Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)

In forceVersion 2022-11-21from 2023-01-11

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Contents

Preamble
1. Article 1
Article 1
(1)
1. Article 18 Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis
1. Article 1
(3)
1. Article 20 Supplementary reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates
1. Article 1
2. Article 2 Entry into force and application
ANNEX
ANNEX I
ANNEX II
PART I GENERAL INSTRUCTIONS
1.
1.1.1.
1.2.4.5.6.7.8.
PART II TEMPLATE RELATED INSTRUCTIONS
1.
1.1.11.12.13.14.15.
1.1.11.
1.1.11.12.13.14.
1.2.
1.3.
1.4.
1.4.1.
1.5.
1.5.1. a)
1.6.
1.6.1.16.17.18.19.20.
1.6.1.16.17.
1.6.2.21.22.23.24.25.
1.6.326.
2.
2.1.27.28.29.
2.1.27.
2.3.32.33.34.35.36.37.38.
2.5.
3.
3.1.39.
3.1.1.40.41.42.43.
3.2.
3.2.1.45. a)
3.2.2.46.47.48.49.50.51.52.53.54.55.
3.2.2.46.47.48.
3.2.2.46.47.48.49.
3.2.2.46.47.48.49.50.51.52.
3.2.3.56.57.58.59.60.61.62.63.64.65.
3.2.3.56.
3.2.3.56.57.58.59.60.61.62.
3.2.4.
3.2.4.1.66.67.68.
3.2.4.2.69.70.
3.2.5.
3.3.
3.3.1.72.73.74.75.
3.3.1.72. i.
3.3.1.72.73.74. i.
3.3.2.76.
3.3.3.
3.3.1.
3.3.2.
3.3.2.1.78.79.
3.3.3.2.
3.3.4.
3.3.5.
3.3.5.1.82.
3.3.6.
3.3.6.1.83.84.
3.4.85.86.87.
3.4.1.
3.4.2.
3.4.3.
3.4.3.1.88.89.90.91.
3.4.3.2.
3.5.
3.5.1.92.93.94.95.96.97.
3.5.1.92.93.94.
3.6.
3.6.1.99.100.101.102.103.104.105.
3.7.
3.7.1.106.107.108.
3.7.2.109.110.
3.7.2.
3.8.
3.8.1.111.112.113.114.115.
3.8.1.111.112. a.
3.8.2116.117.
3.8.3
3.8.4.118.
3.9.
3.9.1.119.120.121.
3.9.2.
3.9.2.1.122.123.
3.9.3.
3.9.4.
3.9.5.
3.9.6.
3.9.7.
3.9.7.1.126.127.
3.9.7.2.
3.9.8.
3.9.8.1.128.129.130.
3.9.9.
3.9.10.
3.9.11.
3.9.11.1.132.
3.9.12.
3.9.12.1.133.134.135.
4.
4.1
4.1.1136.137.138.139.140.141.
4.2.
4.2.1.142.143.144.145.146.147.148.149.150.
4.2.2.
4.2.2.1.151.152.153.154.
4.2.2.2.
4.2.3.
4.2.3.1.155.156.157.
4.2.3.1.155.156.
5.158.159.
5.1.
5.1.1.160.161.
5.2.
5.2.1.162.163.164.
5.3.
5.3.1.165.166.167.168.
5.4.
5.4.1.169.170.
5.5.
5.5.1.171.172.
5.5.2.
5.6.
5.7.
5.7.1.174.175.
5.8.
6.
6.1.
6.1.1.176.177.
6.2.
6.2.1.178.179.180.
6.2.1.178.179.
6.3.
6.3.1.181.182.183.184.185.
6.4
6.4.1.186.187.188.189.190.
7.
7.1.191.192.193.194.195.196.
7.2.197.198.199.
8.
8.1.200.201.202.203.204.205.
8.1.200.201. a)
8.2.
8.3.
8.4.
ANNEX III
ANNEX XVI REPORTING TEMPLATES ON ASSET ENCUMBRANCE F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS) F 32.02 - COLLATERAL RECEIVED (AE-COL) F 32.03 - OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED (AE-NPL) F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU) F 33.00 - MATURITY DATA (AE-MAT) F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT) A.B. F 35.00 - COVERED BONDS ISSUANCE (AE-CB) F 36.01 - ADVANCED DATA. PART I (AE-ADV-1) F 36.02 - ADVANCE DATA. PART II (AE-ADV-2) z-axis Cover pool identifier (open)
ANNEX IV
ANNEX XVII INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE
GENERAL INSTRUCTIONS
1.
1.1.1.
TEMPLATE-RELATED INSTRUCTIONS
2.12.13.
2.1.
2.1.1.14.
2.1.2. Assets of the reporting institution
2.1.3. Carrying amount of encumbered assets
2.2.
2.2.1.15.16.17.
2.2.2. Collateral received by the reporting institution
2.2.3. Fair value of encumbered collateral received or own debt securities issued
2.3.
2.3.1.18.
2.3.2. Own covered bonds and securitisations issued and not yet pledged
2.3.3. Carrying amount of the underlying pool of assets
2.4.
2.4.2. Carrying amount of selected financial liabilities
2.4.3. Matching liabilities, contingent liabilities or securities lent
3.
3.2.
3.2.1. Encumbered assets
3.2.2. Open maturity
> 1 day <=1wk
> 2wks <=1mth
> 1mth <=3mths
> 3mths <=6mths
> 6mths <=1yr
> 2yrs <=3yrs
> 3yrs <=5yrs
> 5yrs <=10yrs
4.
4.1.22.23.24.25.
4.1.22.23.24.
4.1.2.28.29.30.
4.2.
4.2.2. Matching liabilities, contingent liabilities or securities lent
5.
5.1.32.33.34.
5.2.
5.2.1. Cover pool identifier (open)
5.2.2. Nominal amount
5.2.3. Compliance with Article 129 of Regulation (EU) No 575/2013? [YES/NO]
+ 12 months – + 10 years
6.
6.2.
6.2.1. Central bank funding (of all types, including repos)
6.2.2. Loans on demand
6.3.
6.3.2. Loans on demand
ANNEX V
ANNEX XVIII C 67.00 - CONCENTRATION OF FUNDING BY COUNTERPARTY 1.2. C 68.00 - CONCENTRATION OF FUNDING BY PRODUCT TYPE C 69.00 - PRICES FOR VARIOUS LENGTHS OF FUNDING C 70.00 - ROLL-OVER OF FUNDING Total and significant currencies Total and significant currencies Total and significant currencies Total and significant currencies
ANNEX VI
ANNEX XIX INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1.
1.1.1.2.3.4.5.6.7.8.9.
1.2.1.2.3.4.5.6.7.8.
1.3.1.1.11.21.31.41.4.11.4.22.12.1.12.1.22.1.32.22.2.12.2.22.2.32.2.43.4.5.6.
1.3.1.
1.3.1.1.11.21.31.41.4.11.4.2
1.4.1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.
1.4.1.
1
1.5.1.2.3.4.5.6.7.8.9.10.11.12.
1.5.1.2.
> 1 day ≤ 7 days
> 7days ≤ 14 days
> 14 days ≤ 1 month
> 3 Months ≤ 6 Months
ANNEX VII
ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER 1.2. Total and significant currencies
ANNEX VIII
ANNEX XXI INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX
Concentration of Counterbalancing Capacity by issuer/counterparty (CCC) (C 71.00) 1.2.3.4.5.6.
ANNEX IX
ANNEX XXII REPORTING ON AMM MATURITY LADDER C 66.01 - MATURITY LADDER Total and significant currencies
ANNEX X
ANNEX XXIII INSTRUCTIONS FOR COMPLETING THE MATURITY LADDER TEMPLATE OF ANNEX XXII
PART I GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.18.19.20.21.
PART II INSTRUCTIONS CONCERNING SPECIFIC ROWS
1.1 Liabilities resulting from securities issued (if not treated as retail deposits)
1.1.0.1 of which: Intragroup or IPS
1.1.1 unsecured bonds due
1.1.2 regulated covered bonds
1.1.3 securitisations due
1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is non-Central Bank):
1.2.0.1 of which: Intragroup or IPS
1.2.1 Level 1 tradable assets
1.2.1.1 Level 1 excluding covered bonds
1.2.1.1.1 Level 1 central bank
1.2.1.1.2 Level 1 (CQS 1)
1.2.1.1.3 Level 1 (CQS 2, CQS3)
1.2.1.1.4 Level 1 (CQS 4+)
1.2.1.2 Level 1 covered bonds (CQS1)
1.2.2 Level 2A tradable assets
1.2.2.1 Level 2A corporate bond (CQS 1)
1.2.2.2 Level 2A covered bonds (CQS1, CQS2)
1.2.2.3 Level 2A public sector (CQS1, CQS2)
1.2.3 Level 2B tradable assets
1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1)
1.2.3.2 Level 2B covered bonds (CQS 1-6)
1.2.3.3 Level 2B corporate bonds (CQS 1-3)
1.2.3.4 Level 2B shares
1.2.3.5 Level 2B public sector (CQS 3-5)
1.2.4 other tradable assets
1.2.5 other assets
1.2a Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is Central Bank):
1.2a.1 Level 1 tradable assets
1.2a.2 Level 2A tradable assets
1.2a.3 Level 2B tradable assets
1.2a.4 other tradable assets
1.2a.5 other assets
1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)
1.3.0.1 of which: Intragroup or IPS
1.3.1 stable retail deposits
1.3.2 other retail deposits
1.3.3 operational deposits
1.3.4 non-operational deposits from credit institutions
1.3.5 non-operational deposits from other financial customers
1.3.6 non-operational deposits from central banks
1.3.7 non-operational deposits from non-financial corporates
1.3.8 non-operational deposits from other counterparties
1.4 FX-swaps maturing
1.5 Derivatives amount payables other than those reported in 1.4
1.
2.
1.6 Other outflows
1.7 Total outflows
2.1 Monies due from secured lending and capital market driven transactions collateralised by:
2.1.0.1 of which: Intragroup or IPS
2.1.1 Level 1 tradable assets
2.1.1.1 Level 1 excluding covered bonds
2.1.1.1.1 Level 1 central bank
2.1.1.1.2 Level 1 (CQS 1)
2.1.1.1.3 Level 1 (CQS 2, CQS3)
2.1.1.1.4 Level 1 (CQS 4+)
2.1.1.2 Level 1 covered bonds (CQS1)
2.1.2 Level 2A tradable assets
2.1.2.1 Level 2A corporate bond (CQS 1)
2.1.2.2 Level 2A covered bonds (CQS1, CQS2)
2.1.2.3 Level 2A public sector (CQS1, CQS2)
2.1.3 Level 2B tradable assets
2.1.3.1 Level 2B ABS (CQS 1)
2.1.3.2 Level 2B covered bonds (CQS 1-6)
2.1.3.3 Level 2B corporate bonds (CQS 1-3)
2.1.3.4 Level 2B shares
2.1.3.5 Level 2B public sector (CQS 3-5)
2.1.4 other tradable assets
2.1.5 other assets
2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to:
2.2.1 retail customers
2.2.2 non-financial corporates
2.2.3 credit institutions
2.2.3.1 of which: Intragroup or IPS
2.2.4 other financial customers
2.2.5 central banks
2.2.6 other counterparties
2.3 FX-swaps maturing
2.4. Derivatives amount receivables other than those reported in 2.3
1.
2.
2.5 Paper in own portfolio maturing
2.6 Other inflows
2.6.1 of which: Intragroup or IPS
2.7 Total inflows
2.8 Net contractual gap
2.9 Cumulated net contractual gap
3 COUNTERBALANCING CAPACITY
3.1 Coins and bank notes
3.2 Withdrawable central bank reserves
3.3 Level 1 tradable assets
3.3.1 Level 1 excluding covered bonds
3.3.1.1 Level 1 central bank
3.3.1.2 Level 1 (CQS 1)
3.3.1.3 Level 1 (CQS 2, CQS3)
3.3.1.4 Level 1 (CQS 4+)
3.3.2 Level 1 covered bonds (CQS1)
3.4 Level 2A tradable assets
3.4.1 Level 2A corporate bond (CQS 1)
3.4.3 Level 2A covered bonds (CQS 1, CQS2)
3.4.4 Level 2A public sector (CQS1, CQS2)
3.5 Level 2B tradable assets
3.5.1 Level 2B ABS (CQS 1)
3.5.2 Level 2B covered bonds (CQS 1-6)
3.5.3 Level 2B corporate bonds (CQS 1-3)
3.5.4 Level 2B shares
3.5.5 Level 2B public sector (CQS 3-5)
3.6 other tradable assets
3.6.1 central government (CQS1)
3.6.2 central government (CQS2-3)
3.6.4 covered bonds
3.6.6 other tradable assets
3.7 non-tradable assets eligible for central bank
3.7a own issuances eligible for central banks
3.8 Undrawn committed facilities received
3.8.1 Level 1 facilities
3.8.2 Level 2B restricted use facilities
3.8.3 Level 2B IPS facilities
3.8.4 Other facilities
3.8.4.1 from intragroup counterparties
3.8.4.2 from other counterparties
3.9 Net change of Counterbalancing Capacity
3.10 Cumulated Counterbalancing Capacity
4 CONTINGENCIES
4.1 Outflows from committed facilities
4.1.0.1 of which: Intragroup or IPS
4.1.1 Committed credit facilities
4.1.1.1 considered as Level 2B by the receiver
4.1.1.2 other
4.1.2 Liquidity facilities
4.1a Outflows from uncommitted funding facilities
4.2 Outflows due to downgrade triggers
MEMORANDUM ITEMS
13 HQLA central bank eligible – Tradable assets
14 Assets reported in 3.6 that are non-HQLA central bank eligible
17 Behavioural outflows from deposits
18 Behavioural inflows from loans and advances
19 Behavioural draw-downs of committed facilities
ANNEX XI
ANNEX XXVI SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES G 01.00 - G-SII indicators and EBU items
ANNEX XII
ANNEX XXVII REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING G-SIIs AND ASSIGNING G-SII BUFFER RATES
PART I GENERAL INSTRUCTIONS
1.
PART II TEMPLATE RELATED INSTRUCTIONS
2. G-SII indicators
a)
b)

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 amending Regulation (EU) No 648/2012 and in particular to Article 415(3), first subparagraph, Article 415(3a), first subparagraph, Article 430(7), first subparagraph and Article 430(9), second subparagraph thereof,

Whereas:

(1) Commission Implementing Regulation (EU) 2021/451 lays down technical standards with regard to supervisory reporting and specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. That Implementing Regulation should be amended to reflect the elements introduced in Regulation (EU) No 575/2013 by Regulation (EU) 2019/876 of the European Parliament and of the Council.

(2) Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 to increase, inter alia, the degree of proportionality of the reporting requirements on liquidity. Therefore, it is necessary to specify the revised the scope of the reporting requirements on additional liquidity monitoring metrics that are applicable to small and non-complex institutions in the Union in accordance with Implementing Regulation (EU) 2021/451. In line with the recommendations from the final report of the European Banking Authority (EBA) on the cost of compliance with reporting requirements referred to in Article 430(8) of Regulation (EU) No 575/2013, institutions that are not small and non-complex, but are neither large institutions, should, to some extent, also benefit from an increased degree of proportionality in additional liquidity monitoring metrics.

