name 47 C 47.00 Leverage ratio calculation LRCalc 40 C 40.00 Alternative treatment of the exposure measure LR1 43 C 43.00 Alternative breakdown of leverage ratio exposure measure components LR4 44 C 44.00 General information LR5 C 48.00 Leverage ratio volatility LR6 48.01 C 48.01 Leverage ratio volatility: Mean value for the reporting period LR6.1 48.02 C 48.02 Leverage ratio volatility: Leverage ratio volatility: daily values for the reporting period LR6.2 Row Accounting balance sheet value Accounting value assuming no netting or other CRM Add-on for SFTs Notional amount/ nominal value Capped notional amount Capped notional amount (same reference name) Leverage ratio exposure amount 0010 0020 0040 0070 0075 0085 0130 0010 Derivatives 0020 Credit derivatives (protection sold) 0030 Credit derivatives (protection sold), which are subject to a close out clause 0040 Credit derivatives (protection sold), which are not subject to a close out clause 0050 Credit derivatives (protection bought) 0060 Financial derivatives 0071 Security Financing Transactions 0090 Other assets 0095 Off-balance sheet items 0210 Cash collateral received in derivatives transactions 0220 Receivables for cash collateral posted in derivatives transactions 0230 Securities received in an SFT that are recognised as an asset 0240 SFT cash conduit lending (cash receivables) 0270 Public sector investments - Claims on central governments 0280 Public sector investments - Claims on regional governments 0290 Public sector investments - Claims on local authorities 0300 Public sector investments - Claims on public sector entities 0310 Promotional loans - Claims on central governments 0320 Promotional loans - Claims on regional governments 0330 Promotional loans - Claims on local authorities 0340 Promotional loans - Claims on public sector entities 0350 Promotional loans - Claims on non-financial corporations 0360 Promotional loans - Claims on households 0370 Promotional loans - Passing-through 0380 Central bank exposures 0390 The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount 0400 Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount 0410 Total assets Row Off-balance sheet items, derivatives, SFTs and trading book Leverage Ratio Exposure Value RWEA 0010 0020 0010 Off-balance sheet items 0020 of which:Trade finance 0030 of which:Under official export credit insurance scheme 0040 Derivatives and SFTs subject to a cross-product netting agreement 0050 Derivatives not subject to a cross-product netting agreement 0060 SFTs not subject to a cross-product netting agreement 0065 Exposure amounts resulting from the additional treatment for credit derivatives 0070 Other assets belonging to the trading book Row Other non-trading book exposures Leverage Ratio Exposure Value RWEAs SA Exposures IRB Exposures SA Exposures IRB Exposures 0010 0020 0030 0040 0080 Covered bonds 0090 Exposures treated as sovereigns 0100 Central governments and central banks 0110 Regional governments and local authorities treated as sovereigns 0120 MDBs and International organisations treated as sovereigns 0130 PSEs treated as sovereigns 0140 Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns 0150 Regional governments and local authorities not treated as sovereigns 0160 MDBs not treated as sovereigns 0170 PSEs not treated as sovereigns 0180 Institutions 0190 Secured by mortgages on immovable properties 0200 of which: Secured by mortgages of residential properties 0210 Retail exposures 0220 of which: Retail SME 0230 Corporate 0240 Financial 0250 Non-financial 0260 SME exposures 0270 Exposures other than SME exposures 0280 Exposures in default 0290 Other exposures 0300 of which:Securitisation exposures 0310 Trade finance (memo item) 0320 of which:Under official export credit insurance scheme Row Column 0010 0010 Institution's company structure 0020 Derivatives treatment 0040 Institution type 0070 Institution with a public development unit 0080 Central government guaranteeing the public development credit institution / unit 0090 Regional government guaranteeing the public development credit institution / unit 0100 Local authority guaranteeing the public development credit institution / unit 0110 Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Obligation to protect the credit institutions' viability 0120 Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Direct guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted 0130 Type of guarantee received in accordance with point (d) of Art 429a(2) CRR - Indirect guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted Row Exposure Values LR Exposure: Reporting reference date 0010 0010 SFTs: Exposure value 0020 SFTs: Add-on for counterparty credit risk 0030 Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR 0040 Counterparty credit risk of SFT agent transactions 0050 (-) Exempted CCP leg of client-cleared SFT exposures 0061 Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA) 0065 (-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR - replacement cost) 0071 (-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR - replacement cost) 0081 (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost) 0091 Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1) 0092 (-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR - Potential future exposure) 0093 (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure) 0101 Derogation for derivatives: replacement costs contribution under the simplified standardised approach 0102 (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs) 0103 Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1) 0104 (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - potential future exposure) 0110 Derogation for derivatives: original exposure method 0120 (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) 0130 Capped notional amount of written credit derivatives 0140 (-) Eligible purchased credit derivatives offset against written credit derivatives 0150 Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR 0160 Off-balance sheet items with a 20% CCF in accordance with Article 429f CRR 0170 Off-balance sheet items with a 50% CCF in accordance with Article 429f CRR 0180 Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR 0181 (-) General credit risk adjustments to off balance sheet items 0185 Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting 0186 Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting 0187 (-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR 0188 Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting 0189 (-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR 0190 Other assets 0191 (-) General credit risk adjustments to on balance sheet items 0193 Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework 0194 Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework 0195 Cash pooling arrangements that can be netted prudentially: value in the accounting framework 0196 Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework 0197 (-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR 0198 (-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR 0200 Gross up for derivatives collateral provided 0210 (-) Receivables for cash variation margin provided in derivatives transactions 0220 (-) Exempted CCP leg of client-cleared trade exposures (initial margin) 0230 Adjustments for SFT sales accounting transactions 0235 (-) Reduction of the exposure value of pre-financing or intermediate loans 0240 (-) Fiduciary assets 0250 (-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR 0251 (-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR 0252 (-) Excluded guaranteed parts of exposures arising from export credits 0253 (-) Excluded excess collateral deposited at triparty agents 0254 (-) Excluded securitised exposures representing significant risk transfer 0255 (-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR 0256 (-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR 0257 (-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR 0260 (-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR 0261 (-) Excluded exposures of public development credit institutions - Public sector investments 0262 (-) Excluded exposures of public development credit institutions - Promotional loans granted by a public development credit institution 0263 (-) Excluded exposures of public development credit institutions - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State 0264 (-) Excluded exposures of public development credit institutions - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution 0265 (-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by a public development credit institution 0266 (-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State 0267 (-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution 0270 (-) Asset amount deducted - Tier 1 capital - fully phased-in definition 0280 Asset amount deducted (-) or added (+) - Tier 1 capital - transitional definition 0290 Total Leverage Ratio exposure measure - using a fully phased-in definition of Tier 1 capital 0300 Total Leverage Ratio exposure measure - using a transitional definition of Tier 1 capital Row Capital 0310 Tier 1 capital -fully phased-in definition 0320 Tier 1 capital - transitional definition Row Leverage Ratio 0330 Leverage Ratio – using a fully phased-in definition of Tier 1 capital 0340 Leverage Ratio - using a transitional definition of Tier 1 capital Row Requirements: amounts 0350 Pillar 2 requirement (P2R) to address risks of excessive leverage 0360 of which: to be made up of CET1 capital 0370 G-SII leverage ratio buffer 0380 Pillar 2 guidance (P2G) to address risks of excessive leverage 0390 of which: to be made up of CET1 capital 0400 of which: to be made up of Tier 1 capital Row Requirements: ratios 0410 Pillar 1 Leverage Ratio requirement 0420 Total SREP leverage ratio requirement (TSLRR) 0430 TSLRR: to be made up of CET1 capital 0440 Overall leverage ratio requirement (OLRR) 0450 Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio 0460 OLRR and P2G: to be made up of CET1 capital 0470 OLRR and P2G: to be made up of Tier 1 capital Row Memorandum items 0480 Leverage ratio as if IFRS 9 or analogous ECL transitional arrangements had not been applied 0490 Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied Row SFTs exposure value Adjustments for SFT sales accounting transactions 0010 0020 0010 Mean value for the reporting period Reference date within reporting period SFTs exposure value Adjustments for SFT sales accounting transactions 0010 0020 0030

ANNEX XI INSTRUCTIONS FOR REPORTING ON LEVERAGE

PART I GENERAL INSTRUCTIONS

1. Structure and other conventions

1.

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

C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;

C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;

C43.00: Leverage Ratio Template 4 (LR4): Alternative breakdown of leverage ratio exposure measure components;

C44.00: Leverage Ratio Template 5 (LR5): General information;

C48.00: Leverage ratio volatility (LR6).

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.

CRD, which is an abbreviation of Capital Requirements Directive and shall mean Directive 2013/36/EU;

c.

SFT, which is an abbreviation of Securities Financing Transaction and shall mean repurchase transaction, securities or commodities lending or borrowing transaction, or margin lending transaction as referred to in point (139) of Article 4(1) in Regulation (EU) No 575/2013;

d.

CRM, which is an abbreviation for Credit Risk Mitigation;

e.

CSD, which is an abbreviation for Central Securities Depository;

f.

QCCP, which is an abbreviation for Qualifying Central Counterparty;

g.

PFE, which is an abbreviation for Potential Future Exposure.

1.4.9. Sign convention All amounts shall be reported as positive figures. With the exception of:

1.4.9. a.

The items whose label is preceded by a negative sign (-), where no positive figure is expected to be reported for that item.

b.

{LRCalc;0310;0010}, {LRCalc;0320;0010}, {LRCalc;0330;0010}, {LRCalc;0340;0010}, which could take negative values in extreme cases, otherwise they take positive values.

c.

{LRCalc;0280;0010} can take a positive values due to Article 473a(7) CRR, otherwise they take negative values.

PART II TEMPLATE RELATED INSTRUCTIONS

1.1.2.3. Formulas for leverage ratio calculation The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from LRCalc. Leverage Ratio – fully phased-in definition = {LRCalc;0310;0010}/{LRCalc;0290;0010}. Leverage Ratio – transitional definition = {LRCalc;0320;0010}/{LRCalc;0300;0010}.

2.4.5.6.7.8.9.10.11.12.13.14.

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 share Derivative exposure measureTotal exposure measure Where the derivative exposure measure is equal to: {LRCalc;0061;0010}+{LRCalc;0065;0010}+{LRCalc;0071;0010}+{LRCalc;0081;0010}+{LRCalc;0091;0010}+{LRCalc;0092;0010}+{LRCalc;0093;0010}+{LRCalc;0101;0010}+{LRCalc;0102;0010}+{LRCalc;0103;0010}+{LRCalc;0104;0010}+{LRCalc;0110;0010}+{LRCalc;0120;0010}+{LRCalc;0130;0010}+{LRCalc;0140;0010} Where total exposure measure is equal to: {LRCalc;0290;0010}. Total notional amount referenced by derivatives = {LR1; 0010;0070}. This is a cell that institutions shall always report. Credit derivatives volume = {LR1;0020;0070} + {LR1;0050;0070}. These are cells that institutions shall always report. Institutions are required to report the cells referred to in paragraph 13 if any of the following conditions is met: The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date, where they have exceeded the threshold on one reporting reference date. Institutions for which the total notional amount referenced by derivatives as defined in paragraph 8 exceeds 10 billion € shall report the cells referred to in paragraph 13, even though their derivatives share does not fulfil the conditions described in paragraph 10. The entry criteria of Article 4 of this Regulation shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date. Institutions are required to report the cells referred to in paragraph 14 if any of the following conditions is met: The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting from the next reporting reference date where they have exceeded the threshold on one reporting reference date. The cells which are required to be reported by institutions in accordance with paragraphs 10 and 11 are the following: {LR1;0010;0010}, {LR1;0010;0020}, {LR1;0020;0010}, {LR1;0020;0020}, {LR1;0030;0070}, {LR1;0040;0070}, {LR1;0050;0010}, {LR1;0050;0020}, {LR1;0060;0010}, {LR1;0060;0020}, and {LR1;0060;0070}. The cells which are required to be reported by institutions in accordance with paragraph 12 are the following: {LR1;0020;0075}, {LR1;0050;0075} and {LR1;0050;0085}.

2.4.5.6.7.8.9.10. a)

the derivatives share referred to in paragraph 5 is more than 1,5 %;

b)

the derivatives share referred to in paragraph 5 exceeds 2,0 %.

2.4.5.6.7.8.9.10.11.12. a)

the credit derivatives volume referred to in paragraph 9 is more than 300 million €;

b)

the credit derivatives volume referred to in paragraph 9 exceeds 500 million €.

3.15.16.17.18.19.

C 47.00 – Leverage ratio calculation (LRCalc) This template collects the data that are needed to calculate the leverage ratio as defined in Part Seven 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 the items in the Exposure values section with positive sign in accordance with the sign convention in paragraph 9 of Part I of this Annex (excluding {LRCalc;0270;0010} and {LRCalc;0280;0010}), as if the items with a negative sign (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex 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. Where an amount could qualify for deduction on multiple grounds, the amount shall only be reduced from the exposure in one of the rows of template C47.00. Legal references and instructions Row and column Exposure Values {0010;0010} {0020;0010} {0030;0010} {0040;0010} {0050;0010} {0061;0010} {0065;0010} {0071;0010} {0081;0010} {0091;0010} {0092;0010} {0093;0010} {0101;0010} {0102;0010} {0103;0010} {0104;0010} {0110;0010} {0120;0010} {0130;0010} {0140;0010} {0150;0010} {0160;0010} {0170;0010} {0180;0010} {0181;0010} {0185;0010} {0186;0010} {0187;0010} {0188;0010} {0189;0010} {0190;0010} {0191;0010} {0193;0010} {0194;0010} {0195;0010} {0196;0010} {0197;0010} {0198;0010} {0200;0010} {0210;0010} {0220;0010} {0230;0010} {0235;0010} {0240;0010} {0250;0010} {0251;0010} {0252;0010} {0253;0010} {0254;0010} {0255;0010} {0256;0010} {0257;0010} {0260;0010} {0261;0010} {0262;0010} {0263;0010} {0264;0010} {0265;0010} {0266;0010} {0267;0010} {0270;0010} {0280;0010} {0290;0010} {0300;0010} Row and column Capital {0310;0010} {0320;0010} Row and column Leverage Ratio {0330;0010} {0340;0010} Row and column Requirements: amounts {0350;0010} {0360;0010} {0370;0010} {0380;0010} {0390;0010} {0400;0010} Row and column Requirements: ratios {0410;0010} {0420;0010} {0430;0010} {0440;0010} {0450;0010} {0460;0010} {0470;0010} Row and column Memorandum items {0480;0010} {0490;0010}

SFTs: Exposure value

Point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR The exposure for SFTs calculated in accordance with point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR. Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {0190;0010}. Institutions shall not include in this cell 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 point (a) of Article 429e(7) CRR.