(3) Regulation (EU) 2021/558 of the European Parliament and of the Council together with Regulation (EU) 2021/557 of the European Parliament and of the Council amended Regulation (EU) No 575/2013 and Regulation (EU) 2017/2402, respectively, to introduce targeted adjustments to the securitisations framework. Those targeted adjustments should be reflected in the reporting requirements of Implementing Regulation (EU) 2021/451.

(4) Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 with respect to the treatment of prudently valued software assets. In this respect, Commission Delegated Regulation (EU) 2020/2176 amended Delegated Regulation (EU) No 241/2014 to clarify the exemption of software assets from the deduction from Common Equity Tier 1 items. Implementing Regulation (EU) 2021/451 should be amended to provide competent authorities with information on institutions’ implementation of the requirements of that Delegated Regulation.

(5) The final report of the EBA on the cost of compliance recommended to exempt small and non-complex institutions from the reporting of certain asset encumbrance templates and to adjust the definition of the level of asset encumbrance. The Commission agrees with the recommendations on reducing the cost of compliance included in that report. It is therefore necessary to amend the corresponding provisions on reporting on asset encumbrance on an individual and a consolidated basis of Regulation (EU) 2021/451.

(6) Implementing Regulation (EU) 2021/451 lays down the requirements for reporting of core information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates in accordance with a Union-specific methodology laid down in Commission Delegated Regulation (EU) No 1222/2014. The indicators through which systemic importance is measured are equally applicable to banking groups and standalone institutions. Therefore, the reporting obligations should be extended to standalone institutions that meet the criteria for being included in the G-SII assessment exercise.

(7) In order to improve the ability of competent authorities to effectively monitor and assess the institutions’ risk profile, the institutions’ compliance with prudential requirements, and to identify the risks that institutions may pose to the financial sector, a number of Annexes to Implementing Regulation (EU) 2021/451 should be amended.

(8) In order to give clarity and sufficient time to prepare for the implementation of the reporting requirements introduced by this Regulation, institutions should start reporting in accordance with this Regulation not earlier than six months from its date of entry into force, in accordance with Article 430(7) of Regulation (EU) No 575/2013.

(9) The provisions in this Regulation are closely linked, since Article 415(3), first subparagraph and Article 415(3a), first subparagraph, concern institutions’ reporting obligations that are substantially aligned to other institutions’ reporting obligations in accordance with Article 430 of Regulation (EU) No 575/2013. To ensure coherence between those provisions, the relevant implementing technical standards should be included in a single Regulation.

(10) Implementing Regulation (EU) 2021/451 should therefore be amended accordingly.

(11) This Regulation is based on the draft implementing technical standards submitted to the Commission by EBA.

(12) 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,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2021/451 is amended as follows:

(1) Article 18 is replaced by the following:

Article 1

(1)

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

When reporting 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 information as follows:

(a) large institutions within the meaning of Article 4(1), point (146), of Regulation (EU) No 575/2013 shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, templates 67, 68, 69 and 70 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions in Annex XXI to this Regulation;

(b) small and non-complex institution within the meaning of Article 4(1), point (145), of Regulation (EU) No 575/2013 shall submit with a quarterly frequency the information set out in template 66.1 in Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, template 67 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions set out in Annex XXI to this Regulation;

(c) institutions that do not fall withing the scope of points (a) and (b) shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII in accordance with the instructions set out in Annex XXIII, templates 67, 68 and 69 of Annex XVIII in accordance with the instructions set out in Annex XIX and template 71 of Annex XX in accordance with the instructions set out in Annex XXI.;

Article 1

(2) Article 19 is amended as follows:

(a) paragraphs 2 and 3 are replaced by the following: The entry and exit criteria of Article 4(3) shall apply.

2. The information referred to in paragraph 1 shall be submitted with the following frequency:

(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;

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

(a) institutions shall submit the information specified in Annex XVI, Part A;

(b) large institutions shall submit the information specified in Annex XVI, Parts B, C and E;

(c) institutions that are neither large institutions nor small and non-complex institutions shall submit the information specified in Annex XVI, Parts B, C and E, where the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is equal to or above 15 %;

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

(b) paragraph 4 is deleted;

(3) Article 20 is replaced by the following:

Article 1

(3)

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

1. When reporting 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 to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on a consolidated basis with a quarterly frequency, 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 125000000000;

(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.

2. 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, institutions shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on an individual basis with a quarterly frequency, where all of the following conditions are met:

(a) the total exposure measure of the institution is equal to or exceeds EUR 125000000000;

(b) the institution is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014;

(c) the institution is not part of a group that is subject to consolidated supervision in accordance with Chapter 1, Title II, Part One of Regulation (EU) No 575/2013 (standalone institution).

3. By way of derogation from Article 3(1), point (b), the information referred to in paragraphs 1 and 2 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 thresholds specified in paragraph 1, point (a), and paragraph 2, point (a), of this Article:

(a) the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, 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, EU parent mixed financial holding or standalone institution, as applicable, 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 1

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

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

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

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

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

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

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

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

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

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

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

(15) Annex XXVII is replaced by the text set out in Annex XII to this Regulation.

Article 2 Entry into force and application

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 11 July 2023.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 21 November 2022. For the Commission The President Ursula VON DER LEYEN

ANNEX

ANNEX I

ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS C 01.00 - OWN FUNDS (CA1) C 02.00 - OWN FUNDS REQUIREMENTS (CA2) C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) C 04.00 - MEMORANDUM ITEMS (CA4) C 05.01 - TRANSITIONAL PROVISIONS (CA5.1) C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) 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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B) 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) 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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B) CR IRB 5B 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 0352 1.1.1.11.1.1 (-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities 0360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 0362 1.1.1.11.2.1 Of which: Deferred tax liabilities associated with software assets accounted for as 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0030 1** Of which : Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 0212 1.1.1.1.16.1 Of which: software assets accounted for as intangible assets 0240 1.1.2 Internal ratings based Approach (IRB) 0241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013 0242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013 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 0455 1.1.2.5.1 Of which: software assets accounted for as intangible 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0760 1.8.4 Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU 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 Software assets accounted for as intangible assets exempted from the deduction 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 powers in accordance with Article 59 of Directive 2014/59/EU 0064 1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU 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 01/01/2018 – 31/12/2019 0443 1.3.4.3 Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020 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 Article 57, point (a) of Directive 2006/48/EC link to {CA5.1;r060;c010) 0020 2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity 0080 2.3 Excess on the limit of CET1 grandfathered instruments 0090 3 Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 (%) TOTAL RISK EXPOSURE AMOUNT OWN FUNDS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIREMENT 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 in exposure classes items associated with a particular high risk and equity 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 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0171 0172 0173 0180 0190 0200 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 AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0005 0006 0010 0020 0030 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 (-) 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 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 ARTICLE 166 OF REGULATION (EU) No 575/2013 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 0120 CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH 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 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS OTHER (RW=1250 %) SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS 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 ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013 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 ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013 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 0695 0700 0710 0720 0730 0740 0750 0760 0770 0780 0790 0800 0810 0820 0830 0840 0845 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 EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS 0050 GRANDFATHERED SENIOR POSITION IN SME SYNTHETIC SECURITISATIONS 0051 SENIOR POSITIONS IN STS ON-BALANCE SHEET 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 0121 EXPOSURES IN NON-NPE SECURITISATIONS 0131 OF WHICH: SENIOR EXPOSURES 0133 EXPOSURES IN NPE SECURITISATIONS 0134 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS 0135 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS 0136 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS 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 0241 EXPOSURES IN NON-NPE SECURITISATIONS 0251 OF WHICH: SENIOR EXPOSURES 0253 EXPOSURES IN NPE SECURITISATIONS 0254 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS 0255 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS 0256 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS 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 0361 EXPOSURES IN NON-NPE SECURITISATIONS 0371 OF WHICH: SENIOR EXPOSURES 0373 EXPOSURES IN NPE SECURITISATIONS 0374 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS 0375 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS 0376 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS 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 SECURITISATION? ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE 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 SECURITISATION SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT TYPE OF EXCESS SPREAD AMORTISATION SYSTEM COLLATERALISATION OPTIONS 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 OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS SENIOR MEZZANINE FIRST LOSS SYNTHETIC EXCESS SPREAD FIRST FORESEEABLE TERMINATION DATE ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION 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 TRANCHE AMOUNT DETACHMENT POINT (%) CQS AMOUNT OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT AMOUNT ATTACHMENT POINT (%) AMOUNT NUMBER OF TRANCHES AMOUNT DETACHMENT POINT (%) 0010 0020 0021 0110 0030 0040 0051 0060 0061 0070 0075 0446 0076 0077 0078 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 0254 0255 0260 0265 0270 0275 0280 0285 0287 0290 0291 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 SYNTHETIC EXCESS SPREAD 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 0362 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) of Regulation (EU) No 575/2013 0060 Are the conditions of Article 273a (4) of Regulation (EU) No 575/2013 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 0O71 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 ≥ 10,000 and < 20,000 0912 related to losses ≥ 20,000 and < 100,000 0913 related to losses ≥ 100,000 and < 1,000,000 0914 related to losses ≥ 1,000,000 0920 Gross loss amount (new events). Of which: 0921 related to losses ≥ 10,000 and < 20,000 0922 related to losses ≥ 20,000 and < 100,000 0923 related to losses ≥ 100,000 and < 1,000,000 0924 related to losses ≥ 1,000,000 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 0181 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%] [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 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS 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 0085 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0098 0099 0101 0102 0103 0104 0402 0403 0404 0405 0900 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 REQUIRE-MENTS 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 ASSESS-MENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS 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 0900 0406 0410 0420 0430 0440 0450 0010 TOTAL EXPOSURES Cell linked to MKR SA TDI {0330:0060} 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 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES 0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE 0142 1.1.13 OTHER ASSETS 0143 1.1.14 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE 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 0220 1.2.7 OTHER LIABILITIES 0230 1.2.8 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE CATEGORY LEVEL AVA TOTAL AVA UPSIDE UNCERTAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFE-RENCE FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTION MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS UN-EARNED CREDIT SPREADS INVES-TING AND FUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERATIONAL 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 ARTICLE 10(2) AND (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 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

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 on 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 are to 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;

(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.

1.3.9.10. 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. [empty]

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 Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions and is structured in five templates: The templates are to 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 Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions is treated as follows in CA templates: The treatment of Pillar II requirements can be different within the Union (Article 104a(1) of Directive 2013/36/EU 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 Regulation (EU) No 575/2013.

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 Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions per type of capital;

(b) Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013;

(c) Template CA3 contains the ratios for which Regulation (EU) No 575/2013 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 Directive 2013/36/EU capital buffers;

(e) Template CA5 contains the data needed for calculating the effect of the application of Regulation (EU) No 575/2013 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 Article 36(1), point (j) and Article 56 of Regulation (EU) No 575/2013, point (e) 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 Regulation (EU) No 575/2013 transitional provisions.

1.1.11.12.13.14.15. a)

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

The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. It mainly focuses on the target ratios themselves. There is no further link to the templates CA1, CA2 or CA5.

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) of Directive 2013/36/EU 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 Article 4(1), point (118), and Article 72 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0030 1.1.1.1 Capital instruments and share premium eligible as CET1 capital Articles 26(1), points (a) and (b), Articles 27 to 30, Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013 0040 1.1.1.1.1 Fully paid up capital instruments Article 26(1), point (a) and Articles 27 to 31 of Regulation (EU) No 575/2013 Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 are fulfilled. 0045 1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations Article 31 of Regulation (EU) No 575/2013 Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 of Regulation (EU) No 575/2013 are fulfilled. 0050 1.1.1.1.2* Memorandum item: Capital instruments not eligible Article 28(1), points (b), (l) and (m), of Regulation (EU) No 575/2013 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 Article 4(1), point (124), Article 26(1), point (b), of Regulation (EU) No 575/2013 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 Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013 Own CET1 held by the reporting institution or group at the reporting date and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Commission Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 42 of Regulation (EU) No 575/2013. 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 Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013 Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group and amounts of CET1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42, point (a), of Regulation (EU) No 575/2013. 0090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments Article 4(1), point (114), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013 0091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments Article 4(1), point (126), Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013 0092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments Article 36(1), point (f), and Article 42 of Regulation (EU) No 575/2013 According to Article 36(1), point (f), of Regulation (EU) No 575/2013, 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 Article 26(1), point (c), and Article 26(2) of Regulation (EU) No 575/2013 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 Article 4(1), point (123), and Article 26(1), point (c), of Regulation (EU) No 575/2013 Article 4(1), point (123), of Regulation (EU) No 575/2013 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 Article 4(1), point (121), Article 26(2), and Article 36(1), point (a), of Regulation (EU) No 575/2013 Article 26(2) of Regulation (EU) No 575/2013 allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met. On the other hand, losses shall be deducted from CET1, as stated in Article 36(1), point (a), of Regulation (EU) No 575/2013. 0160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent Article 26(2) and Article 36(1), point (a), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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 Article 4(1), point (100), and Article 26(1), point (d), of Regulation (EU) No 575/2013 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 Article 4(1), point (117), and Article 26(1), point (e), of Regulation (EU) No 575/2013 Other reserves are defined in Regulation (EU) No 575/2013 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 Article 4(1), point (112), and Article 26(1), point (f), of Regulation (EU) No 575/2013 Funds for general banking risk are defined in Article 38 of Council Directive 86/635/EEC as Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking. The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation. 0220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments Article 483, paragraphs 1, 2 and 3 and Articles 484 to 487 of Regulation (EU) No 575/2013 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 Article 4(1), point (120), and Article 84 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets Article 32(1) of Regulation (EU) No 575/2013 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 Article 33(1), point (a), of Regulation (EU) No 575/2013 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 Article 33(1), point (b), of Regulation (EU) No 575/2013 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 Article 33(1), point (c), and Article 33(2) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of Regulation (EU) No 575/2013 0300 1.1.1.10 (-) Goodwill Article 4(1), point (113), Article 36(1), point (b), and Article 37 of Regulation (EU) No 575/2013 0310 1.1.1.10.1 (-) Goodwill accounted for as intangible asset Article 4(1), point (113), and Article 36(1), point (b), of Regulation (EU) No 575/2013 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 Article 37, point (b), and Article 43 of Regulation (EU) No 575/2013 0330 1.1.1.10.3 Deferred tax liabilities associated to goodwill Article 37, point (a), of Regulation (EU) No 575/2013 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 Article 37, point (c), of Regulation (EU) No 575/2013 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 Part One, Title II, Chapter 2. 0340 1.1.1.11 (-) Other intangible assets Article 4(1), point (115), Article 36(1), point (b), and Article 37, point (a) and (c) of Regulation (EU) No 575/2013 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 Article 4(1), point (115), and Article 36(1), point (b), of Regulation (EU) No 575/2013 Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also in accordance with the applicable accounting standard. The amount to be reported here shall correspond to the amount of intangible assets included in the balance sheet in accordance with the applicable accounting standard, excluding goodwill and the amount of prudently valued software assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013. 0352 1.1.1.11.1.1 (-) Of which software assets accounted for as other intangible assets before deduction of deferred tax liabilities Article 4(1), point (115), of Regulation (EU) No 575/2013 and Article 36(1), point (b), of Regulation (EU) No 575/2013 The amount of software assets accounted for as intangible assets which is deducted from CET1 items in accordance with Article 36(1), pint (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014. The amount reported shall not consider the effects related to the application of the treatment established in Article 37, point (a), of Regulation (EU) No 575/2013, with reference to the deferred tax liabilities associated to those software assets. Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the amount reported in this row shall correspond to the amount of software assets accounted for as intangible assets in accordance with the applicable accounting standard. 0360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets Article 37, point (a), of Regulation (EU) No 575/2013 Amount of deferred tax liabilities that would be extinguished if the intangible assets, other than goodwill and prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014, became impaired or were derecognised under the relevant accounting standard. 0362 1.1.1.11.2.1 Deferred tax liabilities associated with software assets accounted for as intangible assets Article 37, point (a), of Regulation (EU) No 575/2013 The portion of deferred tax liabilities which is associated with the amount of software assets accounted for as intangible assets that is deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013 and Article 13a of Delegated Regulation (EU) No 241/2014 or Article 3 of Regulation (EU) No 575/2013. 0365 1.1.1.11.3 Accounting revaluation of subsidiaries’ other intangible assets derived from the consolidation of subsidiaries attributable to third persons Article 37, point (c), of Regulation (EU) No 575/2013 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 Part One, Title II, Chapter 2. 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 Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013 0380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses Article 36(1), point (d), Articles 40, 158 and 159 of Regulation (EU) No 575/2013 The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses" (Article 40 of Regulation (EU) No 575/2013). 0390 1.1.1.14 (-) Defined benefit pension fund assets Article 4(1), point (109), Article 36(1), point (e), and Article 41 of Regulation (EU) No 575/2013 0400 1.1.1.14.1 (-) Defined benefit pension fund assets Article 4(1), point (109) and Article 36(1), point (e), of Regulation (EU) No 575/2013 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 Article 4(1), points (108) and (109), and Article 41(1), point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (109), and Article 41(1), point (b), of Regulation (EU) No 575/2013 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 Article 4(1), point (122), Article 36(1), point (g) and Article 44 of Regulation (EU) No 575/2013 Holdings in CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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 Article 36(1), point (j), of Regulation (EU) No 575/2013 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 Article 4(1), point (36), Article 36(1), point (k)(i), and Articles 89 to 91 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Articles 244(1), point (b), Article 245(1), point (b), and Article 253(1) of Regulation (EU) No 575/2013. Securitisation positions, which are subject to a 1250 % risk weight, but alternatively are allowed to be deducted from CET1 (Article 36(1), point (k)(ii) of Regulation (EU) No 575/2013), shall be reported in this item. 0470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1250 % risk weight Article 36(1), point (k)(iii) and Article 379(3) of Regulation (EU) No 575/2013 Free deliveries are subject to a 1250 % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1), point (k)(iii) of Regulation (EU) No 575/2013). 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 Articles 36(1), point (k)(iv) and Article 153(8) of Regulation (EU) No 575/2013 According to Articles 36(1), point (k)(iv) of Regulation (EU) No 575/2013, 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 Articles 36(1), point (k)(v) and Article 155(4) of Regulation (EU) No 575/2013 According to Article 36(1), point (k)(v) of Regulation (EU) No 575/2013, 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 Article 4(1), point (27), Article 36(1), point (h), Articles 43 to 46, Article 49, paragraphs 2 and 3 and Article 79 of Regulation (EU) No 575/2013 Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution does not have a significant investment that has to be deducted from CET1. See alternatives to deduction when consolidation is applied (Article 49, paragraphs 2 and 3). 0490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences Article 36(1), point (c); Article 38 and Article 48(1), point (a), of Regulation (EU) No 575/2013 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 Article 38(5), point (b), of Regulation (EU) No 575/2013 has to be deducted applying the 10 % threshold referred to in of Article 48(1), point (a), of that Regulation. 0500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment Article 4(1), point (27), Article 36(1), point (i); Articles 43, 45, 47, Article 48(2), point (b), Article 49, paragraphs 1, 2 and 3 and Article 79 of Regulation (EU) No 575/2013 Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 10 % threshold referred to in Article 48(1), point (b), of that Regulation. See alternatives to deduction when consolidation is applied (Article 49, paragraphs 1, 2 and 3 of Regulation (EU) No 575/2013). 0510 1.1.1.25 (-) Amount exceeding the 17.65 % threshold Article 48(2) of Regulation (EU) No 575/2013 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 Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment that has to be deducted, applying the 17.65 % threshold in Article 48(2) of that Regulation. 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 Article 36(1), point (m), and Article 47c of Regulation (EU) No 575/2013 0514 1.1.1.25B (-) Minimum value commitment shortfalls Article 36(1), point (n), and Article 132c(2) of Regulation (EU) No 575/2013 0515 1.1.1.25C (-) Other foreseeable tax charges Article 36(1), point (l), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 3 of Regulation (EU) No 575/2013 Where an institution decides to fully deduct its software assets in accordance with Article 3 of Regulation (EU) No 575/2013, instead of applying the treatment of Article 13a of Delegated Regulation (EU) No 241/2014, the additional amount deducted shall not be reported in this row, but in row 0352. 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 Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of the of Regulation (EU) No 575/2013). 0530 1.1.2 ADDITIONAL TIER 1 CAPITAL Article 61 of Regulation (EU) No 575/2013 0540 1.1.2.1 Capital instruments and share premium eligible as AT1 Capital Article 51, point (a), Articles 52, 53 and 54, Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013 0551 1.1.2.1.1 Fully paid up, directly issued capital instruments Article 51, point (a) and Articles 52, 53 and 54 of Regulation (EU) No 575/2013 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 Article 52(1), points (c), (e) and (f), of Regulation (EU) No 575/2013 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 Article 51, point (b), of Regulation (EU) No 575/2013 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 Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013 Own AT1 instruments held by the reporting institution or group at the reporting date and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 57 of Regulation (EU) No 575/2013. 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 AT1 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 Article 4(1), point (144), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013 Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group and amounts of AT1 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. 0620 1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments Article 52(1), point (b)(ii), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013 0621 1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments Article 4(1), point (126), Article 52(1), point (b), Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013 0622 1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments Article 56, point (a) and Article 57 of Regulation (EU) No 575/2013 According to Article 56, point (a) of Regulation (EU) No 575/2013, 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 Article 483, paragraphs 4 and 5, Articles 484 to 487, Articles 489 and 491 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013) shall be included. 0680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries Article 480 of Regulation (EU) No 575/2013 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 Article 4(1), point (122), Article 56, point (b) and Article 58 of Regulation (EU) No 575/2013 Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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 Article 4(1), point (27), Article 56, point (c); Articles 59, 60 and 79 of Regulation (EU) No 575/2013 Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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 Article 4(1), point (27), Article 56, point (d), Articles 59 and 79 of Regulation (EU) No 575/2013 Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment are completely deducted 0720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital Article 56, point (e)of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) Article 36(1), point (j), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 3 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation). 0750 1.2 TIER 2 CAPITAL Article 71 of Regulation (EU) No 575/2013 0760 1.2.1 Capital instruments and share premium eligible as T2 Capital Article 62, point (a), Articles 63 to 65, Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013 0771 1.2.1.1 Fully paid up, directly issued capital instruments Article 62, point (a), Articles 63 and 65 of Regulation (EU) No 575/2013 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 Article 63, points (c), (e) and (f), and Article 64 of Regulation (EU) No 575/2013 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 Article 62, point (b)and Article 65 of Regulation (EU) No 575/2013 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 Article 63, point (b)(i), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013 Own T2 instruments held by the reporting institution or group at the reporting date and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. Subject to exceptions in Article 67 of Regulation (EU) No 575/2013. 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 Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013 Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group and amounts of T2 instruments which have to be deducted in accordance with Article 28(2) of Delegated Regulation (EU) No 241/2014. 0840 1.2.1.4.2 (-) Indirect holdings of T2 instruments Article 4(1), point (114), Article 63, point (b Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013 0841 1.2.1.4.3 (-) Synthetic holdings of T2 instruments Article 4(1), point (126), Article 63, point (b), Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013 0842 1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments Article 66, point (a) and Article 67 of Regulation (EU) No 575/2013 According to Article 66, point (a), of Regulation (EU) No 575/2013, 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 Article 483, paragraphs 6 and 7, Articles 484, 486, 488, 490 and 491 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013) shall be included. 0900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries Article 480 of Regulation (EU) No 575/2013 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 Article 62, point (d), of Regulation (EU) No 575/2013 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 Article 62, point (c), of Regulation (EU) No 575/2013 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 Article 4(1), point (122), Article 66, point (b) and Article 68 of Regulation (EU) No 575/2013 Holdings in T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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 Article 4(1), point (27), Article 66, point (c), Articles 68 to 70 and Article 79 of Regulation (EU) No 575/2013 Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) 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 Article 4(1), point (27), Article 66, point (d), Articles 68, 69 and Article 79 of Regulation (EU) No 575/2013 Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1), point (27), of Regulation (EU) No 575/2013) where the institution has a significant investment shall be completely deducted. 0955 1.2.9A (-) Excess of deductions from eligible liabilities over eligible liabilities Article 66 (e) of Regulation (EU) No 575/2013. 0960 1.2.10 Other transitional adjustments to T2 Capital Articles 472, 473a, 476, 477, 478 and 481 of Regulation (EU) No 575/2013 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) Article 56, point (e), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 3 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 into the calculation of solvency ratios (e.g. an assignment of national capital items / deductions which are outside the scope of that Regulation).

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 of Regulation (EU) No 575/2013 0020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 of Regulation (EU) No 575/2013 For investment firms under Article 95(2) and Article 98 of Regulation (EU) No 575/2013 0030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 of Regulation (EU) No 575/2013 For investment firms under Article 96(2) and Article 97 of Regulation (EU) No 575/2013 0040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES Article 92(3), points (a) and (f), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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 0212 1.1.1.1.16.1 Of which: software assets accounted for as intangible assets The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 113(5) of that Regulation. 0240 1.1.2 Internal ratings based Approach (IRB) 0241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013 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 Article 164, paragraphs 5 and 7 of Regulation (EU) No 575/2013. 0242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013 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 Article 124, paragraphs 2 and 5 of Regulation (EU) No 575/2013 and which are related to limits on the eligible market value of the collateral as laid down in Article 125(2), point (d) and Article 126(2), point (d), of that Regulation. 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 of Regulation (EU) No 575/2013. 0455 1.1.2.5.1 Of which software assets accounted for as intangible assets The risk weighted exposure amount pertaining to the portion of software assets accounted for as intangible assets that is not deducted from CET1 items in accordance with Article 36(1), point (b), of Regulation (EU) No 575/2013, but risk-weighted in accordance with Article 156 of that Regulation. 0460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP Articles 307, 308 and 309 of Regulation (EU) No 575/2013 0470 1.1.4 Securitisation positions See CR SEC template 0490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY Article 92(3), point (c)(ii) and Article 92(4), point (b), of Regulation (EU) No 575/2013 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 Article 92(3), points (b)(i), (c)(i) and (c)(iii), and Article 92(4), point (b), of Regulation (EU) No 575/2013 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), Article 350(3), point (c) and Article 364(2), point (a), of Regulation (EU) No 575/2013 Total risk exposure amount for positions in CIUs if capital requirements are calculated in accordance with Article 348(1) of Regulation (EU) No 575/2013 either immediately or as a consequence of the cap laid down in Article 350(3), point (c), of that Regulation. Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) Article 92(3), point (e) and Article 92(4), point (b), of Regulation (EU) No 575/2013 For investment firms under Articles 95(2) and 96(2) and Article98 of Regulation (EU) No 575/2013, 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 Article 98(1), point (a), of Regulation (EU) No 575/2013 Only for investment firms under Article 95(2), Article 96(2) and Article 98 of Regulation (EU) No 575/2013. See also Article 97 of Regulation (EU) No 575/2013. Investment firms under Article 96 of Regulation (EU) No 575/2013 shall report the amount referred to in Article 97 multiplied by 12.5. Investment firms under Article 95 of Regulation (EU) No 575/2013 shall report as follows: 0640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT Article 92(3), point (d), of Regulation (EU) No 575/2013 See CVA template. 0650 1.6.1 Advanced method Own funds requirements for credit valuation adjustment risk in accordance with Article 383 of Regulation (EU) No 575/2013. See CVA template. 0660 1.6.2 Standardised method Own funds requirements for credit valuation adjustment risk in accordance with Article 384 of Regulation (EU) No 575/2013. See CVA template. 0670 1.6.3. Based on OEM Own funds requirements for credit valuation adjustment risk in accordance with Article 385 of Regulation (EU) No 575/2013. See CVA template. 0680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK Article 92(3), point (b)(ii) and Articles 395 to 401 of Regulation (EU) No 575/2013 0690 1.8 OTHER RISK EXPOSURE AMOUNTS Articles 3, 458 and 459 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. Additional risk exposure amounts due to Article 3 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 Article 458 of Regulation (EU) No 575/2013 0720 1.8.2* Of which: requirements for large exposures Article 458 of Regulation (EU) No 575/2013 0730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property Article 458 of Regulation (EU) No 575/2013 0740 1.8.2*** Of which: due to intra financial sector exposures Article 458 of Regulation (EU) No 575/2013 0750 1.8.3 Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013 Article 459 of Regulation (EU) No 575/2013 0760 1.8.4 Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013 Article 3 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, the amount to be reported is 30).

Where the amount referred to in Article 95(2), point (a), of Regulation (EU) No 575/2013 is greater than the amount referred to in point (b), of Article 95(2) of that Regulation, the amount to be reported is zero.

Where the amount referred to in Article 95(2), point (b), of Regulation (EU) No 575/2013 is greater than the amount referred to in Article 95(2), point (a), of that Regulation, 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 Article 92(2), point (a), of Regulation (EU) No 575/2013 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 Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 0030 3 T1 Capital ratio Article 92(2), point (b), of Regulation (EU) No 575/2013 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 Article 92(1), point (b), of Regulation (EU) No 575/2013 (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio. 0050 5 Total capital ratio Article 92(2), point (c), of Regulation (EU) No 575/2013 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 Article 92(1), point (c), of Regulation (EU) No 575/2013 (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 of Regulation (EU) No 575/2013 and 104a of Directive 2013/36/EU This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirements set in Article 92(1), point (a), of Regulation (EU) No 575/2013 (4,5 %) and Article 104a of Directive 2013/36/EU – excluding additional own funds required to address the risk of excessive leverage under paragraph 3 of that article–, to the extent that the requirement of Article 104a of that Directive 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) of Regulation (EU) No 575/2013 and / or Article 104a of Directive 2013/36/EU 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 Article 92(2), point (a), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation 0310 T1 Capital ratio without application of the transitional provisions on IFRS 9 Article 92(2), point (b), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation 0320 Total capital ratio without application of the transitional provisions on IFRS 9 Article 92(2), point (c), of Regulation (EU) No 575/2013, Article 473a (8) of that Regulation

1.4.1.