SFTs: Add-on for counterparty credit risk

Article 429e(1) CRR The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with paragraph (2) or (3) and paragraph (4) of Article 429e CRR, as applicable. Institutions shall consider in this cell transactions in accordance with point (c) Article 429e(7) CRR. Institutions shall not include in this cell 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 point (a) of Article 429e(7) CRR. Institutions shall instead include those items in {0040;0010}.

Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 CRR

Article 429e(5) and 222 CRR The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight. Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method refer to in Article 429e(1) CRR.

Counterparty credit risk of SFT agent transactions

Point (a) of paragraph (7) and paragraphs (2) and (3) of Article 429e 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 point (a) of Article 429e(7) CRR, consists only of the add-on determined in accordance with paragraph (2) or (3) of Article 429e CRR, as applicable. Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7). Institutions shall instead include those items in {0010;0010} and {0020;0010} or {0010;0010} and {0030;0010}, as applicable.

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

Point (g) of Article 429a(1) and point (c) of Article 306(1) CRR The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) CRR) is included at full value. Institutions shall, as if no exemption applies, also include the amount reported in this cell in {0010;0010}, {0020;0010} and {0030;0010}, and, if it is a re-pledged security that under the applicable accounting framework is included at full value, additionally in {0190;0010}. Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {0190;0010} and not reported in {0020;0010} or {0030;0010}, then the institution can report it in this cell.

Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA)

Articles 429c(1) CRR The replacement Cost as per Article 275 CRR without the effect of collateral on NICA, and without the effect of any variation margin. Institutions shall not apply the derogations of paragraph (3) and (4) of Article 429c and point (g) of Article 429a(1) CRR for the purposes of this cell. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) CRR. Institutions shall include all credit derivatives, not solely those in the trading book. Institutions shall not consider in this cell contracts measured by application of the simplified standardised approach or the original exposure method.

(-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR – replacement cost)

Article 429c(4) CRR Application of the derogation of 429c(4) CRR on the calculation of the replacement cost for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0061;0010} as if no derogation applies.

(-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR – replacement cost)

Article 429c(3) CRR Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429c(3) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Any cash variation margin received on an exempted CCP leg in accordance with point (g) of Article 429a(1) CRR shall not be reported. Institutions shall include the amount reported in this cell also in {0061;0010} as if no deduction of cash variation margin applies.

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost)

Point (g) of Article 429a(1) CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0061;0010} as if no exemption applies.

Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)

Article 429c(5) CRR Potential future exposure as per Article 278 CRR assuming a multiplier of 1, i.e. without the application of the derogation regarding contracts with clients where those contracts are cleared by a QCCP of 429c(5) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

(-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR – Potential future exposure)

Article 429c(5) CRR Application of the derogation of Article 429c(5) CRR on the calculation of the PFE for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0091;0010} as if no derogation applies.

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure)

Point (g) of Article 429a(1) CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0091;0010} as if no exemption applies.

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

Articles 429c(6) and 281 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the simplified standardised approach set out in Article 281 CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – replacement costs)

Point (g) of Article 429a(1) CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0101;0010} as if no exemption applied.

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1)

Point (f) of Article 281(2) and Article 429c(6) CRR The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR.

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – potential future exposure)

Point (g) of Article 429a(1) CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {0103;0010} as if no exemption applied.

Derogation for derivatives: original exposure method

Articles 429c(6) and 282 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the original exposure method set out in Article 282 CRR. Institutions that apply the original exposure method shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Institutions that do not use the original exposure method shall not report this cell. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the simplified standardised approach.

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

Point (g) of Article 429a(1) CRR The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 282 CRR, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Institutions shall include the amount reported in this cell also in {0110;0010} as if no exemption applied.

Capped notional amount of written credit derivatives

Article 429d CRR Institutions shall determine capped notional amount of written credit derivatives, as defined in Article 429d(1), in accordance with Article 429d CRR.

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

Article 429d CRR Capped notional amount of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {0130;0010} for each reference name.

Off-balance sheet items with a 10 % CCF in accordance with Article 429f CRR

Article 429f, point (d) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (d) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. 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) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

Off-balance sheet items with a 20 % CCF in accordance with Article 429f CRR

Article 429f, point (c) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (c) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. 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) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

Off-balance sheet items with a 50 % CCF in accordance with Article 429f CRR

Article 429f, point (b) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (b) of Article 111(1) 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 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. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 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) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

Off-balance sheet items with a 100 % CCF in accordance with Article 429f CRR

Article 429f, point (a) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (a) of Article 111(1) CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero. This cell includes liquidity facilities and other commitments to securitisations. 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) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

(-) General credit risk adjustments to off balance sheet items

Article 429(4) CRR The amount of general credit risk adjustments corresponding to off-balance sheet items referred to in point (d) of Article 429(4), which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. The amount reported shall not be taken into account as a reduction in the calculation of off-balance sheet items reported in rows from {0150;0010} to {0180;0010}.

Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting

Article 429g(1) CRR The sum of: Institutions that follow the trade date accounting shall report the abovementioned sum in this cell instead of row 0190 other assets, while they shall report the securities related to regular-way purchases in row 0190.

The amount of the cash related to regular-way purchases which remain on the balance sheet until the settlement date as assets in accordance with point (a) of Article 429(4) CRR;

The cash receivables related to regular-way sales which remain on the balance sheet as assets until the settlement date in accordance with point (a) of Article 429(4) CRR. This amount is after the effect of offsetting between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchases awaiting settlement, as allowed under the applicable accounting framework.

Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting

Article 429g(2) CRR The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchase awaiting settlement allowed under the accounting framework.

(-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR

Article 429g(2) CRR The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR.

Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting

Article 429g(3) CRR The full nominal value of commitments to pay related to regular-way purchases, for institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales. Securities related to regular-way sales shall be reported in row 0190 other assets.

(-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR

Article 429g(3) CRR The part of the amount reported in row 0188 offset by the full nominal value of cash receivables related to regular-way sales awaiting settlement in accordance with Article 429g(3) CRR.

Other assets

Point (a) of Article 429(4) CRR All assets other than derivatives contracts listed in Annex II CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429b(1) and 429(7) CRR. Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here. The amount reported in row {0191;0010} shall not be taken into account as a reduction in the calculation of this row. Cash pooling arrangements shall be reported in rows {0193;0010}, {0194;0010}, {0195;0010}, {0196;0010}, {0197;0010} and {0198;0010} and not here.

(-) General credit risk adjustments to on balance sheet items

Article 429(4) CRR The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. The amount reported shall not be taking into account as a reduction in the calculation of other assets reported in {0190;0010}.

Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that cannot be netted in accordance to paragraphs (2) and (3) of Article 429b CRR.

Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework

Article 429 (7(b) and paragraph (2) and (3) of 429b CRR The amount netted under the applicable accounting framework on the cash pooling arrangements that cannot be netted prudentially, reported in {0193;0010}.

Cash pooling arrangements that can be netted prudentially: value in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that can be netted in accordance to paragraph (2) and (3) of Article 429b CRR.

Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR The amount netted under the applicable accounting framework on the cash pooling arrangements that can be netted prudentially, reported in {0195;0010}. Where the institution meets point (b) of Article 429b(2), they shall not apply the gross-up in this row to balances extinguished on the basis of the process set out in point (a) of Article 429b(2).

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR

Article 429b(2) CRR The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(2).

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR

Article 429b(3) CRR The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(3).

Gross-up for derivatives collateral provided

Article 429c(2) CRR The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR.

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

Point (c) of Article 429c(3) CRR The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. The amount reported shall also be included in the other assets reported in {0190;0010}.

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

Point (g) of Article 429a(1) CRR The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount reported shall also be included in the other assets reported in {0190;0010}.

Adjustments for SFT sales accounting transactions

Article 429e(6) CRR The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.

(-) Reduction of the exposure value of pre-financing or intermediate loans

Article 429(8) CRR The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR. The amount reported shall be included in the other assets reported in {0190;0010}.

(-) Fiduciary assets

Point (i) of Article 429a(1) CRR The value of fiduciary assets that are recognised on the institution’s balance sheet by national generally accepted accounting principles, meet the IFRS9 criteria for non-recognition and, where applicable, IFRS 10 for non-consolidation, in accordance with point (i) of Article 429a(1) 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 {0190;0010}.

(-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR

Point (c) of Article 429a(1) and Article 113(6) 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) CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) 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.

(-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR

Point (c) of Article 429a(1) and Article 113(7) CRR Exposures that can benefit from the treatment laid down in Article 113(7) CRR, provided that all the conditions set out in points (a) to (i) of Article 113(7) 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.

(-) Excluded guaranteed parts of exposures arising from export credits

Point (f) of Article 429a(1) CRR The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded excess collateral deposited at triparty agents

Point (k) of Article 429a(1) CRR The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1). The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded securitised exposures representing significant risk transfer

Point (m) of Article 429a(1) CRR The securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2). The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR

Point (n) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR

Point (o) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR

Point (p) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR

Point (j) of Article 429a(1) CRR Exposures exempted in accordance with point (j) of 429a(1) CRR subject to the therein stated conditions being met. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded exposures of public development credit institutions – Public sector investments

Point (d) of paragraph (1) and paragraph (2) of Article 429a CRR The exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR. Where the claim also qualifies as promotional loan under Article 429a(3), it shall not be reported in this cell but under rows 0262-0264 as applicable. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded exposures of public development credit institutions – Promotional loans granted by a public development credit institution

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The exposures arising from promotional loans, including passing-through promotional loans, granted by a public development credit institution, which can be excluded in accordance with point (d) of Article 429a(1) CRR. The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) CRR, shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity directly set up by the central government, regional governments or local authorities of a Member State, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by a public development credit institution

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by a public development credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity directly set up by the central government, regional governments or local authorities of a Member State. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied.

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. 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

Point (b) of Article 429a(1) and point (a) of Article 499(1) CRR It includes all the adjustments that target the value of an asset and which are required by: as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.

Articles 32 to 35 CRR, or

Articles 36 to 47 CRR, or

Articles 56 to 60 CRR,

Asset amount deducted (-) or added (+) – Tier 1 capital – transitional definition

Point (b) of Articles 429a(1) and point (a) of Article 499(1) CRR It includes all the adjustments that adjust the value of an asset and which are required by: as applicable. Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010} nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. In addition, institutions shall report in this row as a positive value the amounts to be added back to the leverage ratio exposure measure in accordance with Article 473a(7) CRR and 473a (7a) CRR.

Articles 32 to 35 CRR, or

Articles 36 to 47 CRR, or

Articles 56 to 60 CRR,

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

Institutions shall report the sum of all rows from 0010 to 0267 and row 0270.

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

Institutions shall report the sum of all rows from 0010 to 0267 and row 0280.

Tier 1 capital – fully phased-in definition

Article 429(3) and point (a) of Article 499(1) CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.

capital – transitional definition

Articles 429(3) and point (b) of Article 499(1) CRR This shall be the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.

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

Articles 429(2) and 499(1) CRR This shall be the leverage ratio as calculated under paragraph 4 of Part II of this Annex.

Leverage Ratio – using a transitional definition of Tier 1 capital

Articles 429(2) and 499(1) CRR This shall be the leverage ratio as calculated under paragraph 5 of Part II of this Annex.

Pillar 2 requirement (P2R) to address risks of excessive leverage

Article 104 and 104a CRD; additional own funds required by the competent authority to address risks of excessive leverage, as referred to in Article 104 of the CRD

of which: to be made up of CET1 capital

The part of the P2R, referred to in row 0350, which is required by the competent authority to be held in the form of CET1 capital

G-SII leverage ratio buffer

Article 92(1a) CRR G-SIIs shall report the value of the G-SII add-on for the leverage ratio determined in accordance with Article 92(1a) CRR. G-SIIs shall report this amount as of the date of application of the buffer following the CRR.

Pillar 2 guidance (P2G) to address risks of excessive leverage

Article 104b CRD; additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD

of which: to be made up of CET1 capital

The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of CET1 capital

of which: to be made up of Tier 1 capital

The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of Tier 1 capital

Pillar 1 Leverage Ratio requirement

Point (d) of Article 92(1), Article 429a(7) and point (n) of Article 429a(1) CRR; the leverage ratio required to address risks of excessive leverage, as referred to in point (d) of Article 92(1) CRR Institutions that exclude exposures to the institution’s central bank as referred to in point (n) of paragraph 1 of Article 429a shall report the Adjusted Leverage Ratio requirement as per Article 429a(7) CRR.

Total SREP leverage ratio requirement (TSLRR)

Article 104 and 104a CRD The sum of (i) and (ii) as follows: Institutions shall calculate point (ii) by dividing the value in {0350;0010} by that in {0300;0010}. If no additional own funds requirements were communicated by the competent authority, then only point (i) shall be reported.

(i) the Pillar 1 Leverage Ratio Requirement as reported in row 0410;

(ii) the additional own funds ratio required by the competent authority (P2R) to address risks of excessive leverage, as referred to in Article 104 CRD.

TSLRR: to be made up of CET1 capital

The part of the additional own funds ratio, referred to in point (ii) of row 0420, that is required by the competent authority to be held in the form of CET1 capital Institutions shall calculate this value by dividing the value in {0360;0010} with that in {0300;0010}.

Overall leverage ratio requirement (OLRR)

Article 92(1a) CRR The sum of (i) and (ii) as follows: Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}. Point (ii) shall only be taken into account by G-SIIs as of the date of application of the buffer following the CRR. If no G-SII add-on is applicable, only point (i) shall be reported.

(i) the TSLRR referred to in row 0420;

(ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure.

Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio

Article 104b CRD The sum of (i) and (ii) as follows: Institutions shall calculate point (ii) by dividing the value in {0380;0010} with that in {0300;0010}. If no P2G is communicated by the competent authority, then only point (i) shall be reported.