(i) the total capital ratio (8 %) as specified in Article 92(1), point (c), of Regulation (EU) No 575/2013;

(ii) the additional own funds requirements (Pillar 2 Requirements – P2R) as referred to in Article 104 (1), point (a), of Directive 2013/36/EU, 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 Article 92(1), point (a), of Regulation (EU) No 575/2013;

(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 Article 92(1), point (b), of Regulation (EU) No 575/2013;

(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 Article 128, point (6) of Directive 2013/36/EU.

(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 Article 128, point (6) of Directive 2013/36/EU.

(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 Article 128, point (6) of Directive 2013/36/EU.

(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) of Directive 2013/36/EU, 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) of Regulation (EU) No 575/2013 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 Article 36(1), point (c) and Article 38 of Regulation (EU) No 575/2013 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 Article 36(1), point (c); Article 38, and Article 48(1), point (a), of Regulation (EU) No 575/2013 Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17.65 % thresholds in Article 48 of Regulation (EU) No 575/2013. 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 Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013 Deferred tax liabilities for which conditions in Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013 Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 0090 2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences Article 38, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013 Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, in accordance with Article 38, paragraphs 3 and 4 of Regulation (EU) No 575/2013, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, as laid down in Article 38(5) of Regulation (EU) No 575/2013 0093 2A Tax overpayments and tax loss carry backs Article 39(1) of Regulation (EU) No 575/2013 The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) of Regulation (EU) No 575/2013; 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation, taking into account the effect of Article 470, Article 478(2) and Article 473a(7), point (a), of the same Regulation. 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 % Article 469(1), point (d), Article 470, Article 472(5) and Article 478 of Regulation (EU) No 575/2013 The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 469(1), point (d), Article 470 of Regulation (EU) No 575/2013, Article 478 (2) and Article 473a (7). point (a), of that Regulation, but subject to a risk weight of 0 % in accordance with Article 472(5) of that Regulation. The amount reported shall be the amount of DTAs before the application of the risk weight. 0901 2W Software assets accounted for as intangible assets exempted from the deduction from CET1 Article 36(1), point (b), of Regulation (EU) No 575/2013 Institutions shall report the amount of prudently valued software assets exempted from the deduction from CET1 items in accordance with Article 13a of Delegated Regulation (EU) No 241/2014. 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 Article 36(1), point (d), Article 62, point (d), Articles 158 and 159 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 This item shall only be reported by IRB institutions. 0120 3.1.1 General credit risk adjustments Article 159 of Regulation (EU) No 575/2013 This item shall only be reported by IRB institutions. 0130 3.1.2 Specific credit risk adjustments Article 159 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 This item shall only be reported by IRB institutions. 0140 3.2 Total expected losses eligible Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013 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 Article 36(1), point (d), Article 62, point (d) Articles 158 and 159 of Regulation (EU) No 575/2013 This item shall only be reported by IRB institutions. 0150 4.1 Specific credit risk adjustments and positions treated similarly Article 159 of Regulation (EU) No 575/2013 This item shall only be reported by IRB institutions. 0155 4.2 Total expected losses eligible Article 158, paragraphs 5, 6 and 10 and Article 159 of Regulation (EU) No 575/2013 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 Article 62, point (d), of Regulation (EU) No 575/2013 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 Article 62, point (d), of Regulation (EU) No 575/2013. 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 Article 62, point (c), of Regulation (EU) No 575/2013 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 Article 62, point (c), of Regulation (EU) No 575/2013 According to Article 62, point (c), of Regulation (EU) No 575/2013, 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 Article 46(1), point (a), of Regulation (EU) No 575/2013 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 Article 48(1), points (a) and (b), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 4(1), point (71), point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 45, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013 0280 12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013 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 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included 0290 12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013 Article 45, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013 0292 12.3.2 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013 0293 12.3.3 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013. Article 45, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 59, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013 0350 13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013 The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices. Holdings which are treated as reciprocal cross holdings according to Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included. 0360 13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013 Article 59, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013 0362 13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013 0363 13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013. Article 59, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 69, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013 0420 14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013 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), of Regulation (EU) No 575/2013 shall not be included 0430 14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013 Article 69, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013 0432 14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013 0433 14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013. Article 69, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 45, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013 0490 15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment Article 4(1), point (114), and Articles 44 and 45 of Regulation (EU) No 575/2013 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 Article 36(1), point (g), of Regulation (EU) No 575/2013 shall not be included. 0500 15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1), point (114), and Article 45 of Regulation (EU) No 575/2013 Article 45, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013 0502 15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment Article 4(1), point (126), and Articles 44 and 45 of Regulation (EU) No 575/2013 0503 15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Article 4(1), point (126), and Article 45 of Regulation (EU) No 575/2013. Article 45, point (a), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 The amount of significant investments in CET1 capital of financial sector entities that are not deducted pursuant to Article 48(1) of Regulation (EU) No 575/2013, but subject to a risk weight of 250 % in accordance with Article 48(4) of that Regulation. 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 of Regulation (EU) No 575/2013 0520 16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Articles 58 and 59 of Regulation (EU) No 575/2013 0530 16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 58 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 59, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013 0560 16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 4(1), point (114), and Articles 58 and 59 of Regulation (EU) No 575/2013 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 Article 56, point (b), of Regulation (EU) No 575/2013 shall not be included. 0570 16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1), point (114), and Article 59 of Regulation (EU) No 575/2013 Article 59, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013 0572 16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment Article 4(1), point (126), and Articles 58 and 59 of Regulation (EU) No 575/2013 0573 16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Article 4(1), point (126), and Article 59 of Regulation (EU) No 575/2013. Article 59, point (a)of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0590 17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment Articles 68 and 69 of Regulation (EU) No 575/2013 0600 17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment Article 68 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 69, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013 0630 17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment Article 4(1), point (114), and Articles 68 and 69 of Regulation (EU) No 575/2013 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 Article 66, point (b), of Regulation (EU) No 575/2013 shall not be included 0640 17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above Article 4(1), point (114), and Article 69 of Regulation (EU) No 575/2013 Article 69, point (a), of Regulation (EU) No 575/2013 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 Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013 0642 17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment Article 4(1), point (126), and Articles 68 and 69 of Regulation (EU) No 575/2013 0643 17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Article 4(1), point (126), and Article 69 of Regulation (EU) No 575/2013. Article 69, point (a), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 0680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived Article 79 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Article 128, point (6) of Directive 2013/36/EU 0750 Capital conservation buffer Article 128, point (1) and Article 129 of Directive 2013/36/EU In accordance with Article 129(1) of Directive 2013/36/EU, 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 Article 458(2), point (d)(iv) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Article 128, point (2) and Articles 130, 135 to 140 of Directive 2013/36/EU 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 Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU 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 Article 128, point (3) and Article 131 of Directive 2013/36/EU 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 Article 128, point (4) and Article 131 of Directive 2013/36/EU 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) of Directive 2013/36/EU. 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 of Directive 2013/36/EU and Article 93 of Regulation (EU) No 575/2013 0840 30 Own funds based on Fixed Overheads Article 95(2), point b, Article 96(2), point (b), Article 97 and Article 98(1), point (a), of Regulation (EU) No 575/2013 The amount reported shall be the own funds requirement resulting from the application of the abovementioned Articles. 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. By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in. 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. By derogation from Article 21(1), point (a), of this Implementing Regulation, this row shall always be filled in.

1.5.1. a)

Underwriting positions held for 5 working days or fewer;

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

Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013

Underwriting positions held for 5 working days or fewer; and

Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013

Underwriting positions held for 5 working days or fewer; and

Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013

Underwriting positions held for 5 working days or fewer;

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

Holdings which are treated as reciprocal cross holdings in accordance with Article 36(1), point (g), of Regulation (EU) No 575/2013

Underwriting positions held for 5 working days or fewer (Article 56, point (d), of Regulation (EU) No 575/2013); and

Holdings which are treated as reciprocal cross holdings in accordance with Article 56, point (b), of Regulation (EU) No 575/2013.

Underwriting positions held for 5 working days or fewer (Article 66, point (d), of Regulation (EU) No 575/2013); and

Holdings which are treated as reciprocal cross holdings in accordance with Article 66, point (b), of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013. 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, compared to applying the final provisions laid down in Part Two, Title II of that Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013 due to transitional provisions. The amounts reported shall consider the application of provisions of Part Three, Title II, Chapter 2 or 3 or of Part Three, Title IV in accordance with Article 92(4) of Regulation (EU) No 575/2013. That means that transitional amounts subject to Part Three, Title II, Chapter 2 or 3 shall be reported as risk weighted exposure amounts, whereas transitional amounts subject to Part Three, Title IV 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Directive 2014/59/EU or are subject to set-off or netting arrangements Article 494b of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet one or several eligibility criteria of Article 52(1), points (p), (q) and (r), of that Regulation or Article 63 points (n), (o) and (p), of that Regulation, as applicable. In case of Tier 2 instruments eligible in accordance with Article 494b(2) of Regulation (EU) No 575/2013, the amortisation provisions of Article 64 of that Regulation shall be observed. 0063 1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU Article 494b, Article 52(1), point (p) and Article 63, point (n), of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (p) or point (n), of Article 63 of that Regulation, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), points (q) or (r), of Regulation (EU) No 575/2013 or Article 63, points (o) or (p), of that Regulation , as applicable. 0064 1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU Article 494b, Article 52(1), point (q) and Article 63, point (o), of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (q) or Article 63, point (o), of that Regulation, as applicable. This shall include also instruments that additionally do not meet the eligibility criteria of Article 52(1), points (p) or (r), of Regulation (EU) No 575/2013 or Article 63, points (n) or (p), of that Regulation , as applicable. 0065 1.1.4.3* of which: Instruments subject to set-off or netting arrangements Article 494b, Article 52(1), point (r) and Article 63, point (p), of Regulation (EU) No 575/2013 Institutions shall report the amount of instruments within the scope of Article 494b of Regulation (EU) No 575/2013 that do not meet the eligibility criteria of Article 52(1), point (r), of that Regulation or Article 63, point (p), of the Regulation, as applicable. This shall also include instruments that additionally do not meet the eligibility criteria of Article 52(1), point (p) or (q) of Regulation (EU) No 575/2013 or Article 63, points (n) or (o), of that Regulation, as applicable. 0070 1.2 Minority interests and equivalents Articles 479 and 480 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 0140 1.3.2 Deductions Article 36(1) and Articles 469 to 478 of Regulation (EU) No 575/2013 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 Article 36(1), point (c), Articles 469(1) and 472(5) and Article 478 of Regulation (EU) No 575/2013 When determining the amount of the above-mentioned deferred tax assets (DTA) to be deducted, institutions shall take into account the provisions of Article 38 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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 Article 470, paragraphs 2 and 3 of Regulation (EU) No 575/2013 The amount to be reported in column 0060 of this row: Article 470(1) of Regulation (EU) No 575/2013 0385 Deferred tax assets that are dependent on future profitability and arise from temporary differences Article 469(1), point (c) ,Article 472(5) and Article 478 of Regulation (EU) No 575/2013 Part of deferred tax assets that rely in future profitability and arise from temporary differences which exceeds the 10 % threshold in Article 470(2), point (a), of Regulation (EU) No 575/2013. 0425 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items Article 471 of Regulation (EU) No 575/2013 0430 1.3.3 Additional filters and deductions Article 481 of Regulation (EU) No 575/2013 This row reflects the overall effect of transitional provisions on additional filters and deductions. In accordance with Article 481 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 In case of A2, IRB the amount reported is the amount net of expected lossess as required by Article 473a(5), point (a), of Regulation (EU) No 575/2013. 0442 Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019 The sum of and as referred to in Article 473a(1) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 In case of A4, IRB the amount reported is the amount net of expected losses as required by Article 473a (5), points (b) and (c), of Regulation (EU) No 575/2013.

1.6.326. 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 of Regulation (EU) No 575/2013).

1.6.326.

1.6.3.1 Instructions concerning specific positions Columns 0010 Amount of instruments plus related share premium Article 484, paragraphs 3, 4 and 5 of Regulation (EU) No 575/2013 Instruments which are eligible for each respective row, including their related share premiums. 0020 Base for calculating the limit Article 486, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 0030 Applicable percentage Article 486(5) of Regulation (EU) No 575/2013 0040 Limit Article 486, paragraphs 2 to 5 of Regulation (EU) No 575/2013 0050 (-) Amount that exceeds the limits for grandfathering Article 486(2) to (5) of Regulation (EU) No 575/2013 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 Article 57, point (a), of Directive 2006/48/EC Article 484(3) of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. 0020 2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013 Article 484(4) of Regulation (EU) No 575/2013 0030 2.1 Total instruments without a call or an incentive to redeem Article 484(4) and Article 489 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0050 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity Article 489(3) and Article 491, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity Article 489(5) and Article 491, point (a), of Regulation (EU) No 575/2013 The amount to be reported shall include the related share premium accounts. 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 of Regulation (EU) No 575/2013 after the date of effective maturity Article 489(6) and Article 491, point (c), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 57, points (e), (f), (g) or (h), of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013 Article 484(5) of Regulation (EU) No 575/2013 0100 3.1 Total items without an incentive to redeem Article 490 of Regulation (EU) No 575/2013 0110 3.2 Grandfathered items with an incentive to redeem Article 490 of Regulation (EU) No 575/2013 0120 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity Article 490(3) and Article 491, point (a), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity Article 490(5) and Article 491, point (a) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity Article 490(6) and Article 491, point (c), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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.

2.1.27.28.29.

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. Institutions that obtained a waiver in accordance with Article 7 of Regulation (EU) No 575/2013 shall only report the columns 0010 to 0060 and 0250 to 0400. The figures reported take into account all applicable transitional provisions of Regulation (EU) No 575/2013 which are applicable at the respective reporting date.

2.1.27.