(i) the OLRR referred to in row 0440;

(ii) additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD, expressed as a percentage of the total leverage ratio exposure.

OLRR and P2G: to be made up of CET1 capital

The sum of (i) and (ii) as follows: Institutions shall calculate point (ii) by dividing the value in {0390;0010} with that in {0300;0010}. If no P2G is communicated by the competent authority, then only point (i) shall be reported.

(i) the part of the additional own funds ratio which is required by the competent authority to be held in the form of CET1 capital, as referred to in row 0430;

(ii) the part of the P2G ratio, referred to in point (ii) in row 0450, which is communicated by the competent authority to be held in the form of CET 1 capital.

OLRR and P2G: to be made up of Tier 1 capital

The sum of (i), (ii) and (iii) as follows: Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}. Institutions shall calculate point (iii) by dividing the value in {0400;0010} with that in {0300;0010}. If no G-SII add-on is applicable, only points (i) and (iii) shall be reported. If no P2G is communicated by the competent authority, then only points (i) and (ii) shall be reported.

(i) the total SREP leverage ratio requirement, as referred to in row 0420;

(ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure.

(iii) the part of the P2G ratio, referred to in point (ii) in row 0450, which is required by the competent authority to be held in the form of Tier 1 capital.

Leverage ratio as if the IFRS 9 or analogous ECL transitional arrangements had not been applied

Articles 473a(8) CRR Institutions that have decided to apply the transitional arrangements set out in Article 473a CRR shall report the leverage ratio they would have in case they were not to apply this Article.

Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied

Article 468(5) CRR Institutions that have decided to apply the temporary treatment set out in paragraph 1 of Article 468 CRR shall report the leverage ratio they would have in case they were not to apply that treatment.

4.20.21.22.23.

C 40.00 – Alternative treatment of the Exposure Measure (LR1) This part of the reporting collects data on an alternative treatment of derivatives, SFTs, off-balance sheet items, exempted public sector investments and exempted exposures to promotional loans. Institutions shall determine the accounting balance sheet values in LR1 based on the applicable accounting framework in accordance with point (77) of Article 4(1) CRR. Accounting value assuming no netting or other CRM refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation. Institutions shall report LR1 items as if the items with a negative sign in the LRCalc template (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}, did not apply. {r0410;c0010} in template 40.00 shall only be reported by: Row and column Legal references and instructions {0010;0010} {0010;0020} {0010;0070} {0020;0010} {0020;0020} {0020;0070} {0020;0075} {0030;0070} {0040;0070} {0050;0010} {0050;0020} {0050;0070} {0050;0075} {0050;0085} {0060;0010} {0060;0020} {0060;0070} {0071;0010} {0071;0020} {0090;0010} {0090;0020} {0095;0070} {0210;0020} {0220;0020} {0230;0020} {0240;0020} {0270;0010} {0280;0010} {0290;0010} {0300;0010} {0310;0010} {0310;0070} {0320;0010} {0320;0070} {0330;0010} {0330;0070} {0340;0010} {0340;0070} {0350;0010} {0350;0070} {0360;0010} {0360;0070} {0370;0010} {0370;0070} {0380;0010} {0390;0140} {0400;0140} {0410;0010}

large institutions which are either G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency,

large institutions other than G-SIIs that are not-listed institutions with an annual frequency,

other institutions than large institutions and small and non-complex institutions, which have issued securities that are admitted to trading on a regulated with an annual frequency.

Derivatives – Accounting balance sheet value

This shall be the sum of {0020;010}, {0050;0010} and {0060;0010}.

Derivatives – Accounting value assuming no netting or other CRM

This shall be the sum of {0020;0020}, {0050;0020} and {0060;0020}.

Derivatives – Notional amount

This shall be the sum of {0020;0070}, {0050;0070} and {0060;0070}.

Credit derivatives (protection sold) – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet

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

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

Credit derivatives (protection sold) – Notional amount

This shall be the sum of cells {0030;0070} and {0040;0070}

Credit derivatives (protection sold) – Capped notional amount

Institutions shall report the notional amount referenced by the credit derivatives (protection sold) as in {0020; 0070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative.

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

Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.

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

Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.

Credit derivatives (protection bought) – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet Institutions shall consider all credit derivatives, not just those assigned to the trading book.

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

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) Institutions shall consider all credit derivatives, not just those assigned to the trading book.

Credit derivatives (protection bought) – Notional amount

Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.

Credit derivatives (protection bought) – Capped notional amount

Institutions shall report the notional amount referenced by credit derivatives (protection bought) as in {0050;0070} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative.

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

Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution. For the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities shall be considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection taken into for the reporting purpose in this cell shall not exceed the amounts reported in {0020;0075} and {0050;0075}.

Financial derivatives – Accounting balance sheet value

Point (77) of Article 4(1) CRR Institutions shall report the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet.

Financial derivatives – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

Financial derivatives – Notional amount

This cell shall include the notional amount referenced by contracts listed in Annex II CRR.

Security Financing Transactions – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value of SFTs under the applicable accounting framework where the contracts are recognised as assets on the balance sheet Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {0090,0010}.

Security Financing Transactions – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {0090,0020}.

Other assets – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs.

Other assets – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs 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)

Off-balance sheet items

Institutions shall report the nominal value of off-balance sheet items. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives and SFTs in accordance with Article 429f(1) CRR.

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

The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions 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) For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell.

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

The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable.

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

The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework 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)

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

The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions. A CCLT shall be defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions:

(a) both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days;

(b) where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(c) where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(d) it does not give rise to any other incremental exposures.

Public sector investments- Claims on central governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to public sector investments The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Public sector investments- Claims on regional governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to public sector investments The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Public sector investments – Claims on local authorities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to public sector investments The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Public sector investments- Claims on public sector entities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to public sector investments The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on central governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on central governments – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to central governments The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on regional governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on regional governments – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to regional governments The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on local authorities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on local authorities – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to local authorities The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

Promotional loans – Claims on public sector entities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on public sector entities – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to public sector entities The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on non-financial corporations – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on non-financial corporations in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on non-financial corporations – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to non-financial corporations The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on households – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on households in relation to promotional loans The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Claims on households – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to households The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Passing-through- Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of passing-through promotional loans, when the promotional loans have not been granted by the institution itself The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Promotional loans – Passing-through- Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of passing-through promotional loans, when the promotional loans have not been granted by the institution itself The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

Central bank exposures – Accounting balance sheet value

Institutions shall report, in accordance with the applicable accounting framework, the value of the following exposures to the institution’s central bank: (i) coins and banknotes constituting legal currency in the jurisdiction of the central bank; (ii) assets representing claims on the central bank, including reserves held at the central bank. Institutions shall only include exposures that meet both of the following conditions: (a) they are denominated in the same currency as the deposits taken by the institution; (b) their average maturity does not significantly exceed the average maturity of the deposits taken by the institution. Institutions shall report these exposures irrespectively of whether they are exempted from the total exposure measure following Article 429a(5) and (6) CRR.

The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount

The daily average total value of the institution’s exposures to its central bank, calculated over the full reserve maintenance period of the central bank just preceding the date referred to in point (c) of Article 429a(5) CRR, that are eligible to be excluded in accordance with point (n) of Article 429a(1) CRR.

Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount

The institution’s total exposure measure as defined in Article 429(4) CRR, including any exposures excluded in accordance with point (n) of Article 429(1) CRR, on the date referred to in point (c) of Article 429a(5) CRR

Total assets

Institutions shall report in this item the total assets following the scope used in the published financial statements.

5.24.25.26.27.

C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4) Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions and deductions in the LRCalc template, i.e. the items with a negative sign in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {0270;0010} {0280;0010}. In order to avoid double-counting, institutions shall uphold the following equation: The sum of all rows from {0010; 0010} to {0267;0010} in template LRCalc shall be equal to = [{LR4;0010;0010} + {LR4;0040;0010} + {LR4;0050;0010} + {LR4;0060;0010} + {LR4;0065;0010} + {LR4;0070;0010} + {LR4;0080;0010} + {LR40;080;0020} + {LR4;0090;0010} + {LR4;00090;0020} + {LR4;0140;0010} + {LR4;0140;0020} + {LR4;0180;0010} + {LR4;0180;0020} + {LR4;190;0010} + {LR4;0190;0020} + {LR4;0210;0010} + {LR4;0210;0020} + {LR4;0230;0010} + {LR4;0230;0020} + {LR4;0280;0010} + {LR4;0280;0020} + {LR4;0290;0010} + {LR4;0290;0020}]. In order to be consistent with the leverage ratio exposure values, the risk-weighted exposure amounts shall also be reported fully phased in. Institutions shall report the counterparty in relation to RWEA after credit risk mitigation (CRM) techniques and its substitution effects. Institutions shall report the counterparty in relation to LRE in accordance with the original counterparty, i.e. without taking into account any CRM or substitution effect applicable to RWEA. Row and column Legal references and instructions {0010;0010} {0010;0020} {0020;0010} {0020;0020} {0030;0010} {0030;0020} {0040;0010} {0040;0020} {0050;0010} {0050;0020} {0060;0010} {0060;0020} {0065;0010} {0070;0010} {0070;0020} {0080;0010} {0080;0020} {0080;0030} {0080;0040} {0090,0010} {0090;0020} {0090;0030} {0090;0040} {0100;0010} {0100;0020} {0100;0030} {0100;0040} {0110;0010} {0110;0020} {0110;0030} {0110;0040} {0120;0010} {0120;0020} {0120;0030} {1020;0040} {0130;0010} {0130;0020} {0130;0030} {0130;0040} {0140;0010} {0140;0020} {0140;0030} {0140;0040} {0150;0010} {0150;0020} {0150;0030} {0150;0040} {0160;0010} {0160;0020} {0160;0030} {0160;0040} {0170;0010} {0170;0020} {0170;0030} {0170;0040} {0180;0010} {0180;0020} {0180;0030} {0180;0040} {0190;0010} {0190;0020} {0190;0030} {0190;0040} {0200;0010} {0200;0020} {0200;0030} {0200;0040} {0210;0010} {0210;0020} {0210;0030} {0210;0040} {0220;0010} {0220;0020} {0220;0030} {0220;0040} {0230;0010} {0230;0020} {0230;0030} {0230;0040} {0240;0010} {0240;0020} {0240;0030} {0240;0040} {0250;0010} {0250;0020} {0250;0030} {0250;0040} {0260;0010} {0260;0020} {0260;0030} {0260;0040} {0270;0010} {0270;0020} {0270;0030} {0270;0040} {0280;0010} {0280;0020} {0280;0030} {0280;0040} {0290;0010} {0290;0020} {0290;0030} {0290;0040} {0300;0010} {0300;0020} {0300;0030} {0300;0040} {0310;0010} {0310;0020} {0310;0030} {0310;0040} {0320;0010} {0320;0020} {0320;0030} {0320;0040}

Off-balance sheet items– Leverage Ratio Exposure Value

The leverage ratio exposure value calculated as the sum of {LRCalc;0150;0010}, {LRCalc;0160;0010}, {LRCalc;0170;0010} and {LRCalc;0180;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.

Off-balance sheet items– RWEA

The risk-weighted exposure amount of off-balance sheet items – excluding SFTs and derivatives – as in the Standardised Approach and the IRB Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2 of Title II of Part Three CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3 of Title II of Part Three CRR.

of which: Trade Finance;– Leverage Ratio Exposure Value

The leverage ratio exposure value of off-balance sheet items related to trade finance For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit that are short-term and self-liquidating, and similar transactions.

of which: Trade Finance– RWEA

The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit that are short-term and self-liquidating, and similar transactions.

of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value

The leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

of which: Under official export credit insurance scheme – RWEA

The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

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

The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) CRR

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

The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) CRR

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

The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

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

The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

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) CRR

SFTs not subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

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

This cell shall equal the difference between {LRCalc;0130;0010} and {LRCalc;0140;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.

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

The leverage ratio exposure value of items reported in {LRCalc;0190;0010} excluding non-trading book items

Other assets belonging to the trading book – RWEA

Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three CRR

Covered bonds – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures in the form of covered bonds as in Article 129 CRR Institutions shall report net of defaulted SA exposures.

Covered bonds – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR Institutions shall report net of defaulted IRB exposures.

Covered bonds – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures in the form of covered bonds as in Article 129 CRR Institutions shall report net of defaulted SA exposures.

Covered bonds – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR Institutions shall report net of defaulted IRB exposures.

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

This shall be the sum of cells from {0100,0010} to {0130,0010}. Institutions shall report net of defaulted SA exposures.

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

This shall be the sum of cells from {0100,0020} to {0130,0020}. Institutions shall report net of defaulted IRB exposures.

Exposures treated as sovereigns – RWEA – SA exposures

This shall be the sum of cells from {0100,0030} to {0130,0030}. Institutions shall report net of defaulted SA exposures.

Exposures treated as sovereigns – RWEA – IRB exposures

This shall the sum of cells from {0100,0040} to {0130,0040}. Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to central governments or central banks as in Article 114 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR Institutions shall report net of defaulted IRB exposures.

Central governments and central banks – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to central governments or central banks as in Article 114 CRR Institutions shall report net of defaulted SA exposures.

Central governments and central banks – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraph (2) and (4) of Article 115 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures.

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

The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraphs (2) and (4) of Article 115 CRR Institutions shall report net of defaulted SA exposures.

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

The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures.

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

The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR Institutions shall report net of defaulted SA exposures.

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

The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR Institutions shall report net of defaulted IRB exposures.

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

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

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

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

PSEs treated as sovereigns – RWEA – SA exposures

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

PSEs treated as sovereigns – RWEA – IRB exposures

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

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

This is shall be the sum of cells from {0150,0010} to {0170,0010}. Institutions shall report net of defaulted SA exposures.

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

This shall be the sum of cells from {0150,0020} to {0170,0020}. Institutions shall report net of defaulted IRB exposures.

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

This shall be the sum of cells from {0150,0030} to {0170,0030}. Institutions shall report net of defaulted SA exposures.

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

This shall be the sum of cells from {0150,0040} to {0170,0040}. Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures.

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

The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR Institutions shall report net of defaulted SA exposures.

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

The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures.

MDBs not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR Institutions shall report net of defaulted SA exposures.

MDBs not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR Institutions shall report net of defaulted SA exposures.

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

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

PSEs not treated as sovereigns – RWEA – SA exposures

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

PSEs not treated as sovereigns – RWEA – IRB exposures

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

Institutions – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR Institutions shall report net of defaulted SA exposures.

Institutions – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures.

Institutions – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR Institutions shall report net of defaulted SA exposures.

Institutions – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to corporate under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures.

Secured by mortgages on immovable properties– RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR Institutions shall report net of defaulted SA exposures.

Secured by mortgages on immovable properties– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporate under point (c) of Article 147(2 or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures.

of which: Secured by mortgages of residential properties – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR Institutions shall report net of defaulted SA exposures.

of which: Secured by mortgages of residential properties – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures.

Retail exposures– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail SA exposures that fall under Article 123 CRR Institutions shall report net of defaulted SA exposures.

Retail exposures– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures.

Retail exposures– RWEA – SA exposures

The risk-weighted exposure amount of assets that are retail SA exposures that fall under Article 123 CRR Institutions shall report net of defaulted SA exposures.

Retail exposures– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR Institutions shall report net of defaulted IRB exposures.

of which: Retail SME – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures.

of which: Retail SME – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures.

of which: Retail SME – RWEA – SA exposures

The risk-weighted exposure amount of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures.

of which: Retail SME – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures.

Corporate– Leverage Ratio Exposure Value – SA exposures

This shall be the sum of {0240,0010} and {0250,0010}. Institutions shall report net of defaulted SA exposures.

Corporate– Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of {0240,0020} and {0250,0020}. Institutions shall report net of defaulted IRB exposures.

Corporate– RWEA – SA exposures

This shall be the sum of {0240,0030} and {0250,0030}. Institutions shall report net of defaulted SA exposures.

Corporate– RWEA – IRB exposures

This shall be the sum of {0240,0040} and {0250,0040}. Institutions shall report net of defaulted IRB exposures.

Financial – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to financial corporates that fall under Article 122 CRR For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted SA exposures.

Financial – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted IRB exposures.

Financial – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to financial corporates that fall under Article 122 CRR For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted SA exposures.

Financial – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, 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 point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}. Institutions shall report net of defaulted IRB exposures.

Non-financial– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR This shall be the sum of {0260,0010} and {0270,0010}. Institutions shall report net of defaulted SA exposures.

Non-financial– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR This shall be the sum of {0260,0020} and {0270,0020}. Institutions shall report net of defaulted IRB exposures.

Non-financial– RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR This shall be the sum of {0260,0030} and {0270,0030}. Institutions shall report net of defaulted SA exposures.

Non-financial– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR This shall be the sum of {0260,0040} and {0270,0040}. Institutions shall report net of defaulted IRB exposures.

SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures.

SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures.

SME exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted SA exposures.

SME exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR For the purpose of this cell, institutions shall use the term small and medium enterprise as defined in point (b) of Article 501(2) CRR. Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted IRB exposures.

Exposures other than SME exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted SA exposures.

Exposures other than SME exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040} Institutions shall report net of defaulted IRB exposures.

Exposures in default – Leverage Ratio Exposure Value – SA exposures

Institutions shall report the leverage ratio exposure value of assets that are SA exposures in default and thus fall under Article 127 CRR.

Exposures in default – Leverage Ratio Exposure Value – IRB exposures

Institutions shall report the leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

Exposures in default – RWEA – SA exposures

Institutions shall report the risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 CRR.

Exposures in default – RWEA – IRB exposures

Institutions shall report the risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

Other exposures– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 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 {*; 0030} and {*; 0040}. Institutions shall report net of defaulted SA exposures.

Other exposures– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) 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 {*; 0030} and {*; 0040}. Institutions shall report net of defaulted IRB exposures.

Other exposures– RWEA – SA exposures

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

Other exposures– RWEA – IRB exposures

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

of which: Securitisation exposures – Leverage Ratio Exposure Value – SA exposures

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

of which: Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures

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

of which: Securitisation exposures – RWEA – SA exposures

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

of which: Securitisation exposures – RWEA – IRB exposures

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

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

The leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted IRB exposures.

Trade finance (memo item)– RWEA – SA exposures

The risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted SA exposures.

Trade finance (memo item)– RWEA – IRB exposures

The risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions Institutions shall report net of defaulted IRB exposures.

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

The leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted SA exposures.

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

The leverage ratio exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted IRB exposures.

of which: Under official export credit insurance scheme – RWEA – SA exposures

The risk-weighted exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted SA exposures.

of which: Under official export credit insurance scheme – RWEA – IRB exposures

The risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees. Institutions shall report net of defaulted IRB exposures.

6.28. C 44.00 – General information (LR5) Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution. Row and column Instructions {0010;0010} {0020;0010} {0040;0010} {0070;0010} {0080;0010}, {00090;0010}, {0100;0010} {0080;0010} Central government guaranteeing the public development credit institutions/unit {0090;0010} Regional government guaranteeing the public development credit institutions/unit {0100;0010} Local authority guaranteeing the public development credit institutions/unit {0110;0010}; {0120;0010}; {0130;0010} {0110;0010} Obligation to protect the credit institutions’ viability {0120;0010} Direct guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted {0130;0010} Indirect guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted

6.28. Institution’s company structure

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

Joint stock company;

Mutual/cooperative;

Other non-joint stock company.

Derivatives treatment

The institution shall specify the regulatory derivatives treatment in accordance with the categories given below:

Standardised Approach for Counterparty Credit Risk (SA-CCR);

Simplified Standardised Approach for Counterparty Credit Risk;

Original exposure method.

Institution type

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

Universal banking (retail/commercial and investment banking);

Retail/commercial banking;

Investment banking;

Specialised lender;

Public development credit institutions;

Other business model.

Institution with a public development unit

Institutions that are not public development credit institutions shall indicate whether they have a public development unit.

Entity guaranteeing the public development credit institution/unit in accordance with point (d) of Article 429a(2) CRR: Central government, Regional government, Local authority

The institutions that either are a public development credit institution or have a public development unit shall report whether they are guaranteed by a central government, a regional government or a local authority Institutions shall indicate TRUE in the row corresponding to the applicable type(s) of protection provider and FALSE otherwise.

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR

The institutions that either are a public development credit institution or have a public development unit shall report the type of protection received Institutions shall indicate TRUE in the row corresponding to the applicable type(s) of protection and FALSE otherwise.

7.29. C 48.00 Leverage ratio volatility (LR6) Information is collected for the purpose of monitoring the volatility of the leverage ratio. The information shall be reported by large institutions only.

8. C 48.01 Leverage ratio volatility: Mean value for the reporting period Row and column Instructions {0010;0010} {0010;0020}

8. Mean value for the reporting period – SFTs exposure value

Institutions shall report the mean of the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as defined in rows 0010 and 0050 of template C47.00.

Mean value for the reporting period – Adjustments for SFT sales accounting transactions

Institutions shall report the mean of the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C47.00.

9.30. C 48.02 Leverage ratio volatility: Daily values for the reporting period The daily values over the quarter shall be reported. Row and column Instructions {0010;0010} {0010;0020} {0010;0030}

9.30. Reference date within reporting period

Institutions shall report the date to which the reported daily value reported refers to. Each day of the reporting quarter shall be reported.

SFTs exposure value

Institutions shall report the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as refer to in rows 0010 and 0050 of template C47.00.

Adjustments for SFT sales accounting transactions

Institutions shall report the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C 47.00.

ANNEX XII REPORTING ON NET STABLE FUNDING RATIO C 80.00 — NSFR — REQUIRED STABLE FUNDING C 81.00 — NSFR — AVAILABLE STABLE FUNDING C 82.00 — NSFR — SIMPLIFIED REQUIRED STABLE FUNDING C 83.00 — NSFR — SIMPLIFIED AVAILABLE STABLE FUNDING C 84.00 — NSFR Summary Currency Currency Currency Currency Currency