(a) Entities within the scope of consolidation;

(b) Detailed group solvency information;

(d) Information on capital buffers;

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 Regulation (EU) No 575/2013 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 0011-0060 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 Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013. 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 Regulation (EU) No 575/2013 and Directive 2013/36/EU or provisions at least equivalent to Basel provisions. NO shall be reported otherwise. Minority interests: Article 81(1), point (a)(ii) and Article 82(1), point (a)(ii) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 and Directive 2013/36/EU, 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 Article 4(1), point (16), of Regulation (EU) No 575/2013, 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 (Part One, Title II, Chapter 2 of Regulation (EU) No 575/2013), are effectively subject to solvency requirements laid down in Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Article 87(1), point (b), of Regulation (EU) No 575/2013 0150 TOTAL TIER 1 CAPITAL Article 25 of Regulation (EU) No 575/2013 0160 OF WHICH: QUALIFYING TIER 1 CAPITAL Article 82 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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 of Article 85(1), point (b), of Regulation (EU) No 575/2013 0180 COMMON EQUITY TIER 1 CAPITAL Article 50 of Regulation (EU) No 575/2013 0190 OF WHICH: MINORITY INTERESTS Article 81 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required by Article 84 of Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013 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 Article 84(1), point (b), of Regulation (EU) No 575/2013 0210 ADDITIONAL TIER 1 CAPITAL Article 61 of Regulation (EU) No 575/2013 0220 OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL Articles 82 and 83 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for all the calculations required in Article 85 of Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0240 OF WHICH: QUALIFYING TIER 2 CAPITAL Articles 82 and 83 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in Article 87 of Regulation (EU) No 575/2013, if relevant, in accordance with Article 87(2) of that Regulation , 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 Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013, 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 Regulation (EU) No 575/2013. 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 Part Two, Title II of Regulation (EU) No 575/2013, excluding any fund brought in by other group entities. 0300 QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS Article 87 of Regulation (EU) No 575/2013 0310 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL Article 85 of Regulation (EU) No 575/2013 0320 MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL Article 84 of Regulation (EU) No 575/2013 The amount to be reported shall the amount of minority interests of a subsidiary that is included in consolidated CET1 in accordance with the Regulation (EU) No 575/2013. 0330 QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL Article 86 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013. 0340 QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL Article 88 of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013. 0350 MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL 0360-0400 CONSOLIDATED OWN FUNDS Article 18 of Regulation (EU) No 575/2013 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 Directive 2013/36/EU and on Regulation (EU) No 575/2013, including any transitional provisions provided for therein. 0410 COMBINED BUFFER REQUIREMENT Article 128, point (6) of Directive 2013/36/EU 0420 CAPITAL CONSERVATION BUFFER Article 128, point (1) and Article 129 of Directive 2013/36/EU In accordance with Article 129(1) of Directive 2013/36/EU, 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 Article 128, point (2), Article 130 and Articles 135 to 140 of Directive 2013/36/EU 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 Article 458(2),point (d)(iv) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 in addition to the capital conservation buffer, shall be reported in this cell. 0450 SYSTEMIC RISK BUFFER Article 128, point (5), Articles 133 and 134 of Directive 2013/36/EU The amount of the systemic risk buffer shall be reported in this cell. 0470 GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Article 128, point (3) and Article 131 of Directive 2013/36/EU The amount of the Global Systemically Important Institution buffer shall be reported in this cell. 0480 OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER Article 128, point (4) and Article 131 of Directive 2013/36/EU The amount of the Other Systemically Important Institution buffer shall be reported in this cell.

2.5.

(a) credit institution Article 4(1), point (1), of Regulation (EU) No 575/2013;

(b) investment firm Article 4(1), point (2), of Regulation (EU) No 575/2013;

(c) financial institution (other) Article 4(1), points (20), (21) and (26), of Regulation (EU) No 575/2013 Financial institutions within the meaning of Article 4(1), point (26), of Regulation (EU) No 575/2013 which are not included in any of the categories (d), (f) or (g);

(d) (mixed) financial holding company Article 4(1), points (20) and (21), of Regulation (EU) No 575/2013;

(e) ancillary services undertaking Article 4(1), point (18), of Regulation (EU) No 575/2013;

(f) securitisation special purpose entity (SSPE), Article 4(1), point (66), of Regulation (EU) No 575/2013;

(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;

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 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 in conjunction with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also need to report their trading book positions referred to in Article 92(3), point (b), of that Regulation in this template when they apply Part Three, Title II, Chapter 2 of that Regulation to calculate the own funds requirements thereof (Part Three, Title II, Chapters 2 and 6 and Part Three, Title V of that Regulation). 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 Article 112, points (a) to (c) and (f) to (h), of Regulation (EU) No 575/2013 nor of the exposure classes referred to in Article 112, points (i) and (j), of that Regulation 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 of Regulation (EU) No 575/2013and 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 Article 112, point (m), of Regulation (EU) No 575/2013, 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 Part Three, Title II of Regulation (EU) No 575/2013 in the banking book, among which Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation in the banking book;

(b) Counterparty credit risk in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 in the trading book;

(c) Settlement risk arising from free deliveries in accordance with Article 379 of Regulation (EU) No 575/2013 in respect of all the business activities.

3.2.2.46.47.48.49.50.51.52.

(a) Central governments or central banks (Article 112, point (a), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013);

(b) Regional governments or local authorities (Article 112, point (b), of Regulation (EU) No 575/2013);

(d) Institutions (Article 112, point (f), of Regulation (EU) No 575/2013);

(e) Corporates (Article 112, point (g), of Regulation (EU) No 575/2013);

(f) Retail (Article 112, point (h), of Regulation (EU) No 575/2013).

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 of Regulation (EU) No 575/2013 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 Article 112, point (i), of Regulation (EU) No 575/2013 (exposures secured by mortgages on immovable property). Article 112 of Regulation (EU) No 575/2013 does not provide criteria for disjoining the exposure classes. This might imply that one exposure could potentially be classified in different exposure classes if no prioritisation in the assessment criteria for the classification is provided. The most obvious case arises between exposures to institutions and corporate with a short-term credit assessment (Article 112, point (n), of Regulation (EU) No 575/2013) and exposures to institutions (Article 112, point (f), of Regulation (EU) No 575/2013)/ exposures to corporates ( Article 112, point (g), of Regulation (EU) No 575/2013). In that case, it is clear that there is an implicit prioritisation in that Regulation 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 Article 112, point (n), of Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 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 Regulation (EU) No 575/2013 provisions. That does not prohibit institutions from applying other internal assignment procedures that may also be consistent with all relevant Regulation (EU) No 575/2013 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 (Article 132a, points (1) and (2), of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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 REGULATION (EU) No 575/2013

Original exposure pre-conversion factors Does it fit for being assigned to the exposure class of Article 112, point (m), of Regulation (EU) No 575/2013? YES Securitisation positions NO Does it fit for being assigned to the exposure class of Article 112, point (k), of Regulation (EU) No 575/2013? YES Items associated with particular high risk (see also Article 128 of Regulation (EU) No 575/2013) NO Does it fit for being assigned to the exposure class of Article 112, point (p), of Regulation (EU) No 575/2013? YES Equity exposures (see also Article 133 of Regulation (EU) No 575/2013) NO Does it fit for being assigned to the exposure class of Article 112, point (j), of Regulation (EU) No 575/2013? YES Exposures in default NO Does it fit for being assigned to the exposure classes of Article 112, points (l) and (o), of Regulation (EU) No 575/2013? 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 of Regulation (EU) No 575/2013) These two exposure classes are disjoint among themselves (see comments on the look-through approach in the answer above). Therefore the assignment to one of them is straightforward. NO Does it fit for being assigned to the exposure class of Article 112, point (i), of Regulation (EU) No 575/2013? YES Exposures secured by mortgages on immovable property (see also Article 124 of Regulation (EU) No 575/2013) NO Does it fit for being assigned to the exposure class of Article 112, point (q), of Regulation (EU) No 575/2013? YES Other items NO Does it fit for being assigned to the exposure class of Article 112, point (n), of Regulation (EU) No 575/2013? 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 of Regulation (EU) No 575/2013

3.2.4. 3.2.4.1.66.67.68.

Exposure Class Institutions Intra-group exposures referred to in Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 shall be reported as follows: Exposures which fulfil the requirements of Article 113(7) of Regulation (EU) No 575/2013 shall be reported in the respective exposure classes where they would be reported if they were not intra-group exposures. According to Article 113, paragraphs 6 and 7 of Regulation (EU) No 575/2013 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 Article 129, paragraphs 1 and 2 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

3.2.4.3.71. Exposure class Collective Investment Undertakings Where the possibility referred to in Article 132a (2) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

3.2.5. Instructions concerning specific positions Columns 0010 ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013: Where institutions make use of the derogation of Article 473a(7a) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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 Article 36(1), point (m) 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 Article 4(1), point (57), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Article 239(3) of Regulation (EU) No 575/2013 contains the formula for the calculation of the adjusted value GA of an unfunded credit protection. 0050 Guarantees Article 203 of Regulation (EU) No 575/2013 Unfunded Credit Protection as defined in Article 4(1), point (59), of Regulation (EU) No 575/2013 which does not include Credit Derivatives. 0060 Credit derivatives Article 204 of Regulation (EU) No 575/2013 0070 – 0080 Funded credit protection These columns refer to funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013 and subject to the rules laid down in Articles 196, 197 and 200 of that Regulation. 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 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of Regulation (EU) No 575/2013 shall be treated as cash collateral. 0070 Financial collateral: simple method Article 222, paragraphs 1 and 2 of Regulation (EU) No 575/2013. 0080 Other funded credit protection Article 232 of Regulation (EU) No 575/2013. 0090 - 0100 SUBSTITUTION OF THE EXPOSURE DUE TO CRM Article 222(3), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. They also include credit linked notes (Article 218 of Regulation (EU) No 575/2013) Credit linked notes as referred to in Article 218 of Regulation (EU) No 575/2013 and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements as referred to in Article 219 of that Regulation 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 of Regulation (EU) No 575/2013. 0120 Volatility adjustment to the exposure Article 223, paragraphs 2 and 3 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. For trading book operations, financial collateral and commodities eligible for trading book exposures in accordance with Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 4, Sections 4 and 5 of Regulation (EU) No 575/2013. 0140 (-) Of which: Volatility and maturity adjustments Article 223(1) of Regulation (EU) No 575/2013 and Article 239(2) of that Regulation. 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) of Regulation (EU) No 575/2013. 0160 - 0190 Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors Article 111(1) and Article 4(1), point (56), of Regulation (EU) No 575/2013. See also Articles 222(3) and 228(1) of Regulation (EU) No 575/2013. The figures reported shall be the fully adjusted exposure values before application of the conversion factor. 0200 Exposure value Article 111 of Regulation (EU) No 575/2013 and Part Three, Title II, Chapter 4, Section 4 of that Regulation. 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 Part Three, Title II, Chapter 2, Section 2 of Regulation (EU) No 575/2013. Exposure values for leases are subject to Article 134(7) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013, which is the relevant amount for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapter 4 and Chapter 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss as referred to in Article 273(6) of that Regulation. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 as long as they are outstanding with a central counterparty (CCP), including CCP-related transactions defined in point (2) of Article 300 of that Regulation. 0215 Risk weighted exposure amount pre supporting factors Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, without taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501, point (1) of that Regulation 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 Part Three, Title II of Regulation (EU) No 575/2013 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 of that Regulation. 0220 Risk weighted exposure amount after supporting factors Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013, taking into account the SME and infrastructure supporting factors laid down in Article 501 and Article 501a of that Regulation 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 Article 112, points (a) to (d), (f), (g), (l), (n), (o) and (q), of Regulation (EU) No 575/2013 0240 Of which: with a credit assessment derived from central government Article 112, points (b) to (d), (f), (g), (l) and (o), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 or meets the criteria set in Article 128(3) or Article 133 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 shall be reported here. 0035 of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 shall be reported here. 0040 of which: Secured by mortgages on immovable property - Residential property Article 125 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 0060 of which: Exposures under the Standardised Approach with prior supervisory permission to carry out a sequential IRB implementation Article 148(1) of Regulation (EU) No 575/2013 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 Article 92(3), point (f) and Article 299(2) of Regulation (EU) No 575/2013 shall be assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 94(1) of Regulation (EU) No 575/2013 also break down their trading book positions referred to in Article 92(3), point (b), of that Regulation 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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 of Regulation (EU) No 575/2013. 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 Article 4(1), point (139), of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 as long as they are outstanding with a qualifying central counterparty (QCCP) as defined in Article 4(1), point (88), of that Regulation, including QCCP-related transactions, for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation. QCCP-related transaction has the same meaning as CCP-related transaction in Article 300(2) of Regulation (EU) No 575/2013, when the CCP is a QCCP. 0110 Derivatives and Long Settlement Transactions netting sets Netting sets containing only derivatives listed in Annex II of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of that Regulation. 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) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272(25) of Regulation (EU) No 575/2013 exists. 0140-0280 BREAKDOWN OF EXPOSURES BY RISK WEIGHTS 0140 0 % 0150 2 % Article 306(1) of Regulation (EU) No 575/2013 0160 4 % Article 305(3) of Regulation (EU) No 575/2013 0170 10 % 0180 20 % 0190 35 % 0200 50 % 0210 70 % Article 232(3), point (c), of Regulation (EU) No 575/2013. 0220 75 % 0230 100 % 0240 150 % 0250 250 % Articles 133(2) and 48(4) of Regulation (EU) No 575/2013 0260 370 % Article 471 of Regulation (EU) No 575/2013 0270 1250 % Article 133(2) and Article 379 of Regulation (EU) No 575/2013 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. Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013. Unrated nth-to-default credit derivatives under the Standardised approach (Article 134(6) of Regulation (EU) No 575/2013) shall be reported in this row under the exposure class Other items. See also Article 124(2) and Article 152(2), point (b), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 0281 Look-through approach Article 132a(1) of Regulation (EU) No 575/2013. 0282 Mandate-based approach Article 132a(2) of Regulation (EU) No 575/2013. 0283 Fall-back approach Article 132(2) of Regulation (EU) No 575/2013. 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 Article 112, point (i), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 % Article 112, point (j), of Regulation (EU) No 575/2013 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 Article 112, point (i), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 % Article 112, point (j) of Regulation (EU) No 575/2013 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 (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 3, Articles 151 to 157 of Regulation (EU) No 575/2013 (IRB approach). The CR IRB template does not cover the following data: In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, the following information shall be provided for each reported exposure class: NO = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB) YES = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). 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 Article 147(2), point (g), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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; 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.

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 (Article 147(2), point (a), of Regulation (EU) No 575/2013)

3) Institutions (Article 147(2), point (b), of Regulation (EU) No 575/2013)

4.1) Corporate – SME (Article 147(2), point (c), of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013)

4.3) Corporate – Other (All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013, not reported under 4.1 and 4.2).

5.1) Retail – Secured by immovable property SME (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(3) of that Regulation 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(4) of that Regulation).