LIQUIDITY TEMPLATES Template number Template code Name of the template/group of templates NSFR 80 C 80.00 REQUIRED STABLE FUNDING 81 C 81.00 AVAILABLE STABLE FUNDING SIMPLIFIED NSFR 82 C 82.00 SIMPLIFIED REQUIRED STABLE FUNDING 83 C 83.00 SIMPLIFIED AVAILABLE STABLE FUNDING SUMMARY NSFR 84 C 84.00 SUMMARY NSFR Amount Standard RSF factor Applicable RSF factor Required stable funding Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0010 1 REQUIRED STABLE FUNDING 0020 1.1 RSF from central bank assets 0030 1.1.1 cash, reserves and HQLA exposures to central banks 0040 1.1.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 0 % 0 % 0 % 0050 1.1.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 50 % 50 % 0060 1.1.1.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 100 % 0070 1.1.2 other non-HQLA central bank exposures 0 % 50 % 100 % 0080 1.2 RSF from liquid assets 0090 1.2.1 level 1 assets eligible for 0 % LCR haircut 0100 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 0110 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0120 1.2.1.3 encumbered for a residual maturity of one year or more 100 % 0130 1.2.2 level 1 assets eligible for 5 % LCR haircut 0140 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months 5 % 0150 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0160 1.2.2.3 encumbered for a residual maturity of one year or more 100 % 0170 1.2.3 level 1 eligible for 7 % LCR haircut 0180 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months 7 % 0190 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0200 1.2.3.3 encumbered for a residual maturity of one year or more 100 % 0210 1.2.4 level 1 assets eligible for 12 % LCR haircut 0220 1.2.4.1 unencumbered or encumbered for a residual maturity of less than six months 12 % 0230 1.2.4.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0240 1.2.4.3 encumbered for a residual maturity of one year or more 100 % 0250 1.2.5 level 2A assets eligible for 15 % LCR haircut 0260 1.2.5.1 unencumbered or encumbered for a residual maturity of less than six months 15 % 0270 1.2.5.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0280 1.2.5.3 encumbered for a residual maturity of one year or more 100 % 0290 1.2.6 level 2A assets eligible for 20 % LCR haircut 0300 1.2.6.1 unencumbered or encumbered for a residual maturity of less than six months 20 % 0310 1.2.6.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0320 1.2.6.3 encumbered for a residual maturity of one year or more 100 % 0330 1.2.7 level 2B securitizations eligible for 25 % LCR haircut 0340 1.2.7.1 unencumbered or encumbered for a residual maturity of less than six months 25 % 0350 1.2.7.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0360 1.2.7.3 encumbered for a residual maturity of one year or more 100 % 0370 1.2.8 level 2B assets eligible for 30 % LCR haircut 0380 1.2.8.1 unencumbered or encumbered for a residual maturity of less than six months 30 % 0390 1.2.8.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0400 1.2.8.3 encumbered for a residual maturity of one year or more 100 % 0410 1.2.9 level 2B assets eligible for 35 % LCR haircut 0420 1.2.9.1 unencumbered or encumbered for a residual maturity of less than six months 35 % 0430 1.2.9.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0440 1.2.9.3 encumbered for a residual maturity of one year or more 100 % 0450 1.2.10 level 2B assets eligible for 40 % LCR haircut 0460 1.2.10.1 unencumbered or encumbered for a residual maturity of less than six months 40 % 0470 1.2.10.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0480 1.2.10.3 encumbered for a residual maturity of one year or more 100 % 0490 1.2.11 level 2B assets eligible for 50 % LCR haircut 0500 1.2.11.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 0510 1.2.11.2 encumbered for a residual maturity of one year or more 100 % 0520 1.2.12 level 2B assets eligible for 55 % LCR haircut 0530 1.2.12.1 unencumbered or encumbered for a residual maturity of less than one year 55 % 0540 1.2.12.2 encumbered for a residual maturity of one year or more 100 % 0550 1.2.13 HQLAs encumbered for a residual maturity of one year or morein cover pool 85 % 0560 1.3 RSF from securities other than liquid assets 0570 1.3.1 non- HQLA securities and exchange traded equities 0580 1.3.1.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 50 % 85 % 0590 1.3.1.2 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0600 1.3.2 non-HQLA non-exchange traded equities 100 % 0610 1.3.3 non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool 85 % 85 % 85 % 0620 1.4 RSF from loans 0630 1.4.1 operational deposits 50 % 50 % 100 % 0640 1.4.2 securities financing transactions with financial customers 0650 1.4.2.1 collateralized by level 1 assets eligible for 0 % LCR haircut 0660 1.4.2.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 50 % 100 % 0670 1.4.2.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 100 % 0680 1.4.2.1.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0690 1.4.2.2 collateralized by other assets 0700 1.4.2.2.1 unencumbered or encumbered for a residual maturity of less than six months 5 % 50 % 100 % 0710 1.4.2.2.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 100 % 0720 1.4.2.2.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0730 1.4.3 other loans and advances to financial customers 10 % 50 % 100 % 0740 1.4.4 assets encumbered for a residual maturity of one year or morein cover pool 85 % 85 % 85 % 0750 1.4.5 loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less 0760 1.4.5.0.1 of which, residential mortgages 0770 1.4.5.1 unencumbered or encumbered for a residual maturity of less than six months 50 % 50 % 65 % 0780 1.4.5.2 encumbered for a residual maturity of at least six months but less than one year 50 % 50 % 65 % 0790 1.4.5.3 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0800 1.4.6 other loans to non-financial customers other than central banks 0810 1.4.6.0.1 of which, residential mortgages 0820 1.4.6.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 50 % 85 % 0830 1.4.6.2 encumbered for a residual maturity of one year or more 100 % 100 % 100 % 0840 1.4.7 trade finance on-balance sheet products 10 % 50 % 85 % 0850 1.5 RSF from interdependent assets 0860 1.5.1 centralised regulated savings 0 % 0 % 0 % 0870 1.5.2 promotional loans and credit and liquidity facilities 0 % 0 % 0 % 0880 1.5.3 eligible covered bonds 0 % 0 % 0 % 0890 1.5.4 derivatives client clearing activities 0 % 0 % 0 % 0900 1.5.5 others 0 % 0 % 0 % 0910 1.6 RSF from assets within a group or an IPS if subject to preferential treatment 0920 1.7 RSF from derivatives 0930 1.7.1 required stable funding for derivative liabilities 5 % 0940 1.7.2 NSFR derivative assets 100 % 0950 1.7.3 initial margin posted 85 % 85 % 85 % 85 % 0960 1.8 RSF from contributions to CCP default fund 85 % 85 % 85 % 85 % 0970 1.9 RSF from other assets 0980 1.9.1 physically traded commodities 0990 1.9.1.1 unencumbered or encumbered for a residual maturity of less than one year 85 % 1000 1.9.1.2 encumbered for a residual maturity of one year or more 100 % 1010 1.9.2 trade date receivables 0 % 1020 1.9.3 non-performing assets 100 % 100 % 100 % 1030 1.9.4 other assets 50 % 50 % 100 % 1040 1.10 RSF from OBS items 1050 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment 1060 1.10.2 committed facilities 5 % 5 % 5 % 1070 1.10.3 trade finance off-balance sheet items 5 % 7.5 % 10 % 1080 1.10.4 non-performing off-balance sheet items 100 % 100 % 100 % 1090 1.10.5 other off-balance sheet exposures for which the competent authority has determined RSF factors Row ID Item Amount Standard ASF factor Applicable ASF factor Available stable funding < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year < 6 months ≥ 6 months to < 1 year ≥ 1 year Total 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 2 AVAILABLE STABLE FUNDING 0020 2.1 ASF from capital items and instruments 0030 2.1.1 Common Equity Tier 1 100 % 0040 2.1.2 Additional Tier 1 0 % 0 % 100 % 0050 2.1.3 Tier 2 0 % 0 % 100 % 0060 2.1.4 Other capital instruments 0 % 0 % 100 % 0070 2.2 ASF from retail deposits 0080 2.2.0.1 of which, retail bonds 0090 2.2.1 Stable retail deposits 95 % 95 % 100 % 0100 2.2.0.2 of which with a material early withdrawable penalty 100 % 0110 2.2.2 Other retail deposits 90 % 90 % 100 % 0120 2.2.0.3 of which with a material early withdrawable penalty 100 % 0130 2.3 ASF from other non-financial customers (except central banks) 0140 2.3.0.1 of which, securities financing transactions 0150 2.3.0.2 of which, operational deposits 0160 2.3.1 Liabilities provided by the central government of a Member State or a third country 50 % 50 % 100 % 0170 2.3.2 Liabilities provided by regional governments or local authorities of a Member State or a third country 50 % 50 % 100 % 0180 2.3.3 Liabilities provided by public sector entities of a Member State or a third country 50 % 50 % 100 % 0190 2.3.4 Liabilities provided by multilateral development banks and international organisations 50 % 50 % 100 % 0200 2.3.5 Liabilities provided by non-financial corporate customers 50 % 50 % 100 % 0210 2.3.6 Liabilities provided by credit unions, personal investment companies and deposit brokers 50 % 50 % 100 % 0220 2.4 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment 0230 2.5 ASF from financial customers and central banks 0240 2.5.0.1 of which, sight deposits provided by network member to central institution 0250 2.5.1 Liabilities provided by the ECB or the central bank of a Member State 0 % 50 % 100 % 0260 2.5.2 Liabilities provided by the central bank of a third country 0 % 50 % 100 % 0270 2.5.3 Liabilities provided by financial customers 0280 2.5.3.1 Operational deposits 50 % 50 % 100 % 0290 2.5.3.2 Excess operational deposits 0 % 50 % 100 % 0300 2.5.3.3 Other liabilities 0 % 50 % 100 % 0310 2.6 ASF from liabilities provided where the counterparty cannot be determined 0 % 50 % 100 % 0320 2.7 ASF from net derivatives liabilities 0 % 0 % 0 % 0330 2.8 ASF from interdependent liabilities 0340 2.8.1 Centralised regulated savings 0 % 0 % 0 % 0350 2.8.2 Promotional loans and relevant credit and liquidity facilities 0 % 0 % 0 % 0360 2.8.3 Eligible covered bonds 0 % 0 % 0 % 0370 2.8.4 Derivatives client clearing activities 0 % 0 % 0 % 0380 2.8.5 Others 0 % 0 % 0 % 0390 2.9 ASF from other liabilities 0400 2.9.1 Trade date payables 0 % 0 % 0 % 0410 2.9.2 Deferred tax liabilities 0 % 50 % 100 % 0420 2.9.3 Minority interests 0 % 50 % 100 % 0430 2.9.4 Other liabilities 0 % 50 % 100 % Amount Standard RSF factor Applicable RSF factor Required stable funding Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA Non-HQLA by maturity HQLA < 1 year ≥ 1 year < 1 year ≥ 1 year < 1 year ≥ 1 year Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 1 REQUIRED STABLE FUNDING 0020 1.1 RSF from central bank assets 0030 1.1.1 cash, reserves and HQLA exposures to central banks 0 % 0 % 0 % 0040 1.1.2 other non-HQLA central bank exposures 0 % 100 % 0050 1.2 RSF from liquid assets 0060 1.2.1 level 1 assets eligible for 0 % LCR haircut 0070 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months 0 % 0080 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0090 1.2.1.3 encumbered for a residual maturity of one year or more 100 % 0100 1.2.2 level 1 assets eligible for 7 % LCR haircut 0110 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months 10 % 0120 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0130 1.2.2.3 encumbered for a residual maturity of one year or more 100 % 0140 1.2.3 level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts 0150 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months 20 % 0160 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year 50 % 0170 1.2.3.3 encumbered for a residual maturity of one year or more 100 % 0180 1.2.4 Level 2B assets eligible for 25-35 % LCR haircut and shares or units in CIUs eligible for 30-55 % LCR haircuts 0190 1.2.4.1 unencumbered or encumbered for a residual maturity of less than one year 55 % 0200 1.2.4.2 encumbered for a residual maturity of one year or more 100 % 0210 1.3 RSF from securities other than liquid assets 0220 1.3.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 85 % 0230 1.3.2 encumbered for a residual maturity of one year or more 100 % 100 % 0240 1.4 RSF from loans 0250 1.4.1 loans to non-financials 0260 1.4.1.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 85 % 0270 1.4.1.2 encumbered for a residual maturity of one year or more 100 % 100 % 0280 1.4.2 loans to financials 0290 1.4.2.1 unencumbered or encumbered for a residual maturity of less than one year 50 % 100 % 0300 1.4.2.2 encumbered for a residual maturity of one year or more 100 % 100 % 0310 1.4.3 trade finance on-balance sheet products 50 % 85 % 0320 1.5 RSF from interdependent assets 0 % 0 % 0330 1.6 RSF from assets within a group or an IPS if subject to preferential treatment 0340 1.7 RSF from derivatives 0350 1.7.1 required stable funding for derivative liabilities 5 % 0360 1.7.2 NSFR derivative assets 100 % 0370 1.7.3 Initial margin posted 85 % 85 % 85 % 0380 1.8 RSF from contributions to CCP default fund 0390 1.9 RSF from other assets 100 % 100 % 0400 1.10 RSF from OBS items 0410 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment 0420 1.10.2 commited facilities 5 % 5 % 0430 1.10.3 trade finance off-balance sheet items 10 % 10 % 0440 1.10.4 non-performing off-balance sheet items 100 % 100 % 0450 1.10.5 other off-balance sheet exposures determined by competent authorities Row ID Item Amount Standard ASF factor Applicable ASF factor Available stable funding < 1 year ≥ 1 year < 1 year ≥ 1 year < 1 year ≥ 1 year 0010 0020 0030 0040 0050 0060 0070 0010 2 AVAILABLE STABLE FUNDING 0020 2.1 ASF from capital items and instruments 0 % 100 % 0030 2.2 ASF from retail deposits 0040 2.2.1 Stable retail deposits 95 % 100 % 0050 2.2.2 Other retail deposits 90 % 100 % 0060 2.3 ASF from other non-financial customers (except central banks) 50 % 100 % 0070 2.4 ASF from operational deposits 50 % 100 % 0080 2.5 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment 0090 2.6 ASF from financial customers and central banks 0 % 100 % 0100 2.7 ASF from liabilities provided where the counterparty cannot be determined 0 % 100 % 0110 2.8 ASF from interdependent liabilities 0 % 0120 2.9 ASF from other liabilities 0 % 100 % Row ID Item Amount Required stable funding Available stable funding Ratio 0010 0020 0030 0040 0010 1 REQUIRED STABLE FUNDING 0020 1.1 RSF from central bank assets 0030 1.2 RSF from liquid assets 0040 1.3 RSF from securities other than liquid assets 0050 1.4 RSF from loans 0060 1.5 RSF from interdependent assets 0070 1.6 RSF from assets within a group or an IPS if subject to preferential treatment 0080 1.7 RSF from derivatives 0090 1.8 RSF from contributions to CCP default fund 0100 1.9 RSF from other assets 0110 1.10 RSF from OBS items 0120 2 AVAILABLE STABLE FUNDING 0130 2.1 ASF from capital items and instruments 0140 2.2 ASF from retail deposits 0150 2.3 ASF from other non-financial customers (except central banks) 0160 2.4 ASF from operational deposits 0170 2.5 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment 0180 2.6 ASF from financial customers and central banks 0190 2.7 ASF from liabilities provided where the counterparty cannot be determined 0200 2.8 ASF from interdependent liabilities 0210 2.9 ASF from other liabilities 0220 3 NSFR

ANNEX XIII INSTRUCTIONS FOR REPORTING ON STABLE FUNDING

PART I GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.

This annex covers instructions for the net stable funding ratio (NSFR) templates, which contains information about required and available stable funding items, for the purpose of reporting the NSFR as specified in Title IV of Part Six of Regulation (EU) No 575/2013 (CRR). Items that do not need to be completed by institutions are coloured grey. In accordance with Article 415(1) CRR, institutions shall report the template in the reporting currency, regardless of the actual denomination of assets, liabilities and off-balance sheet items. Institutions shall separately report the template in the corresponding currencies in accordance with Article 415(2) CRR. With regard to the calculation of the NSFR, the CRR refers to stable funding factors. The word factor in the context of these instructions refers to a number between 0 and 1, which multiplied by the amount yields the weighted amount, i.e. the value referred to in Article 428c(2) CRR. In order to avoid any double counting, institutions shall not report assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Article 428k(4) CRR and Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance point (a) of Article 428ag and point (b) of Article 428ag CRR. Items provided by and extended to members of a group or an institutional protection scheme where the competent authority has granted permission to apply a preferential treatment according to Article 428h CRR shall be reported in a separate category. Deposits maintained in the context of an institutional protection scheme or a cooperative network considered as liquid assets shall be reported as liquid assets in accordance with Article 428g CRR. Other items within a group or an institutional protection scheme shall be reported in the relevant categories. For reporting purposes, in the columns referred as Amount the accounting value shall always be reported, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR. For the purposes of reporting by currency subject to separate reporting as envisaged in Article 415(2) CRR, as regards derivatives as envisaged in Article 428d(4) CRR, institutions shall calculate the fair value for each netting set in its settlement currency. For all netting sets with matching settlement currencies a net amount shall be calculated in accordance with Articles 428k(4) and 428ah(2) CRR, and reported in the relevant currency subject to separate reporting. In this context, settlement currency shall be understood as the currency in which the settlement of a netting set has been agreed. Netting set refers to the group of receivables and payables stemming from derivatives transactions with a counterparty irrespective of whether they are denominated in a different currency to the settlement currency. In the case of multi-currency optionality, the credit institution shall make an assessment of the currency in which the settlement is likely to occur and shall report only in that separate currency. The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty and the same type of collateral underlying (level 1 or non-level 1 liquid assets) pursuant to the delegated act referred to in Article 460(1) of CRR shall be reported on a net basis where Article 428e of CRR applies.. In the case of SFTs with collateral baskets underlying, the less liquid collateral within those pool of collateral shall be understood to be first pledged. In accordance with Article 428ai CRR, small and non-complex institutions may choose, with the prior permission of their competent authority, to calculate their NSFR in accordance with the simplified methodology set out in Chapters 6-7 of Title IV of Part Six CRR. Institutions that use this simplified methodology for the calculation of the net stable funding ratio shall use the reporting templates C 82.00 and C 83.00. All other institutions shall use the reporting templates C 80.00 and C 81.00. All institutions shall report the reporting template C 84.00.

PART II REQUIRED STABLE FUNDING

1.10.11.12.13.14.15.16.17.

Specific remarks Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet. In the case of reverse repos, where the assets borrowed are not accounted for on balance sheet but the bank that received them has their beneficial ownership, the cash leg, or the collateral leg if a higher RSF factor applies, will be reported only. In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following: In accordance with Article 428q(3) CRR, when calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428pCRR. The decision tree for the reporting template C 80.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and of which items; this however does not mean that they shall not be reported as well. As specified under Article 428p(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed. The residual maturity of this encumbrance shall be the higher between: i) the residual maturity of the transaction where the assets were borrowed and ii) the residual maturity of the transaction where the assets were re-pledged. # Item Decision Action 1 Netting sets of derivative contracts with a negative fair value gross of collateral posted or settlement payments and receipts related to market valuation changes of these contracts? Yes ID 1.7.1 No # 2 2 An asset or an off-balance sheet item posted as initial margin for derivatives? Yes ID 1.7.3 No # 3 3 An asset or an off-balance sheet item posted as contribution to CCP default fund? Yes ID 1.8 No # 4 4 An item on which the institution retains beneficial ownership? Yes # 5 No # 23 5 An asset associated with collateral posted as variation margin for derivatives? Yes Do not report. No # 6 6 Non-performing assets or defaulted securities? Yes ID 1.9.3 No # 7 7 Trade date receivables? Yes ID 1.9.2 No # 8 8 Interdependent assets? Yes Allocate into one relevant item of ID 1.5 No # 9 9 Assets within a group or an IPS for which the competent authority has granted the preferential treatment? Yes ID 1.6 No # 10 10 Central bank assets? Yes Allocate into one relevant item of ID 1.1 No # 11 11 Liquid assets? Yes # 12 No # 13 12 Liquid assets encumbered for a residual maturity of one year or more in a cover pool? Yes ID 1.2.13 No Allocate into one relevant item of ID 1.2.1 to 1.2.12 13 Non-liquid asset securities? Yes Allocate into one relevant item of ID 1.3 No # 14 14 Trade finance on-balance sheet products? Yes ID 1.4.7 No # 15 15 NSFR derivative assets? Yes ID 1.7.2 No # 16 16 Loans? Yes # 17 No # 21 17 Loans encumbered for a residual maturity of one year or more in a cover pool? Yes ID 1.4.4 No # 18 18 Loans classified as operational deposits? Yes ID 1.4.1 No # 19 19 Securities financing transactions with financial customers? Yes Allocate into one relevant item of ID 1.4.2. No # 20 20 Other loans and advances to financial customers? Yes ID 1.4.3 No Allocate into one relevant item of ID 1.4.5 or 1.4.6. 21 Physically traded commodities? Yes Allocate into one relevant item of ID 1.9.1 No # 22 22 Any other asset not considered in the above categories? Yes ID 1.9.4 No Do not report. 23 An off-balance sheet exposure? Yes # 24 No Do not report. 24 Non-performing exposure? Yes ID 1.10.4 No # 25 25 Committed facilities? Yes # 26 No # 27 26 Committed facilities for which the competent authority has granted the preferential treatment? Yes ID 1.10.1 No ID 1.10.2 27 Trade finance off-balance sheet item? Yes ID 1.10.3 No # 28 28 Other off-balance sheet exposure for which the competent authority has determined the RSF factor? Yes ID 1.10.5 No Do not report.

1.10.11.12.13. i.

Residual maturity of less than six months or without stated maturity;

ii.

Residual maturity of a minimum of six months but less than one year;

iii.

Residual maturity of one year or more.

2. Instructions concerning specific columns Column Legal references and instructions 0010-0030 0040 0050-0080 0090-0120 0130

2. Amount of non-HQLA

Institutions shall report in columns 0010-0030 the amount, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 4 of Title IV of Part Six CRR for each maturity bucket. The amount shall be reported in columns 0010-0030 when the corresponding item is not eligible as liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

Amount of HQLA

See instructions in columns 0010-0030. The amount shall be reported in column 0040 when the corresponding item is eligible as high-quality liquid asset pursuant to the Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

Standard RSF factor

Section 2 of Chapter 4 of Title IV of Part Six CRR The standard factors in columns 0050-0080 are those specified in Chapter 4 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions.

Applicable RSF factor

Section 2 of Chapter 4 of Title IV of Part Six CRR Institutions shall report in columns 0090-0120 the applicable factor applied to items in Chapter 4 of Title IV of Part Six CRR. Applicable factors may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.

Required stable funding:

Institutions shall report in Column 0130 the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR. This shall be calculated using the following formula: c0130 = SUM{(c0010 * c 0090), (c0020 * c 0100), (c0030 * c 0110), (c0040 * c 0120)}.

3. Instructions concerning specific rows Row Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460 0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570 0580 0590 0600 0610 0620 0630 0640 0650 0660 0670 0680 0690 0700 0710 0720 0730 0740 0750 0760 0770 0780 0790 0800 0810 0820 0830 0840 0850 0860 0870 0880 0890 0900 0910 0920 0930 0940 0950 0960 0970 0980 0990 1000 1010 1020 1030 1040 1050 1060 1070 1080 1090

3.

1 REQUIRED STABLE FUNDING Chapter 4 of Title IV of Part Six CRR Institutions shall report here items subject to the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR.

1.1 RSF from central bank assets Points (c) and (d) of Article 428r(1) and point (d) of Article 428ad CRR Institutions shall report here central bank assets. A reduced RSF factor may apply in accordance with Article 428p(7) CRR.

1.1.1 cash, reserves and HQLA exposures to central banks Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to the Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column.

1.1.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.1.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.1.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.1.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.1.1 that is related to assets that are encumbered for a residual maturity of one year or more

1.1.2 other non-HQLA central bank exposures Institutions shall report here any other claims on central banks other than those reported under item 1.1.1.

1.2 RSF from liquid assets Points (a) and (b) of Article 428r(1) to Article 428ae CRR Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

1.2.1 level 1 assets eligible for 0 % LCR haircut Institutions shall report here assets that are eligible as level 1 liquid assets and shares or units in CIUs that are eligible for a 0 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.2 level 1 assets eligible for 5 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.3 level 1 assets eligible for 7 % LCR haircut Institutions shall report here assets that are eligible as level 1 extremely high quality covered bonds pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.3.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.3.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.3 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.4 level 1 assets eligible for 12 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 12 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.4.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.4.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.4.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.4 that is encumbered for a residual maturity of one year or more

1.2.5 level 2A assets eligible for 15 % LCR haircut Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.5.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.5.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.5 that is encumbered for a residual maturity of at least six months but less than one year

1.2.5.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.6 level 2A assets eligible for 20 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 20 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool of covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.6.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.6.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.6.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.6 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.7 level 2B securitizations eligible for 25 % LCR haircut Institutions shall report here level 2B securitizations that are eligible for a 25 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.7.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.7 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.7.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.7.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.7 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.8 level 2B assets eligible for 30 % LCR haircut Institutions shall report here high quality covered bonds and shares or units in CIUs that are eligible for a 30 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.8.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.8 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.8.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.8.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.8 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.9 level 2B assets eligible for 35 % LCR haircut Institutions shall report here level 2B securitizations and shares or units in CIUs that are eligible for a 35 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.9.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.9 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.9.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.9.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.9 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.10 level 2B assets eligible for 40 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 40 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.10.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.10 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.10.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.10.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.10 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.11 level 2B assets eligible for 50 % LCR haircut Institutions shall report here level 2B assets pursuant to Delegated Regulation (EU) 2015/61, excluding level 2B securitizations and high quality covered bonds. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.11.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.11 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.2.11.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.11 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.12 level 2B assets eligible for 55 % LCR haircut Institutions shall report here shares or units in CIUs that are eligible for a 55 % haircut pursuant to Delegated Regulation (EU) 2015/61. Assets encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR shall not be reported here, but under item 1.2.13.

1.2.12.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.12 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.2.12.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.12 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.13 HQLAs encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported in 1.2 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR

1.3 RSF from securities other than liquid assets Points (e) and (f) of Article 428ag CRR Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements laid down therein.

1.3.1 non-HQLA securities and exchange traded equities Points (e) and (f) of Article 428ag and point (b) of Article 428ah(1) CRR The amount reported in 1.3 that is related to non-HQLA securities other than non-exchange traded equities, excluding the securities reported under item 1.3.3. Exchange traded equities shall be reported in the one or more than one year time bucket.

1.3.1.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.3.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.3.1.2 encumbered for a residual maturity of one year or more The amount reported under 1.3.1 that is related to assets that are encumbered for a residual maturity of one year or more

1.3.2 non-HQLA non-exchange traded equities Point (b) of Article 428ah(1) CRR;The amount reported under 1.3 that is related to non-exchange traded equity, excluding the securities reported under item 1.3.3.

1.3.3 non-HQLA securities encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR

1.4 RSF from loans Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR. As specified under Article 428q(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.

1.4.1 Operational deposits Point (b) of Article 428ad and point (b) of article 428ah(1) CRR; the amount reported under 1.4 that is related to deposits that are operational pursuant to Delegated Regulation (EU) 2015/61

1.4.2 securities financing transactions with financial customers Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 1.4 that is related to monies due from securities financing transactions with financial customers

1.4.2.1 collateralized by level 1 assets eligible for 0 % LCR haircut Point (g) of Article 428r(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions collateralized by level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61

1.4.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.2.1 related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.4.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.4.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.4.2.1 that is related to assets that are encumbered for a residual maturity of one year or more

1.4.2.2 collateralized by other assets Point (b) of Article 428s(1), point (d) of Article 428ad and point (b) of Article 428ah(1) CRR; the amount reported under 1.4.2 that is related to transactions that are collateralized by assets other than level 1 assets eligible for 0 % haircut pursuant to Delegated Regulation (EU) 2015/61

1.4.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.2.2 related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.4.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.4.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.4.2.2 that is related to assets that are encumbered for a residual maturity of one year or more

1.4.3 other loans and advances to financial customers Point (a) of Articles 428v and point (d)(iii) of Article 428ad CRR; the amount reported under 1.4 arising from other loans and advances to financial customers not reported under 1.4.1 and 1.4.2

1.4.4 assets encumbered for a residual maturity of one year or more in a cover pool Point (h) of Article 428ag CRR; the amount reported under 1.4 that is related to assets that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive 2009/65/EC or covered bonds that meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR

1.4.5 loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35 % or less Point (c) of Articles 428ad and Article 428af CRR; the amount reported under 1.4 that is related to loans secured by mortgages on residential property or residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to financial customers and loans referred to in Articles 428r to 428ad CRR, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three CRR

1.4.5.0.1. of which, residential mortgages The amount reported under 1.4.5 that is related to exposures secured by mortgages on residential property

1.4.5.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.4.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.4.5.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.4.5.3 encumbered for a residual maturity of one year or more The amount reported under 1.4.5 that is related to assets that are encumbered for a residual maturity of one year or more

1.4.6 other loans to non-financial customers other than central banks Point (c) of Article 428ad and point (c) of 428ag CRR; the amount reported under 1.4.5 that is related to loans to non-financial customers other than central banks with a risk weight of more than 35 % in accordance with Chapter 2 of Title II of Part Three CRR

1.4.6.0.1 of which, residential mortgages The amount reported under 1.4.6 that is related to exposures secured by mortgages on residential property

1.4.6.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.4.6 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.4.6.2 encumbered a residual maturity of one year or more The amount reported under 1.4.6 that is related to assets that are encumbered for a residual maturity of one year or more

1.4.7 trade finance on-balance sheet products Point (b) of Article 428v, point (e) of Article 428ad and point (d) of Article 428ag CRR; the amount related to trade finance on-balance sheet related products

1.5 RSF from interdependent assets Article 428f and point (f) of Article 428r(1) CRR Institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR.

1.5.1 centralised regulated savings Point (a) of Article 428f(2) CRR; the amount reported under 1.5 that is related to centralized regulated savings

1.5.2 promotional loans and credit and liquidity facilities Point (b) of Article 428f(2) CRR; the amount reported under 1.5 that is related to promotional loans and credit and liquidity facilities

1.5.3 eligible covered bonds Point (c) of Article 428f(2) CRR; the amount reported under 1.5 that is related to eligible covered bonds

1.5.4 derivatives client clearing activities Point (d) of Article 428f(2) CRR; the amount reported under 1.5 that is related to derivative client clearing activities

1.5.5 other Article 428f(1) CRR; the amount reported under 1.5 that is related to assets not referred to in items 1.5.1 to 1.5.4

1.6 RSF from assets within a group or an IPS if subject to preferential treatment Institutions shall report here assets authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR.

1.7 RSF from derivatives Article 428d, Article 428s(2), point (a) of Article 428ag and Article 428ah(2) CRR Institutions shall report here the amount of required stable funding arising from derivatives.

1.7.1 required stable funding for derivative liabilities The amount reported under 1.7 that is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428s(2) CRR

1.7.2 NSFR derivative assets Articles 428d CRR; the amount reported under 1.7 that is calculated as the positive difference between netting sets calculated in accordance with Article 428ah(2) CRR

1.7.3 initial margin posted Point (a) of Article 428ag CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts

1.8 RSF from contributions to CCP default fund Point (b) of Article 428ag CRR Institutions shall report here items posted as contribution to the default fund of a CCP.

1.9 RSF from other assets Institutions shall report here any asset not referred to in items 1.1 to 1.8.

1.9.1 physically traded commodities Point (g) of Article 428ag CRR; the amount reported under 1.9 that is related to physically traded commodities This item shall not include commodity derivatives that fall under item 1.7.

1.9.1.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.9.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.9.1.2 encumbered for a residual maturity of one year or more The amount reported under 1.9.1 that is related to assets that are encumbered for a residual maturity of one year or more

1.9.2 trade date receivables Point (e) of Article 428r(1) CRR; the amount reported under 1.9 that is related to trade date receivables

1.9.3 non-performing assets Point (b) of Article 428ah(1) CRR; the amount reported in 1.9 that is related to non-performing assets

1.9.4 other assets Point (b) of Article 428ah(1) CRR; the amount reported under 1.9 that is related to assets that are not referred to in items 1.9.1 to 1.9.3

1.10 RSF from OBS items Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.9 that are subject to the required stable funding requirements

1.10.1 committed facilities within a group or an IPS if subject to preferential treatment The amount reported under 1.10 that is related to committed facilities authorized by competent authorities for the preferential treatment in accordance with Article 428h CRR

1.10.2 committed facilities Point (c) of Article 428s(1) CRR; the amount reported under 1.10 that is related to committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not reported under item 1.9.1

1.10.3 trade finance off-balance sheet items Point (d) of Article 428s(1), Article 428u and point (c) of Article 428v CRR; the amount reported under 1.10 that is related to trade finance off-balance sheet related product as referred to in Annex I CRR

1.10.4 non-performing off-balance sheet items Point (b) of Article 428ah(1) CRR; the amount reported under 1.10 that is related to non-performing off-balance sheet exposures

1.10.5 other off-balance sheet exposures for which the competent authority has determined RSF factors The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428p(10) CRR

PART III AVAILABLE STABLE FUNDING

1.18.19.20.21.22.23.24.

Specific remarks All liabilities and own funds shall be reported with a breakdown by their residual maturity in accordance with Article 428j CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following: All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428k to 428n CRR, in accordance with Article 428o CRR. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than six months. According to Article 428j(2) CRR, institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity. Furthermore, as established in Article 428o CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor. According to Article 428j(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 21, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits. The decision tree for reporting template C 81.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals, subtotals and of which items; this however does not mean that they shall not be reported as well. # Item Decision Action 1 Common Equity Tier 1capital? Yes ID 2.1.1 No # 2 2 Additional Tier 1 capital? Yes ID 2.1.2 No # 3 3 Tier 2 capital? Yes ID 2.1.3 No # 4 4 Other capital instruments? Yes ID 2.1.4 No # 5 5 A liability associated with collateral received as variation margin for derivatives? Yes Do not report. No # 6 6 Trade date payables? Yes ID 2.9.1 No # 7 7 Interdependent liability? Yes Allocate into one relevant item of ID 2.8 No # 8 8 Liabilities and committed facilities within a group or an IPS for which the competent authority has granted a preferential treatment? Yes ID 2.4 No # 9 9 NSFR derivative liabilities? Yes ID 2.7 No # 10 10 Deferred tax liabilities? Yes ID 2.9.2 No # 11 11 Minority interests? Yes ID 2.9.3 No # 12 12 Stable retail deposits? Yes ID 2.2.1 No # 13 13 Other retail deposits? Yes ID 2.2.2 No # 14 14 Liabilities where the counterparty cannot be determined? Yes ID 2.6 No # 15 15 Liabilities provided by central banks? Yes Allocate into ID 2.5.1 or 2.5.2 No # 16 16 Liabilities provided by financial customers? Yes Allocate into one relevant item of ID 2.5.3 No # 17 17 Liabilities from non-financial customers other than central banks? Yes Allocate into relevant item of ID 2.3 No # 18 18 Any other liabilities not considered in the above categories? Yes ID 2.9.4 No Do not report.