5.4) Retail – Other SME (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 and Article 166, paragraphs 1, 2, 4, 5, 6 and 7 of that Regulation. The effect resulting from Article 166(3) of Regulation (EU) No 575/2013 (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 (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013), 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 Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation. 0040-0080 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation as defined in Article 4(1), point (57), of Regulation (EU) No 575/2013 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 Article 4(1), point (59), of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 shall be provided. When own estimates of LGD are used in accordance with Article 183 of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013 shall be provided. Where own estimates of LGD are used in accordance with Article 183, paragraph 3 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 and the second sentence of Article 230(1) of that Regulation shall be reported. For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with Article 166, paragraphs 8, 9 and 10 of Regulation (EU) No 575/2013 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 Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation. 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. The reported collateral values shall be capped at the exposures value. Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 0171 CASH ON DEPOSIT Article 200, point (a), of Regulation (EU) No 575/2013 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 Article 200, point (b), of Regulation (EU) No 575/2013 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 Article 200, point (c), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013, institutions treat instruments repurchased on request that are eligible under Article 200, point (c), of that Regulation 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 Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 shall be included. Credit linked notes and on -balance sheet netting in accordance with Part Three, Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013 shall be treated as cash collateral. Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 of Regulation (EU) No 575/2013, the adjusted value (Cvam) as set out in Article 223(2) of that Regulation 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 Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013. 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 Article 199, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and Article 229 of that Regulation. Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013. 0190 REAL ESTATE Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229 of Regulation (EU) No 575/2013. 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 Article 199, paragraphs 6 and 8 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229(3) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 and taking into account Article 202 and Article 217(1) of that Regulation. 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 Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. For defaulted exposures, Article 181(1), point (h), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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 Article 181, paragraphs 1 and 2 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 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 Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of Regulation (EU) No 575/2013 0250 EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013. 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 Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013; For retail, see Article 154(1) of Regulation (EU) No 575/2013 The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501 of that Regulation. 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 Part Three, Title II of Regulation (EU) No 575/2013 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 of that Regulation 0260 RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013. For retail, see Article 154(1) of Regulation (EU) No 575/2013. The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 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 Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of that Regulation , subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation. 0280 EXPECTED LOSS AMOUNT For the definition of Expected Loss, see Article 5(3) of Regulation (EU) No 575/2013 and, for the calculation of expected loss amounts, see Article 158 of that Regulation. For defaulted exposures, see Article 181(1), point (h), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 Article 172, paragraphs 1 and 2 of Regulation (EU) No 575/2013. For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013, 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 Article 172(1), point (e), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 shall be reported here. 0016 of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013, as well as those items that are listed in Annex I of that Regulation. 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 Article 142(1), point (6) and Article 170(1), point (c), of Regulation (EU) No 575/2013. For retail exposures see Article 170(3), point (b), of Regulation (EU) No 575/2013. For exposures arising from purchased receivables, see Article 166(6) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. This shall only apply to the exposure classe corporate – specialised lending. 0160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Article 193, paragraphs 1 and 2, Article 194, paragraphs 1 to 7 and Article 230(3) of Regulation (EU) No 575/2013. 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 Article 379(2), first subparagraph of Regulation (EU) No 575/2013 is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) of Regulation (EU) No 575/2013. Unrated nth-to-default credit derivatives in accordance with Article 153(8) of Regulation (EU) No 575/2013 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 Article 4(1), point (53), of Regulation (EU) No 575/2013 for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of Regulation (EU) No 575/2013 shall be taken into account.

Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.

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 Article 452(g), points (i) to (v), of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013 without taking into account any credit risk adjustments 0020 OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS Exposure value in accordance with Article 166, paragraphs (1) to (7) of Regulation (EU) No 575/2013, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) of Regulation (EU) No 575/2013, or any percentages specified in Article 166(10) of that Regulation Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 Article 166, paragraphs (8) to (10) of Regulation (EU) No 575/2013 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. This column does not need to be filled in for the total of all exposures classes. 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. For defaulted exposures under A-IRB approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies. This column does not need to be filled in for the total of all exposures classes. 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 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013. 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 Article 153, paragraphs (1) to (4); for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 of Regulation (EU) No 575/2013 The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account. 0100 EXPECTED LOSS AMOUNT The expected loss amount calculated in accordance with Article 158 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. 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 %. {r0170, c0050} and {r0170, c0070} shall be reported for each exposure class, but not for the total of all exposures classes.

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 Article 438, point (h), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013. This template excludes counterparty credit risk (CCR) exposures ( Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013). 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

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 Article 452, point (h), of Regulation (EU) No 575/2013. 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 (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

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 of Regulation (EU) No 575/2013. 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 Article 4(1), point (78), of Regulation (EU) No 575/2013 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 in accordance with Article 180(1), point (f), of Regulation (EU) No 575/2013 (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 Article 180(1), point (f), of Regulation (EU) No 575/2013 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 Article 180(1), point (f), of Regulation (EU) No 575/2013. 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 Article 438, point (e), of Regulation (EU) No 575/2013. 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

(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) of Regulation (EU) No 575/2013 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 Article 153(5), table 1 of Regulation (EU) No 575/2013.

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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 or to the IRB approach laid down in Part Three, Title II, Chapter 3 of that Regulation, 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 0030 to 0050 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 OF REGULATION (EU) No 575/2013 Institutions shall use the exposure value before CRM in accordance with Article 166 of Regulation (EU) No 575/2013. 0020 TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB Institutions shall use the exposure value before CRM in accordance with Article 429(4) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 Article 112, point (j), of Regulation (EU) No 575/2013 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 Article 112, points (j), (k) and (p), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, as well as Regulation (EU) 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 Article 62, point (c), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, as well as Regulation (EU) 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 of Regulation (EU) No 575/2013. 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 Article 112, point (a), of Regulation (EU) No 575/2013 0020 Regional governments or local authorities Article 112, point (b), of Regulation (EU) No 575/2013 0030 Public sector entities Article 112, point (c), of Regulation (EU) No 575/2013 0040 Multilateral developments banks Article 112, point (d), of Regulation (EU) No 575/2013 0050 International organisations Article 112, point (e), of Regulation (EU) No 575/2013 0060 Institutions Article 112, point (f), of Regulation (EU) No 575/2013 0070 Corporates Article 112, point (g), of Regulation (EU) No 575/2013 0075 of which: SME Same definition as for row 0020 of CR SA template 0080 Retail Article 112, point (h), of Regulation (EU) No 575/2013 0085 of which: SME Same definition as for row 0020 of CR SA template 0090 Secured by mortgages on immovable property Article 112, point (i), of Regulation (EU) No 575/2013 0095 of which: SME Same definition as for row 0020 of CR SA template 0100 Exposures in default Article 112, point (j), of Regulation (EU) No 575/2013 0110 Items associated with particularly high risk Article 112, point (k), of Regulation (EU) No 575/2013 0120 Covered bonds Article 112, point (l), of Regulation (EU) No 575/2013 0130 Claims on institutions and corporates with a short-term credit assessment Article 112, point (n), of Regulation (EU) No 575/2013 0140 Collective investments undertakings (CIU) Article 112, point (o), of Regulation (EU) No 575/2013 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 Article 112, point (p), of Regulation (EU) No 575/2013 0160 Other exposures Article 112, point (q), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0040 Observed new defaults for the period The amount of original exposures which were classified as defaulted exposures 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 of Regulation (EU) No 575/2013, as well as Regulation (EU) 183/2014 0055 Specific credit risk adjustments Credit risk adjustments as referred to in Article 110 of Regulation (EU) No 575/2013, as well as Regulation (EU) 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. Article 181(1), point (h), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 147(2), point (a), of Regulation (EU) No 575/2013 0020 Institutions Article 147(2), point (b), of Regulation (EU) No 575/2013 0030 Corporates All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013 0042 Of which: Specialised lending (excl. SL subject under the slotting approach) Article 147(8), point (a), of Regulation (EU) No 575/2013 Data shall not be reported for specialised lending exposures as referred to in Article 153(5) of Regulation (EU) No 575/2013. 0045 Of which: Specialised lending under the slotting approach Article 147(8), point (a), and Article 153(5) of Regulation (EU) No 575/2013 0050 Of which: SME Article 147(2), point (c), of Regulation (EU) No 575/2013 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 Article 147(2), point (d), of Regulation (EU) No 575/2013 0070 Retail – Secured by immovable property Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 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 Article 147(2), point (d) and Article 154(3) of Regulation (EU) No 575/2013 which are secured by real estate 0090 non-SME Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by real estate 0100 Retail – Qualifying revolving Retail exposures as referred to in Article 147(2), point (d) in conjunction with Article 154(4) of Regulation (EU) No 575/2013 0110 Other Retail Other retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are not reported in rows 0070 – 0100 0120 SME Other retail exposures to SMEs as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 0130 non-SME Other retail exposures to individuals as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 0140 Equity Equity exposures as referred to in Article 147(2), point (e), of Regulation (EU) No 575/2013 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 Part Three, Title II and Title IV of Regulation (EU) No 575/2013 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 of Directive 2013/36/EU (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 Article 140(4), point (a), of Directive 2013/36/EU. 0010 Exposure value under the Standardised approach Exposure value calculated in accordance with Article 111 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU. 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 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU. 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 Article 140(4), point (b), of Directive 2013/36/EU. 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 of Regulation (EU) No 575/2013 of relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU subject to own funds requirements under Part Three, Title IV, Chapter 2of Regulation (EU) No 575/2013: 0040 Value of trading book exposures under internal models For relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU subject to own funds requirements under Part Three, Title IV, Chapters 2 and 5 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (c), of Directive 2013/36/EU. 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 Part Three, Title II, Chapters 1 to 4 and Chapter 6 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (a), of Directive 2013/36/EU, 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 Part Three, Title II, Chapters 1 to 4 and Chapter 6 of Regulation (EU) No 575/2013. 0090 Own funds requirements for relevant credit exposures – Market risk Own funds requirements calculated in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013for specific risk, or in accordance with of of Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013 for incremental default and migration risk for relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU, 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 Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 and the own funds requirements for exposures to Collective Investment Undertakings determined in accordance with Article 348 of that Regulation. 0100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book Own funds requirements calculated in accordance with Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013 for relevant credit exposures as referred to in Article 140(4), point (c), of Directive 2013/36/EU in the country in question. The own-funds requirements are 8 % of the risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5of Regulation (EU) No 575/2013. 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, Article 140(2), points (a) and (c), and Article 140(3), point (b), of Directive 2013/36/EU. 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 Article 140(2), point (b) and Article 140(3), point (a), of Directive 2013/36/EU. 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) of Directive 2013/36/EU. 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 Article 139, paragraphs 2 or 3 of Directive 2013/36/EU. 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 Article 2(5), point (b), 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 Article 2(5), point (a), 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 of Regulation (EU) No 575/2013.

Fair value of non-derivative positions, that represent relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU, determined in accordance with Article 104 of Regulation (EU) No 575/2013.

Notional value of derivatives, that represent relevant credit exposures as referred to in Article 140(4), point (b), of Directive 2013/36/EU.

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) of Directive 2013/36/EU [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 (Article 92(3), point (a), of Regulation (EU) No 575/2013) in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 for equity exposures as referred to in of Article 147(2), point (e), of that Regulation. In accordance with Article 147(6) of Regulation (EU) No 575/2013, 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(4), point (a), of Regulation (EU) No 575/2013 or treated in accordcnace with the fall-back approach of Article 152(6) of that Regulation shall also be reported in the CR EQU IRB template. In accordance with Article 151(1) of Regulation (EU) No 575/2013, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of Regulation (EU) No 575/2013: In accordance with Article 155 of Regulation (EU) No 575/2013, 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. 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) of Regulation (EU) No 575/2013, respectively a risk-weight of 370 % in accordance with Article 471(2) of the Regulation. 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 of Regulation (EU) No 575/2013)).

Equity exposures subject to the partial use of the Standardised approach (Article 150 of Regulation (EU) No 575/2013), including:

Equity exposures grandfathered in accordance with Article 495(1) of Regulation (EU) No 575/2013;

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 (Article 150(1), point (g), of Regulation (EU) No 575/2013),

Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1), point (h), of Regulation (EU) No 575/2013),

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) of Regulation (EU) No 575/2013),

Equity claims deducted from own funds in accordance with Articles 46 and 48 of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013. The PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Part Three, Title II, Chapter 3, Section 6 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013) shall also take into account the offsetting referred to in Article 155(2), second subparagraph of Regulation (EU) No 575/2013. 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 (Article 155, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013). 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 Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 4 of Regulation (EU) No 575/2013. 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 (Article 155, paragraphs 2 and 3 and Article 167 of Regulation (EU) No 575/2013). In the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013. 0080 RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 of Regulation (EU) No 575/2013. Where institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 of Regulation (EU) No 575/2013, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) of Regulation (EU) No 575/2013). With regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) of Regulation (EU) No 575/2013). 0090 MEMORANDUM ITEM: EXPECTED LOSS AMOUNT Institutions shall report in column 0090 the expected loss amount for equity exposures calculated in accordance with Article 158, paragraphs 4, 7, 8 and 9 of Regulation (EU) No 575/2013. [Deleted] Rows CR EQU IRB 1 - row 0020, PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013) 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), including the following exposures: CR EQU IRB 1 - row 0120 CIU EXPOUSURES SUBJECT TO THE FALL-BACK APPROACH Exposures in the form of units or shares in CIUs treated in accordance with the fall-back approach of Article 152(6) of Regulation (EU) No 575/2013 shall also be reported in this row. 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) of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013, as well as