1.18. i.

Residual maturity of less than six months or without stated maturity;

ii.

Residual maturity of a minimum of six months but less than one year;

iii.

Residual maturity of one year or more.

2. Instructions concerning specific columns Column Legal references and instructions 0010-0030 0040-0060 0070-0090 0100

2. Amount

Institutions shall report in columns 0010-0030 the amount of liabilities and own funds allocated to the applicable residual maturity bucket.

Standard ASF factor

The standard factors in columns 0040-0060 are those specified in Chapter 3 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that constitutes available stable funding. They shall be provided for information only and are not meant to be filled in by institutions.

Applicable ASF factor

Chapter 2 and Chapter 3 of Title IV of Part Six CRR. Institutions shall report in columns 0070-0090 the applicable ASF factors in Chapter 3 of Title IV of Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.

Available Stable Funding

Institutions shall report in column 0100 the value of the available stable funding in accordance with the definition set out in Article 428i CRR. This shall be calculated using the following formula: c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.

3. Instructions concerning specific rows Row Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430

3.

2. AVAILABLE STABLE FUNDING Chapter 3 of Title IV of Part Six CRR

2.1 ASF from capital items and instruments Institutions shall report here the sum of items reported under 2.1.1 to 2.1.4.

2.1.1 Common Equity Tier 1 Point (a) of Article 428o CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR

2.1.2 Additional Tier 1 Point (b) of Article 428o and point (d) of Article 428k(3) CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR.

2.1.3 Tier 2 Point (c) of Article 428o and point (d) of Article 428k(3) CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of one year or more at the reporting reference date

2.1.4 Other capital instruments Point (d) of Article 428o and point (d) of Article 428k(3) CRR; other capital instruments with a residual maturity of one year or more at the reporting reference date

2.2. ASF from retail deposits Institutions shall report here the sum of items reported under 2.2.1 and 2.2.2. This item includes both unsecured and secured liabilities.

2.2.0.1 of which, retail bonds Article 428i CRR Institutions shall report here bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as stable retail deposits or other retail deposits under items 2.2.1 and 2.2.2 respectively.

2.2.1. Stable retail deposits Article 428n CRR Institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the Commission delegated Regulation (EU) 2015/61 respectively and where: These deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of the Commission delegated Regulation (EU) 2015/61 in which case they shall be reported as other retail deposits; or These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as other retail deposits.

2.2.0.2 of which with a material early withdrawable penalty Article 428j(3) CRR Stable retail deposits that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61.

2.2.2 Other retail deposits Article 428m CRR Institutions shall report the amount of other retail deposits than those captured as stable retail deposits under item 2.2.1.

2.2.0.3 of which with a material early withdrawable penalty Other retail deposits that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material in line with Article 25(4) of Delegated Regulation (EU) 2015/61

2.3 ASF from other non-financial customers (except central banks) Article 428l CRR; liabilities provided by wholesale non-financial customers (except central banks) Institutions shall report here the sum of items under 2.3.1 to 2.3.6.

2.3.0.1 of which, securities financing transactions Articles 428e, point (g) of Article 428r(1) and point (b) of Article 428s(1) CRR; the amount reported under 2.3 that is related to monies due from securities financing transactions with non-financial customers

2.3.0.2 of which, operational deposits The amount reported under 2.3 that is provided in the form of operational deposits and is required for the provision of operational services as set out in Article 27 of Delegated Regulation (EU) 2015/61

2.3.1 Liabilities provided by the central government of a Member State or a third country Point (b)(i) of Article 428l CRR; the amount reported under 2.3 that is provided by the central government of a Member State or a third country

2.3.2 Liabilities provided by regional governments or local authorities of a Member State or a third country Point (b)(ii) of Article 428l CRR; the amount reported under 2.3 that is provided by regional governments or local authorities of a Member State or a third country

2.3.3 Liabilities provided by public sector entities of a Member State or a third country Point (b)(iii) of Article 428l CRR; the amount reported under 2.3 that is provided by public sector entities of a Member State or a third country

2.3.4 Liabilities provided by multilateral development banks and international organisations Point (b)(iv) of Article 428l CRR; the amount reported under 2.3 that is provided by multilateral development banks and international organisations

2.3.5 Liabilities provided by non-financial corporate customers Point (b)(v) of Article 428l CRR; the amount reported under 2.3 that is provided by non-financial corporate customers

2.3.6 Liabilities provided by credit unions, personal investment companies and deposit brokers Point (b)(vi) of Article 428l CRR; the amount reported under 2.3 that is provided by credit unions, personal investment companies and deposit brokers

2.4 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment Article 428h CRRInstitutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR.

2.5 ASF from financial customers and central banks Institutions shall report here the sum of items reported under 2.5.1 to 2.5.3.

2.5.0.1 of which sight deposits provided by network member to central institution Article 428g CRR Central institutions in an IPS or in cooperative networks shall report the sight deposits received by institutions belonging to that IPS or cooperative network that are treated as liquid assets by the depositing institution in accordance with Article 16 of Delegated Regulation (EU) 2015/61.

2.5.1 Liabilities provided by the ECB or the central bank of a Member State Point (c)(i) of Article 428k(3) and point (c)(i) of Article 428l CRR; liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are related to securities financing transactions

2.5.2 Liabilities provided by the central bank of a third country Point (c)(ii) of Article 428k(3) and point (c)(ii) of Article 428l CRR; liabilities provided by the central bank of a third country irrespective of whether or not they are related to securities financing transactions

2.5.3 Liabilities provided by financial customers Point (c)(iii) of Article 428k(3) and point (c)(iii) of Article 428l CRR; liabilities provided by financial customers irrespective of whether or not they are related to securities financing transactions

2.5.3.1 Operational deposits Point (a) of Article 428l CRR Institutions shall report here the part of the operational deposits from financial customers, in accordance with Article 27 of Delegated Regulation (EU) 2015/61, which is necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Delegated Regulation (EU) 2015/61 shall be reported under item 2.5.3.3. Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ASF from other non-financial customers (except central banks). The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be reported here but shall be reported under item 2.5.3.2.

2.5.3.2 Excess operational deposits Institutions shall report here the part of the operational deposits from financial customers in excess of those required for the provision of operational services. Operational deposits as per point (c) of Article 27(1) of the Commission Delegated Regulation (EU) 2015/61 shall not be reported here but within item 2.3. ASF from other non-financial customers (except central banks).

2.5.3.3 Other liabilities Institutions shall report here liabilities provided by financial customer that are not operational deposits where the counterparty can be identified. The part of operational deposits in excess of those required for the provision of operational services shall not be reported here but shall be reported under item 2.5.3.2.

2.6 ASF from liabilities provided where the counterparty cannot be determined Point (d) of Article 428k(3) and point (d) of Article 428l CRR Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified.

2.7 ASF from net derivatives liabilities The negative difference between netting sets calculated in accordance with Article 428k(4) CRR

2.8 ASF from interdependent liabilities Institutions shall report here liabilities that are interdependent with assets in accordance with Article 428f CRR. Institutions shall report here the sum of items 2.8.1 to 2.8.5.

2.8.1 Centralised regulated savings Liabilities related to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR

2.8.2 Promotional loans and relevant credit and liquidity facilities Liabilities related to promotional loans and credit and liquidity facilities that are interdependent with assets in accordance with point (b) of Article 428f(2) CRR.

2.8.3 Eligible covered bonds Liabilities related to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR

2.8.4 Derivatives client clearing activities Liabilities related to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR

2.8.5 Others Liabilities that fulfil all the conditions established in Article 428f(1) CRR and to be treated as interdependent with assets in accordance with Article 428f(1) CRR

2.9 ASF from other liabilities Institutions shall report here the sum of items reported under 2.9.1 to 2.9.4.

2.9.1 Trade date payables Point (a) of Article 428k(3) CRR Institutions shall report here trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle.

2.9.2 Deferred tax liabilities Point (a) of Article 428k(1) CRR Institution shall report here deferred tax liabilities and shall consider the nearest possible date on which their amount can be realised as residual maturity.

2.9.3 Minority interests Point (b) of Article 428k(1) CRR Institution shall report here minority interests and shall consider the term of the instrument as residual maturity.

2.9.4 Other liabilities Articles 428k(1) and 428k(3) CRR Institutions shall report here other liabilities, including short positions and open maturity positions.

PART IV SIMPLIFIED REQUIRED STABLE FUNDING

1.25.26.27.28.29.30.31.32.

Specific remarks Institutions shall report in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be reported even if these assets are accounted for in their balance sheet. In accordance with Article 428aq CRR, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the amount of assets and off-balance sheet items by the required stable funding factors. Assets that are eligible as liquid assets (HQLA) in accordance with Delegated Regulation (EU) 2015/61 shall be reported as such, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Those assets shall be reported in designated columns regardless of their residual maturity. All non-HQLA assets and off-balance sheet items shall be reported with a breakdown by their residual maturity in accordance with Article 428ar CRR. The maturity buckets of the amount, standard factors and applicable factors are the following: When calculating the residual maturity of non-HQLA assets and off-balance sheet items, institutions shall take options into account, based on the assumption that the issuer or counterparty will exercise any option to extend the asset's maturity. For options exercisable at the discretion of the institution, the institution and competent authority shall take into account reputational factors that may limit the institution's ability not to exercise the option, in particular considering markets’ and clients’ expectations that the institution should extend the maturity of certain assets at their maturity date. For some items, institutions shall report assets according to status of and/or maturity of encumbrance of that asset in accordance with paragraphs (4), (5) and (6) of Article 428aq CRR. The decision tree for reporting template C 82.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. As specified under Article 428aq(5) CRR, where an institution re-uses or re-pledges an asset that was borrowed, including in securities financing transactions, and that is accounted for off-balance sheet, the transaction through which the that assets has been borrowed shall be treated as encumbered to the extent that this transaction cannot mature without the institution returning the asset borrowed. # Item Decision Action 1 Netting sets of derivative contracts with a negative fair value gross of collateral posted or settlement payments and receipts related to market valuation changes of these contracts? Yes ID 1.7.1 No # 2 2 An asset or an off-balance sheet item posted as initial margin for derivatives? Yes ID 1.7.3 No # 3 3 An asset or an off-balance sheet item posted as contribution to CCP default fund? Yes ID 1.8 No # 4 4 An item on which the institution retains beneficial ownership? Yes # 5 No # 19 5 An asset associated with collateral posted as initial or variation margin for derivatives or as contribution to CCP default fund? Yes Do not report. No # 6 6 Non-performing assets or defaulted securities? Yes ID 1.9 No # 7 7 Trade date receivables? Yes ID 1.9 No # 8 8 Interdependent assets? Yes Allocate into one relevant item of ID 1.5 No # 9 9 Assets within a group or an IPS for which the competent authority has granted the preferential treatment? Yes ID 1.6 No # 10 10 Central bank assets? Yes Allocate into one relevant item of ID 1.1 No # 11 11 Liquid assets? Yes Allocate into one relevant item of ID 1.2.1 to 1.2.4 No # 12 12 Non-liquid asset securities? Yes ID 1.3 No # 13 13 Trade finance on-balance sheet products? Yes ID 1.4.3 No # 14 14 NSFR derivative assets? Yes ID 1.7.2 No # 15 15 Loans? Yes # 16 No # 20 16 Loans to non-financial customers? Yes ID 1.4.1 No # 17 17 Loans to financial customers? Yes ID 1.4.2 No # 18 18 Any other asset not considered in the above categories? Yes ID 1.9 No Do not report. 19 An off-balance sheet exposure? Yes # 20 No Do not report. 20 Non-performing exposure? Yes ID 1.10.4 No # 21 21 Committed facilities? Yes # 22 No # 23 22 Committed facilities for which the competent authority has granted the preferential treatment? Yes ID 1.10.1 No ID 1.10.2 23 Trade finance off-balance sheet item? Yes ID 1.10.3 No # 24 24 Other off-balance sheet exposure for which the competent authority has determined the RSF factor? Yes ID 1.10.5 No Do not report.

1.25.26.27.28. i.

Residual maturity of less than one year or without stated maturity;

ii.

Residual maturity of one year or more.

2. Instructions concerning specific columns Column Legal references and instructions 0010-0020 0030 0040-0060 0070-0900 0100

2. Amount of non-HQLA

Institutions shall report in columns 0010-0020 the amount, unless specified otherwise in Chapter 7 of Title IV of Part Six CRR, of the assets and off-balance sheet items referred to in Section 2 of Chapter 7 of Title IV of Part Six CRR. The amount shall be reported in columns 0010-0020 when the corresponding item is not eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

Amount of HQLA

See instructions in columns 0010-0020. The amount shall be reported in column 0030 when the corresponding item is eligible as liquid asset pursuant to Delegated Regulation (EU) 2015/61, regardless of whether they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

Standard RSF factor

Section 2 of Chapter 7 of Title IV of Part Six CRR The standard factors in columns 0040-0060 are those specified in Chapter 7 of Title IV of Part Six CRR by default that would determine the part of the amount of the assets and off-balance sheet items that is required stable funding. They are provided for information only and are not meant to be filled in by institutions.

Applicable RSF factor

Chapter 2 and Chapter 7 CRR Institutions shall report in columns 0070-0900 the applicable factor applied to items in Chapter 7 of Title IV of Part Six CRR. Applicable factors may result in weighted average values and shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.

Required stable funding:

Institutions shall report in Column 0100 the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR. This shall be calculated using the following formula: c0100 = SUM{(c0010 * c 0070), (c0020 * c 0080), (c0030 * c 0090)}.

3. Instructions concerning specific rows Row Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450

3.

1 REQUIRED STABLE FUNDING Institutions shall report here items subject to the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR.