equity positions risk-weighted with 370 % in accordance with Article 471(2) of Regulation (EU) No 575/2013 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 Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. 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 Article 378, Table 1 of Regulation (EU) No 575/2013 to determine the corresponding own funds requirements. In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount. Note that own funds requirements for free deliveries as laid down in Article 379 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 0040 TOTAL SETTLEMENT RISK EXPOSURE AMOUNT In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, 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 Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013). 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 Article 378, Table 1 of Regulation (EU) No 575/2013). 0020-0060 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 Article 378, Table 1 of Regulation (EU) No 575/2013. 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 Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013). 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 Article 378, Table 1 of Regulation (EU) No 575/2013). 0080-0120 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 Article 378, Table 1 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013, in a securitisation of revolving exposures. 0020-0040 SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES Articles 251 and 252 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 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 Article 248, paragraphs 1 and 2 of Regulation (EU) No 575/2013, 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. 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 Article 248(1) and (2) of Regulation (EU) No 575/2013, 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, and net of value adjustments and provisions on the securitisation position. 0080-0110 CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Article 4(1), point (57), Part Three, Title II, Chapter 4 and Article 249 of Regulation (EU) No 575/2013 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), point (59), Articles 234 to 236 of Regulation (EU) No 575/2013. 0090 (-) FUNDED CREDIT PROTECTION Funded credit protection as defined in Article 4(1), point (58), of Regulation (EU) No 575/2013, as referred to in the Article 249(2), first subparagraph of that Regulation and as regulated in Articles 195, 197 and 200 of that Regulation. Credit linked notes and on-balance sheet netting as referred to in Articles 218 and 219 of Regulation (EU) No 575/2013 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), Article 235, paragraphs 1 and 2 and Article 236 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 The reported amount shall also include credit linked notes (Article 218 of Regulation (EU) No 575/2013). 0140 FULLY ADJUSTED EXPOSURE VALUE (E*) The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013, but without applying the conversion factors laid down in Article 248(1), point (b), of that Regulation 0150 OF WHICH: SUBJECT TO A CCF OF 0 % Article 248(1), point (b), of Regulation (EU) No 575/2013 In this respect, Article 4(1), point (56), of Regulation (EU) No 575/2013 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, 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 Article 248(1), point (d), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. 0180 EXPOSURE VALUE The exposure value of securitisation positions calculated in accordance with Article 248 of Regulation (EU) No 575/2013 0190 (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS In accordance with Article 244(1), point (b), Article 245(1), point (b) and Article 253(1) of Regulation (EU) No 575/2013, 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 Article 254(1), point (a), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 254(1), point (b), of Regulation (EU) No 575/2013 0290-0340 BREAKDOWN BY RW BANDS SEC-SA exposures broken down by risk-weight bands. For the RW = 1250 % (W unknown), Article 261(2), point (b), fourth paragraph of Regulation (EU) No 575/2013 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 Article 254(1), point (c), of Regulation (EU) No 575/2013 0360-0570 BREAKDOWN BY CREDIT QUALITY STEPS (SHORT/LONG TERM CREDIT QUALITY STEPS) Article 263 of Regulation (EU) No 575/2013 SEC-ERBA Securitisation positions with an inferred rating as referred to in Article 254(2) of Regulation (EU) No 575/2013 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 Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013. 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 Article 254(2), point (c), of Regulation (EU) No 575/2013 All auto loans, auto leases and equipment leases shall be reported in this column, even if they qualify for Article 254(2), point (a) or (b) of Regulation (EU) No 575/2013. 0590 SEC-ERBA OPTION Article 254(3) of Regulation (EU) No 575/2013 0600 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a), OF REGULATION (EU) No 575/2013 Article 254(2), point (a), of Regulation (EU) No 575/2013 0610 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b), OF REGULATION(EU) No 575/2013 Article 254(2), point (b), of Regulation (EU) No 575/2013 0620 POSITIONS SUBJECT TO ARTICLES 254(4) OR 258(2) OF REGULATION (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 0640 INTERNAL ASSESSMENT APPROACH Article 254(5) of Regulation (EU) No 575/2013 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 0695 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 0710-0860 RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Section 3 of Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013. 0890 BEFORE CAP Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, before applying the limits specified in Articles 267 and 268 of that Regulation or in case of qualifying traditional NPE securitisations before Article 269a of Regulation (EU) No 575/2013 is applied. 0900 (-) REDUCTION DUE TO RISK WEIGHT CAP In accordance with Article 267 of Regulation (EU) No 575/2013, 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. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragrapsh (6) and (7) thereof, shall be applied. 0910 (-) REDUCTION DUE TO OVERALL CAP In accordance with Article 268 of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 2 or 3 of Regulation (EU) No 575/2013 in respect of the underlying exposures had they not been securitised. For qualifying traditional NPE securitisations, Article 269a of Regulation (EU) No 575/2013, and in particular paragraphs (5) and (7) thereof, shall be applied. 0920 TOTAL RISK-WEIGHTED EXPOSURE AMOUNT Total risk-weighted exposure amount calculated in accordance with Part Three, Title II, Chapter 5, Section 3 of Regulation (EU) No 575/2013, considering the total risk weight as specified in Article 247(6) of that Regulation. 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 Article 4(1), point (62), of Regulation (EU) No 575/2013, which are not re-securitisations as defined in Article 4(1), point (63), of Regulation (EU) No 575/2013. 0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243, 270 or 494c of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment. 0040 EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS Total amount of STS securitisation positions that meet the requirements set out in Article 243 of Regulation (EU) No 575/2013. 0050 GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS Total amount of grandfathered senior synthetic securitisation positions in SMEs which meet the conditions set out in Article 494c of Regulation (EU) No 575/2013. 0051 SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS Total amount of senior securitisation positions in STS on-balance sheet securitisations which meet the conditions set out in Article 270 of Regulation (EU) No 575/2013. 0060, 0120, 0170, 0240, 0290, 0360 and 0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Article 254, paragraphs 1, 4, 5 and 6 and Articles 259, 261, 263, 265, 266 and 269 of Regulation (EU) No 575/2013 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 Article 4(1), point (64), of Regulation (EU) No 575/2013. 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 Article 4(1), point (13), of Regulation (EU) No 575/2013. 0090-0136, 0210-0250 and 0330-0370 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS In accordance with Article 248(1), point (a), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. On-balance sheet items shall be broken down to capture information regarding application of differentiated capital treatment, as referred to in Article 243 of Regulation (EU) No 575/2013, in rows 0100 and 0120 and on the total amount of senior securitisation positions, as defined in Article 242(6) of that Regulation, 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 of Regulation (EU) No 575/2013 and therefore qualify for differentiated capital treatment. 0110, 0131, 0134, 0160, 0180, 0230, 0251, 0254, 0280, 0300, 0350, 0371, 0374 0400 and 0420 OF WHICH: SENIOR EXPOSURES Total amount of senior securitisation positions as defined in Article 242(6) of Regulation (EU) No 575/2013. 0121, 0241 and 0361 EXPOSURES IN NON-NPE SECURITISATIONS Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013. 0133, 0253 and 0373 EXPOSURES IN NPE SECURITISATIONS Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013. 0134, 0254 and 0374 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS Total amount of exposures which meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013. 0135, 0255 and 0375 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS Total amount of exposures which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013. 0136, 0256 and 0376 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS Total amount of exposures which meet the conditions set out in Article 269a (1), point (a), of Regulation (EU) No 575/2013 and which do not meet the conditions set out in Article 269a (1), point (b), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013, shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013. The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II to the of Regulation (EU) No 575/2013 shall be determined in accordance with Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013, in rows 0150 and 0170 and on the total amount of senior securitisation positions, as defined in Article 242(6) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 or, for originators only, Article 270 or Article 494c of Regulation (EU) No 575/2013 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 Article 4(1), point (14), of Regulation (EU) No 575/2013. 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 Article 263, Tables 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 (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 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018.

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.

Positions held in securitisations where the reporting institution is neither originator nor sponsor (i.e. investors and original lenders). Template C 14.01 shall only be reported for those securitisation positions treated under the securitisations framework.

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. SEC DETAILS 2 provides a breakdown of the securitisation positions subject to own funds requirements in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013 by approach applied. Securitisation positions in the trading book shall only be reported in columns 0010-0020, 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 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: 0110 ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) Institutions shall report one of the following: Originator as defined in Article 4(1), point (13), of Regulation (EU) No 575/2013 and Sponsor as defined in Article 4(1), point (14), of that Regulation. 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 of Regulation (EU) No 575/2013 in the version applicable on 31 December 2018 shall apply. 0030 IDENTIFIER OF THE ORIGINATOR 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 Institutions shall report one of the following: The definitions of Asset Backed Commercial Paper Programme, Asset Backed Commercial Paper Transaction, traditional securitisation and synthetic securitisation are provided in Article 242, points (11) to (14), of Regulation (EU) No 575/2013; the definitions of qualifying traditional NPE securitisations and NPE securitisations are provided in Article 269a(1) of Regulation (EU) No 575/2013. 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: This column summarises the accounting treatment of the transaction. Significant risk transfer (SRT) under Articles 244 and 245 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 Originators, only, shall report one of the following: 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 one of the following: 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 Article 4(1), point (61), of Regulation (EU) No 575/2013 and the definition of re-securitisation in Article 4(1), point (63), of Regulation (EU) No 575/2013, 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, 270 and 494c of Regulation (EU) No 575/2013 Institutions shall report one of the following abbreviations: Y – Yes; N – No. Yes shall be reported in the following cases: 0076 TYPE OF EXCESS SPREAD Article 2, point (29) of Regulation (EU) 2017/2402 Institutions shall report one of the following: 0077 AMORTISATION SYSTEM Institutions shall report one of the following: 0078 COLLATERALISATION OPTIONS Article 26e of Regulation (EU) 2017/2402 Institutions shall report one of the following options for collateralization of the credit protection agreement: This column shall only be reported if column 0040 is reported as Synthetic transaction. 0080-0100 RETENTION Article 6 of Regulation (EU) 2017/2402; in case Article 43(6) of Regulation (EU) 2017/2402 applies, Article 405 of Regulation (EU) No 575/2013 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: 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 code E (exempted) is 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) of Regulation (EU) No 575/2013) 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: 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. For securitisation schemes backed by closed pools the type cannot change between reporting dates. Liabilities should be understood in the sense of liabilities originally issued by the reporting institution (see paragraph 112, point (b), of section 3.2.1 of this annex). 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. The EL shall be calculated as indicated in Part Three, Title II, Chapter 3, Section 3 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 3, Section 2 of Regulation (EU) No 575/2013. 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 Article 162(2), points (a) and (f), of Regulation (EU) No 575/2013, without applying the 5 year cap. 0210 (-) VALUE ADJUSTMENTS AND PROVISIONS Value adjustments and provisions (Article 159 of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013, provided that the institution is able to calculate KIRB in accordance with Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013 on a minimum of 95 % of the underlying exposure amount (Article 259(2) of Regulation (EU) No 575/2013) 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) of Regulation (EU) No 575/2013. 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: CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD Article 110 of Regulation (EU) No 575/2013 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. 0230-0255 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) of Regulation (EU) No 575/2013. 0231 ATTACHMENT POINT (%) The attachment point (%) as referred to in Article 256(1) of Regulation (EU) No 575/2013 0232 and 0252 CQS Credit quality steps (CQS) as envisaged for institutions applying SEC-ERBA (Article 263, Table 1 and 2 and Article 264, Tables 3 and 4 of Regulation (EU) No 575/2013). 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 TRANCHE CQS, as determined in accordance with Article 263, Table 2 and Article 264, Table 3 of Regulation (EU) No 575/2013, of the most subordinated mezzanine tranche. 0250-0252 FIRST LOSS 0250 AMOUNT The amount of first loss tranche as defined in Article 242(17) of Regulation (EU) No 575/2013 0251 DETACHMENT POINT (%) The detachment point (%) as referred to in Article 256(2) of Regulation (EU) No 575/2013 0252 CQS 0254-0255 OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS Articles 256(3) and (4) of Regulation (EU) No 575/2013. Amounts of collateralisation and funded reserve accounts not meeting the definition of tranche of Article 2(6) of Regulation (EU) 2017/2402, but considered as tranches for the purposes of calculating attachment and detachment points in accordance with Article 256(3) of Regulation (EU) No 575/2013. 0254 AMOUNT 0255 OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT Article 2, point (31) of Regulation (EU) No 2017/2402. Institutions shall report the non-refundable purchase price discount in accordance with Article 269a(7),of Regulation (EU) No 575/2013 at the reporting date, which shall be adjusted downwards taking into account the realised losses, as indicated in the second subparagraph. This column shall only be reported if column 0040 is reported as Qualyfing NPE securitisation or Non-Qualifying NPE securitisation, 0260-0287 OFF-BALANCE SHEET ITEMS AND DERIVATIVES This block of columns gathers information on off-balance sheet items and derivatives before conversion factors, broken down by tranches (senior/mezzanine/first loss). 0260 - 0285 SENIOR / MEZZANINE / FIRST LOSS The same criteria of classification among tranches and identification of the attachment point, the number of tranches and the detachment point used for on-balance sheet items (see instructions on columns 0230 to 0252) shall be applied here. 0287 SYNTHETIC EXCESS SPREAD Articles 242, point (20), 248(1), point (e) and 256(6) of Regulation (EU) No 575/2013. This column shall be reported only if column 0110 is reported as Originator. 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.

Private placement;

Intra-group;

Public placement.

Originator;

Sponsor;

Investor.

Original Lender.

ABCP programme;

ABCP transaction;

Traditional securitisations other than NPE securitisations;

Non-qualifying NPE securitisations;

Qualifying NPE securitisations;

Synthetic transaction;

K – totally kept, if the securitised exposures remain entirely recognised;

P – partially removed, if the securities exposures are partially derecognised;

R – totally removed, if the securities exposures are entirely derecognised;

N – Not applicable, if not applicable.

Not subject to own funds requirements;

Banking book;

Trading book;

Partially in banking and trading book.

Not applied for SRT - reporting entity risk weights its securitised exposures;

Achieved SRT under Article 244(2), point (a), or Article 245(2), point (a), of Regulation (EU) No 575/2013;

Achieved SRT under Article 244(2), point (b), or Article 245(2), point (b), of Regulation (EU) No 575/2013;

Achieved SRT under Article 244(3), point (a), or Article 245(3), point (a), of Regulation (EU) No 575/2013;

Applying a 1250 % RW or deducting retained positions in accordance with Article 244(1), point (b), or Article 245(1), point (b), of Regulation (EU) No 575/2013.

Securitisation;

Re-securitisation.

STS securitisations qualifying for the differentiated capital treatment in accordance with Article 243 of Regulation (EU) No 575/2013

Senior positions in STS on-balance sheet securitisations eligible for this treatment in accordance with Article 270 of Regulation (EU) No 575/2013

Grandfathered SME synthetics in accordance with Article 494c of Regulation (EU) No 575/2013.

No excess spread

Excess spread, fixed amount - use it or lose it mechanism

Excess spread, fixed amount – trapped mechanism

Excess spread, variable amount - use it or lose it mechanis

Excess spread, variable amount – trapped mechanism.

Sequential amortisation

Pro-rata amortisation

Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for on-balance sheet securitisations (Article 26c (5) of Regulation (EU) 2017/2402).

Pro-rata amortisation changing to sequential amortisation. Compliant with STS criteria for non-ABCP transactions (Guidelines on STS criteria for non-ABCP transactions and Article 21 (5) of Regulation (EU) 2017/2402

Pro-rata amortisation changing to sequential amortisation. Not compliant

Other amortisation system

Collateral in the form of 0 % risk-weighted debt securities Article 26e(10), first subparagraph, point (a), of Regulation (EU) 2017/2402

Collateral in the form of cash held with a third-party credit institution with credit quality step 3 or above Article 26e(10), first subparagraph, point (b), of Regulation (EU) 2017/2402

Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 2

Article 26e(10), second subparagraph of Regulation (EU) 2017/2402

Collateral in the form of cash on deposit with the originator, or one of its affiliates, if the originator or one of its affiliates qualifies as a minimum for credit quality step 3

Article 26e(10), third subparagraph of Regulation (EU) 2017/2402

Requirement satisfied in the case of investments in credit linked notes issued by the originator

Article 26e(10), fourth subparagraph of Regulation (EU) 2017/2402

No collateral, the investor qualifies for a 0 % RW

Article 26e(8), point (a), of Regulation (EU) 2017/2402

No collateral, the investor benefits from a counter-guarantee of an entity that qualifies for a 0 % RW

Article 26e(8), point (b), of Regulation (EU) 2017/2402

Other types of collateral: debt securities not compliant with Article 26e of Regulation (EU) 2017/2402

Other types of collateral: cash not compliant with Article 26e of Regulation (EU) 2017/2402

No collateral, not compliant with STS criteria for on-balance sheet securitisation

Cases different from those where there is no collateral, but the investor qualifies for a 0 % RW or benefits from a counter-guarantee of an entity that qualifies for a 0 % RW

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.

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.

mezzanine securitisation positions as defined in Article 242(18) of Regulation (EU) No 575/2013;

additional securitisation positions which are not those positions that are defined in Article 242(6), (17) or (18) of Regulation (EU) No 575/2013.