1.1 RSF from central bank assets Points (b) and (c) of Article 428as(1) and point (d) of Article 428ad CRR Institutions shall report here central bank assets. A reduced RSF factor may apply in accordance with Article 428aq(7) CRR.

1.1.1 cash, reserves and HQLA exposures to central banks Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column.

1.1.2 other non-HQLA central bank exposures Institutions shall report here any other claims on central banks other than those reported under item 1.1.1.

1.2 RSF from liquid assets Articles 428ar to 428av and Article 428ax CRR Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation.

1.2.1 level 1 assets eligible for 0 % LCR haircut Institutions shall report here assets that are eligible as level 1 liquid assets pursuant to Article 10 of Delegated Regulation (EU) 2015/61.

1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months.

1.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year.

1.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more.

1.2.2 level 1 assets eligible for 7 % LCR haircut Institutions shall report here level 1 assets that are eligible for a 7 % haircut pursuant to Delegated Regulation (EU) 2015/61 as well as shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61.

1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months.

1.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year.

1.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more.

1.2.3 level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 0-20 % LCR haircuts pursuant to Delegated Regulation (EU) 2015/61.

1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months

1.2.3.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year

1.2.3.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more

1.2.4 level 2B assets eligible for 25 % LCR haircut and shares or units in CIUs eligible for 30-55 % haircuts Institutions shall report here level 2B assets that are eligible for a haircut of 25 % pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 30-55 % haircuts pursuant to Delegated Regulation (EU) 2015/61.

1.2.4.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.2.4.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of one year or more

1.3 RSF from securities other than liquid assets Point (b) of Article 428aw, point (d) of Article 428ay and point (b) of Article 428az(1) CRR Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements laid down therein.

1.3.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.3.2 encumbered for a residual maturity of one year or more The amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more

1.4 RSF from loans Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR. As specified under Article 428ar(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively.

1.4.1 loans to non-financials The amount reported under 1.4 that is related to loans to non-financial customers

1.4.1.1 unencumbered or encumbered for a residual maturity of less than one year Point (a) of Article 428aw and point (b) of Article 428ay CRR; the amount reported under 1.4.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year.

1.4.1.2 encumbered for a residual maturity of one year or more Point (b) of Article 428az(1) CRR; the amount reported under 1.4.1 that is related to assets that are encumbered for a residual maturity of one year or more

1.4.2 loans to financials The amount reported under 1.4 that is related to loans to financial customers

1.4.2.1 unencumbered or encumbered for a residual maturity of less than one year Point (a) of Articles 428aw and point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year

1.4.2.2 encumbered for a residual maturity of one year or more Point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are encumbered for a residual maturity of one year or more

1.4.3 trade finance on-balance sheet products Point (b) of Article 428aw and point (c) of Article 428ay CRR; the amount reported under 1.4 arising from trade finance on-balance sheet products

1.5 RSF from interdependent assets Article 428f and point (f) of Article 428r(1) CRR; institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR

1.6 RSF from assets within a group or an IPS if subject to preferential treatment Institutions shall report here assets for which the competent authority has granted the preferential treatment referred to in Article 428h CRR.

1.7 RSF from derivatives Article 428d, Article 428at(2), point (a) of Article 428ay and Article 428az(2) CRR Institutions shall report here the amount of required stable funding arising from derivatives.

1.7.1 required stable funding for derivative liabilities Article 428at(2) CRR; the amount reported under 1.7 which is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428at(2) CRR.

1.7.2 NSFR derivative assets Articles 428d; the amount reported under 1.7 which is the positive difference between netting sets calculated in accordance with Article 428az(2) CRR

1.7.3 initial margin posted Point (a) of Article 428ay CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts

1.8 RSF from contributions to CCP default fund Point (a) of Article 428ay CRR Institutions shall report here items posted as contribution to the default fund of a CCP.

1.9 RSF from other assets Institutions shall report here any asset not referred to in items 1.1 to 1.8.

1.10 RSF from OBS items Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.8 that are subject to the required stable funding requirements.

1.10.1 committed facilities within a group or an IPS if subject to preferential treatment The amount reported in 1.10 that is related to committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR

1.10.2 committed facilities Article 428at(1) CRR; the amount reported under 1.10 that is committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not considered under item 1.10.1.

1.10.3 trade finance off-balance sheet items Point (b) of Article 428au CRR; the amount reported under 1.10 that is trade finance off-balance sheet related product as referred to in Annex I CRR

1.10.4 non-performing off-balance sheet items The amount reported under 1.10 that is related to non-performing exposures

1.10.5 other off-balance sheet exposures determined by competent authorities The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428aq(10) CRR

PART V SIMPLIFIED AVAILABLE STABLE FUNDING

1.33.34.35.36.37.38.39.

Specific remarks All liabilities and own funds shall be reported with a breakdown by their residual contractual maturity in accordance with Article 428ak CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following: All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428al to 428ao CRR, in accordance with Article 428ap CRR. All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than one year. According to Article 428ak(2) CRR institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity. Furthermore, as established in Article 428ap CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor. According to Article 428ak(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 36, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits. The decision tree for reporting template C 83.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well. # Item Decision Action 1 Common Equity Tier 1capital? Yes ID 2.1 No # 2 2 Additional Tier 1 capital? Yes ID 2.1 No # 3 3 Tier 2 capital? Yes ID 2.1 No # 4 4 Other capital instruments? Yes ID 2.1 No # 5 5 A liability associated with collateral received as variation margin for derivatives? Yes Do not report. No # 6 6 Trade date payables? Yes ID 2.9 No # 7 7 Interdependent liability? Yes ID 2.8 No # 8 8 Liabilities and committed facilities within a group or an IPS for which the competent authority has granted the preferential treatment? Yes ID 2.5 No # 9 9 NSFR derivative liabilities? Yes ID 2.9 No # 10 10 Deferred tax liabilities? Yes ID 2.9 No # 11 11 Minority interest? Yes ID 2.9 No # 12 12 Stable retail deposits? Yes ID 2.2.1 No # 13 13 Other retail deposits? Yes ID 2.2.2 No # 14 14 Operational deposits provided by financial or non-financial customers? Yes ID 2.4 No # 15 15 Liabilities where the counterparty cannot be determined? Yes ID 2.7 No # 16 16 Liabilities provided by central banks? Yes ID 2.6 No # 17 17 Liabilities provided by financial customers? Yes ID 2.6 No # 18 18 Liabilities from non-financial customers other than central banks? Yes ID 2.3 No # 19 19 Any other liabilities not considered in the above categories? Yes ID 2.9 No Do not report.

1.33. i.

Residual maturity of less than one year or without stated maturity;

ii.

Residual maturity of one year or more.

2. Instructions concerning specific columns Column Legal references and instructions 0010-0020 0030-0040 0050-0060 0070

2. Amount

Institutions shall report in columns 0010-0020 the amount of liabilities and own funds allocated to the applicable residual maturity bucket.

Standard ASF factor

Section 2 of Chapter 6 of Title IV of Part Six CRR The standard factors in columns 0030-0040 shall be those specified in Chapter 8 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that is available stable funding. They shall provided for information only and are not meant to be filled in by institutions.

Applicable ASF factor

Chapter 2 and Chapter 6 of Title IV of Part Six CRR Institutions shall report in columns 0050-0060 the applicable ASF factors in Chapter 6 of Title IV Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions.

Available Stable Funding

Institutions shall report in column 0070 the value of the available stable funding in accordance with the definition set out in Article 428aj CRR. This shall be calculated using the following formula: c0070 = SUM{(c0010 * c 0050), (c0020 * c 0060)}.

1503 more provisions are not shown here; each has its own address.

Versions

1. 2020-12-17

Cited by

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Definition of Low Default Portfolio counterparties Only exposures to the counterparties listed in table C 101.00 of Annex I which are treated under the Foundation IRB approach or under the Advanced IRB approach shall be reported in template C 101.00 of Annex III. In templates C 111, C 112 and C 113 of Annex VIII, -exposures to counterparties listed in table C 101.00 of Annex I which are treated under the standardised approach shall also be reported. Independent of the regulatory approach, exposures to related entities of the counterparties listed in table C 101.00 of Annex I, including subsidi

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Definition of Low Default Portfolios Column Label Legal reference Instructions 0010 Portfolio ID The unique ID assigned to the portfolio by EBA. 0020 Portfolio name Each portfolio is assigned to one of the following portfolio names: 0030 Type of risk The instructions provided for column 0130 of table C 101.00 shall apply. 0040 Regulatory approach Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA: 0050 Geographical area Exposures shall be split into parts and assigned to portfolios based on the country of residence (I

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  GENERAL INSTRUCTIONS Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an original exposure or an exposure after credit risk mitigation. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. Information shall be submitted only for those exposures for which the competent authority has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In tables C 101, counterparty codes ending with STDA shall not be reported

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Details on exposures in Low Default Portfolios by counterparty Specialised lending exposures shall be excluded. Column Label Legal reference Instructions 0010 Counterparty Code Column 0010 of table C 101 of Annex I The counterparty code of column 0010 of table C 101 of Annex I defining the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template. 0020 Exposure class Paragraph 76 of Annex II to Implementing Regulation (EU) 2021/451 Each counterparty shall be assigned to one

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Details on exposures in Low Default Portfolios For portfolios referred to in Annex I with a collateralisation status other than 'Not applicable', the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170). For por

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Details on exposures in High Default Portfolio For portfolios referred to in Annex I with a collateralisation status different from Not applicable, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150), RWA (column 0170), Loss rate latest year (column 021

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Definition of internal models The information in column 0140 may be omitted. Column Label Legal reference Instructions 0010 Internal model ID The internal model ID assigned by the reporting institution shall be reported. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template. 0020 Model name The model name assigned to the internal model by the reporting institution shall be reported. 0030 IRBA Risk parameter The IRB approach risk parame

• Commission Implementing Regulation (EU) 2023/313 of 15 December 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance) Regulation · Grade B

  Mapping of internal models to portfolios Column Label Legal reference Instructions 0010 Portfolio ID Column 0010 of tables C 102 and C 103 The portfolio ID uniquely identifying the portfolio in accordance with tables C 102 and 103 of Annex I shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C 105.02. 0020 Internal model ID Column 0010 of template C 105.01 The internal model ID assigned by the reporting institution shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for e

• Guideline (EU) 2025/2595 of the European Central Bank of 10 December 2025 on the supervisory approach by national competent authorities to coverage of non-performing exposures held by less significant supervised entities (ECB/2025/40) Act · Grade B

  To assess the coverage by less significant supervised entities of non-performing exposures that are within the scope of this Guideline, it is necessary for NCAs to obtain detailed data in relation to coverage of such exposures. Such data is not currently included in the information that institutions are required to report under Commission Implementing Regulation (EU) 2021/451, and therefore NCAs should require less significant supervised entities to report it for each relevant reporting reference date,

• Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book (Text with EEA relevance) Regulation · Grade B

  Commission Implementing Regulation (EU) 2021/451 specifies the uniform reporting formats and templates, the instructions and methodology on how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting referred to in Article 430(1) to (4) of Regulation (EU) No 575/2013. Regulation (EU) No 575/2013 has been amended by Regulation (EU) 2019/876 of the European Parliament and of the Council. In addition, Directive (EU) 2019/878 of the European Parliament and of the Council introduced certain new prudential requirements into Directive 2013/

• Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book (Text with EEA relevance) Regulation · Grade B

  Implementing Regulation (EU) 2021/451 should therefore be amended accordingly.

• Commission Implementing Regulation (EU) 2024/855 of 15 March 2024 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards rules on the supervisory reporting of interest rate risk in the banking book (Text with EEA relevance) Regulation · Grade B

  Implementing Regulation (EU) 2021/451 is amended as follows:

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  The European Commission, based on the draft implementing technical standards submitted by the European Banking Authority (EBA), recently adopted Commission Implementing Regulation (EU) 2021/451, which repeals and replaces Commission Implementing Regulation (EU) No 680/2014.

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  As Regulation (EU) 2015/534 of the European Central Bank (ECB/2015/13) (the ECB FINREP Regulation) provides for the use, for its purposes, of templates developed by the EBA and enacted in Implementing Regulation (EU) No 680/2014, references to Implementing Regulation (EU) No 680/2014 in the ECB FINREP Regulation need to be updated accordingly. It is also necessary to take account of other changes that require updates to cross references to Implementing Regulation (EU) 2021/451 to ensure that the ECB FINREP Regulation remains consistent with the applicable Commission Implementing Regulation. Th

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  In order to ensure legal certainty, it is necessary to ensure that the changes in references apply from the same date as the repeal of Implementing Regulation (EU) No 680/2014. This Regulation should therefore apply from the date of application of Implementing Regulation (EU) 2021/451, on 28 June 2021.

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  in paragraph 2, the reference to Implementing Regulation (EU) No 680/2014 is replaced by a reference to Commission Implementing Regulation (EU) 2021/451 (*); Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).;

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  In accordance with Article 430(4) of Regulation (EU) No 575/2013, significant credit institutions applying IFRS under Regulation (EC) No 1606/2002 for supervisory reporting on a consolidated basis pursuant to Article 24(2) of Regulation (EU) No 575/2013 shall report supervisory financial information, as provided for in Article 11 of Implementing Regulation (EU) 2021/451, on a consolidated basis.;

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  In accordance with Article 430(9) of Regulation (EU) No 575/2013, significant credit institutions other than those referred to in Article 4, which are subject to national accounting frameworks on a consolidated basis based on Directive 86/635/EEC, shall report supervisory financial information on a consolidated basis as provided for in Article 12 of Implementing Regulation (EU) 2021/451.;

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  The supervisory financial reporting referred to in paragraph 1 shall include the information specified in Article 11 of Implementing Regulation (EU) 2021/451, including information specified in template 40.1 of Annex III to that Regulation, and shall take place with the frequency specified in that Article.;

• Regulation (EU) 2021/943 of the European Central Bank of 14 May 2021 amending Regulation (EU) 2015/534 on reporting of supervisory financial information (ECB/2021/24) Regulation · Grade B

  The supervisory financial reporting referred to in paragraph 3 shall include the information specified in Article 12 of Implementing Regulation (EU) 2021/451, including information specified in template 40.1 of Annex IV to that Regulation, and shall take place with the frequency specified in that Article.;