3.8.3

(i) the date when a clean-up call option (as defined in Article 242(1) of Regulation (EU) No 575/2013) 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 Article 244(4), point (g), of Regulation (EU) No 575/2013;

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 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 of template C 14.00 shall be applied here. 0340-0362 OFF-BALANCE SHEET ITEMS AND DERIVATIVES The same criteria of classification among tranches used for columns 0260 to 0287 of template C 14.00 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 of Regulation (EU) No 575/2013. 0362 SYNTHETIC EXCESS SPREAD Articles 242 (20), 248 (1), point (e) and 256(6) of Regulation (EU) No 575/2013. This column shall be reported only if column 0110 is reported as Originator. 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. 0390 LIQUIDITY FACILITIES Liquidity facilities (LF) as defined in Article 242(3) of Regulation (EU) No 575/2013. 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 calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013. 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 Articles 267 and 269a of Regulation (EU) No 575/2013 0432 (-) REDUCTION DUE TO OVERALL CAP Articles 268 and 269a of Regulation (EU) No 575/2013 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 calculated in accordance with Part Three, Title II, chapter 5, section 3 of Regulation (EU) No 575/2013. In the case of securitisations in the trading book, the RWEA concerning the specific risk shall be reported. See column 0601 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 one of the following: 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 %;

5) Internal assessment approach

6) Specific treatment for senior tranches of qualifying NPE securitisations.

Guarantees having the character of credit substitutes.

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

CTP - Correlation Trading Portfolio;

Non-CTP.

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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. The templates exclude the own funds requirements for CVA risk (Article 92(3), point (d) and Part Three, Title VI of Regulation (EU) No 575/2013), which are reported in the CVA risk template. Counterparty credit risk exposures to central counterparties (Part Three, Title II, Chapter 4 and Chapter 6, Section 9 of of Regulation (EU) No 575/2013) should be included in the CCR figures, unless otherwise stated. However, default fund contributions calculated in accordance with Articles 307 to 310 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 an institution may calculate the exposure value of its derivative positions in accordance with the method set out in Part Three Title II, Chapter 6, Section 4 or 5 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 273a(3), point (b), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 273a(3), point (a) and (b) of Regulation (EU) No 575/2013 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 Article 273a(3), point (c), of Regulation (EU) No 575/2013 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 Part One, Title II, Chapter ,2 Section 2 of Regulation (EU) No 575/2013. 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) OF REGULATION (EU) No 575/2013 0060 Are the conditions of article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority? Article 273a(4) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013. 0070 Method for calculating exposure values at consolidated level Article 273a(4) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013: This item shall be reported only by those institutions applying the derogation in accordance with Article 273a(4) of Regulation (EU) No 575/2013.

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 of Regulation (EU) No 575/2013. 0040 CURRENT MARKET VALUE (CMV), POSITIVE Article 272(12) of Regulation (EU) No 575/2013 Sum of the current market values (CMV) of all the netting sets with positive CMV as defined in Article 272(12) of Regulation (EU) No 575/2013. 0050 CURRENT MARKET VALUE (CMV), NEGATIVE Article 272(12) of Regulation (EU) No 575/2013 Sum of the absolute current market values (CMV) of all the netting sets with negative CMV as defined in Article 272(12) of Regulation (EU) No 575/2013. 0060 VARIATION MARGIN (VM), RECEIVED Article 275(2), 275(3) and 276 of Regulation (EU) No 575/2013 Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is received, computed in accordance with Article 276 of Regulation (EU) No 575/2013. 0070 VARIATION MARGIN (VM), POSTED Article 275(2), 275(3) and 276 of Regulation (EU) No 575/2013 Sum of the variation margin amounts (VM) of all the margin agreements for which the VM is posted, computed in accordance with Article 276 of Regulation (EU) No 575/2013. 0080 NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED Article 272(12a), 275(3) and 276 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 0090 NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED Article 272(12a), 275(3) and 276 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 0100 REPLACEMENT COST (RC) Articles 275, 281 and 282 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 The current exposure per netting set shall be the value as defined under Article 272(17) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 The EEPE per netting set is defined in Article 272(22) of Regulation (EU) No 575/2013 and shall be calculated in accordance with Article 284(6) of Regulation (EU) No 575/2013. The institution shall report the sum of all EEPEs applied for the determination of own funds requirements in accordance with Article 284(3) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 or permit institutions to use their own estimates in accordance with Article 284(9) of that Regulation. 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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013, having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation. The exposure value post-CRM for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013. The exposure value post-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013, which is the amount relevant for the calculation of risk weighted exposure amounts, i.e. having applied CRM techniques as applicable in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013 and considering the deduction of the incurred CVA loss in accordance with Article 273(6) of Regulation (EU) No 575/2013. The exposure value for transactions where specific wrong way risk has been identified must be determined in accordance with Article 291 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013. 0200 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts for CCR as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, calculated in accordance with the methods laid down in Part Three, Title II, Chapters 2 and 3. The SME and infrastructure supporting factors laid down in Article 501 and in Article 501a of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 6, Section 5 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 6, Section 4 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 6, Section 3 of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapter 6, Section 6 of Regulation (EU) No 575/2013. 0050 Securities financing transactions netting sets Netting sets containing only SFTs as defined in Article 4(139) of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 and long settlement transactions as defined in Article 272(2) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 Netting sets containing transactions of different product categories (Article 272(11) of Regulation (EU) No 575/2013), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in Article 272 (25) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 as opposed to Part Three, Title II, Chapter 6 of that Regulation in accordance with Article 271(2) of the same regulation. 0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS) Article 220 and 223 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, as opposed to Part Three, Title II, Chapter 6 of that Regulation in accordance with Article 271(2) of the same regulation. 0100 VAR FOR SFTS Article 221 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 CCR exposures for which specific wrong way risk (SWWR) has been identified in accordance with Article 291 of Regulation (EU) No 575/2013. 0130 Margined business Article 272(7) of Regulation (EU) No 575/2013 CCR exposures that are margined, i.e. netting sets subject to a margin agreement in accordance with Article 272(7) of Regulation (EU) No 575/2013. 0140 Unmargined business CCR exposures not covered in 0130.

Article 282(3) of Regulation (EU) No 575/2013 for the Original Exposure Method,

Article 281 of Regulation (EU) No 575/2013 for the Simplified SA-CCR,

Article 275 of Regulation (EU) No 575/2013 for the SA-CCR.

Article 282(4) of Regulation (EU) No 575/2013 for the Original Exposure Method,

Article 281 of Regulation (EU) No 575/2013 for the Simplified SA-CCR,

Article 278 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 281(2), point (f), of Regulation (EU) No 575/2013 shall be calculated in accordance with Articles 280a to 280f of that Regulation. For the Simplified SA-CCR the provisions set out in Article 281(2) of Regulation (EU) No 575/2013 apply. Rows 0050,0120, 0190, 0230, 0270, 0340 RISK CATEGORIES Article 277 and 277a of Regulation (EU) No 575/2013 Transactions shall be classified according to the risk category they belong to in accordance with Article 277(1) to (4) of Regulation (EU) No 575/2013. The assignment to hedging sets according to the risk category shall be performed in accordance with Article 277a of Regulation (EU) No 575/2013. For the Simplified SA-CCR the provisions set out in Article 281(2) of Regulation (EU) No 575/2013 apply. 0020-0040 Of which mapped to more than one risk category Article 277(3) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 and the EBA RTS referred to in Article 277(5) of that Regulation. 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) of Regulation (EU) No 575/2013 Derivative transactions mapped exclusively to one risk category in accordance with Article 277(1) and (2) of Regulation (EU) No 575/2013. Transactions that are mapped to different risk categories in accordance with Article 277(3) of Regulation (EU) No 575/2013 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 Article 277a(1), point (e), of Regulation (EU) No 575/2013.

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 Article 282(4), point (b), of Regulation (EU) No 575/2013

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) of Regulation (EU) No 575/2013 The Stress EEPE is calculated in analogy to the EEPE (Article 284(6) of Regulation (EU) No 575/2013), but using a stress calibration in accordance with Article 292(2) of Regulation (EU) No 575/2013. 0080, 0160,0170 EXPOSURE VALUE See instructions to column 0170 in template C 34.02. Row Explanation 0010 TOTAL Article 283 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013, 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 Part Three, Title II, Chapter 6, Sections 3 and 6 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 6, Sections 4 and 5 of Regulation (EU) No 575/2013 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 Article 4(1), point (2), of Regulation (EU) No 575/2013;

(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 of Regulation (EU) No 575/2013, irrespective of the CCR approach used to determine exposure values in accordance with Part Three, Title II, Chapters 4 and 6 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 Article 172(1) second sentence, point (e), of Regulation (EU) No 575/2013. 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 Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013. If own estimates of LGD are applied, Article 175 and Article 181(1) and (2) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. For defaulted exposures under A-IRB Approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 0060 Risk weighted exposure amounts Risk weighted exposure amounts, as defined in Article 92(3) and (4) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 and for which the exposure value for CCR business is calculated in accordance with Part Three, Title II, Chapters 4 and 6 of that Regulation The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 or a long settlement transaction as defined in Article 272, point (2) 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) of Regulation (EU) No 575/2013 Institutions shall report the collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 Institutions shall report the collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) of Regulation (EU) No 575/2013, further broken down into initial margin, variation margin and the SFT security. 0010, 0030, 0050, 0070, 0090, 0110, 0140, 0160 Initial margin Article 4(1), point (140), of Regulation (EU) No 575/2013 Institutions shall report the fair values of collateral received or posted as initial margin (defined in Article 4(1), point (140), of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013 for as long as they are outstanding with a CCP and exposures from CCP-related transactions, in accordance with Article 300(2) of that Regulation, for which the own funds requirements are calculated in accordance with Part Three, Title II, Chapter 6, Section 9 of that Regulation.

3.9.11.2. Instructions concerning specific positions Columns 0010 EXPOSURE VALUE Exposure value for transactions in the scope of Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, 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 Article 4(1), point (91), of Regulation (EU) No 575/2013. 0020 RISK WEIGHTED EXPOSURE AMOUNTS Risk weighted exposure amounts determined in accordance with Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013, 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 Article 4(1), point (88), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013; 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 of Regulation (EU) No 575/2013; a default fund as defined in Article 4(1), point (89), of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013, 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 (Part Three, Title II, Chapter 6, Section 9 of Regulation (EU) No 575/2013).

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) of Regulation (EU) No 575/2013, for positions whose risk weights are estimated on the basis of the requirements laid down in Part Three, Title II, Chapters 2 and 3 of that Regulation and for which the institution has been permitted to calculate the exposure value using the IMM in accordance with Part Three, Title II, Chapter 6, Section 6 of that Regulation The SME and infrastructure supporting factors laid down in Article 501 and Article 501a of Regulation (EU) No 575/2013 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 4.1.1136.137.138.139.140.141.

General Remarks This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 Article 316, Table 1, point 1 of Regulation (EU) No 575/2013. 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 Article 319(1), point (b), of Regulation (EU) No 575/2013, 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 (Article 319(1), point (a), of Regulation (EU) No 575/2013). 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 with Articles 312 to 324 of Regulation (EU) No 575/2013. The resulting amount shall be reported in column 0070. 0071 TOTAL OPERATIONAL RISK EXPOSURE AMOUNT Article 92(4) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013) has been granted in accordance with Article 312(2) of that Regulation , 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 Article 322(2), point (a), of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013). 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 of Regulation (EU) No 575/2013) 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 Article 317, Table 2 of Regulation (EU) No 575/2013. The mapping of activities into business lines shall follow the principles described in Article 318 of Regulation (EU) No 575/2013. 0110-0120 SUBJECT TO ASA Institutions using the ASA (Article 319 of Regulation (EU) No 575/2013) 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 of Regulation (EU) No 575/2013). 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 of Regulation (EU) No 575/2013) shall be reported. Where different approaches are combined as indicated in Article 314 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 Article 322(3), point (b), of Regulation (EU) No 575/2013 - 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 Article 317, Table 2 of Regulation (EU) No 575/2013, including the additional business line corporate items referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013) and loss event types (as referred to in in Article 324 of Regulation (EU) No 575/2013). 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 10,000, 20,000, 100,000, and 1,000,000. 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 of Regulation (EU) No 575/2013. 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 Article 322(3), point (c), of Regulation (EU) No 575/2013. 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013, including the additional business line Corporate items as referred to in Article 322(3), point (b), of that Regulation, 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items as referred to in Article 322(3), point (b), of that Regulation 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 of Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of that Regulation, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of that Regulation, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of that Regulation, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of that Regulation 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of Regulation (EU) No 575/2013, 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 or the business line corporate items referred to in Article 322(3), point (b), of that Regulation , 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 EUR100,000 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.

(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 of Regulation (EU) No 575/2013. 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 Article 317(4), Table 2 of Regulation (EU) No 575/2013 and Article 322(3), point (b), of that Regulation. 0170 Legal Entity name Name of the legal entity as reported in column 0011 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred. 0181 Code 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 0181 as a LEI code or Non-LEI code also in line with column 0026 of C 06.02 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 of Regulation (EU) No 575/2013.

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 (Article 325 (2), point (a), of Regulation (EU) No 575/2013). The different risks and methods available under of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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 of Article 345(1), first subparagraph of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, also applicable to these gross positions, see Article 328(2) of Regulation (EU) No 575/2013. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327 to 329 and Article 334 of Regulation (EU) No 575/2013. Regarding the distinction between Long and Short positions, see Article 328(2) of Regulation (EU) No 575/2013. 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013, receive a capital charge. 0060 OWN FUNDS REQUIREMENTS The capital charge for any relevant position in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013. 0070 TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. 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 Article 92(3), point (b)(i) of Regulation (EU) No 575/2013 and of of Part Three, Chapter 2, Title IV of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 Article 339, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 339(9) of Regulation (EU) No 575/2013. 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 Article 340, paragraphs 1 to 6 of Regulation (EU) No 575/2013 and the corresponding own funds requirements calculated in accordance with Article 340(7) of Regulation (EU) No 575/2013. 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 Article 92(3), point (b) and Article 335, Article 336, paragraphs 1, 2 and 3 and Articles 337 and 338 of Regulation (EU) No 575/2013. Be also aware of the last sentence in Article 327(1) of Regulation (EU) No 575/2013. 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 (Article 332(1), point (e), of Regulation (EU) No 575/2013 and the second subparagraph of Article 332(1) of Regulation (EU) No 575/2013 – look-through). N-th-to-default credit derivatives which are rated externally (the third subparagraph of Article 332(1) of Regulation (EU) No 575/2013) shall be reported separately in line 321. Reporting of positions subject to Article 336(3) of Regulation (EU) No 575/2013: There is a special treatment for bonds which qualify for a 10 % risk weight in the banking book in accordance with Article 129(3) of Regulation (EU) No 575/2013 (covered bonds). The specific own funds requirements shall be half of the percentage of the second category referred to in Article 336, Table 1 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 in connection with 337 of that Regulation. Where securitisation positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. 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 Article 244(1), point (b), Article 245(1), point (b), and Article 253 of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013 in conjunction with Article 337 of that Regulation (securitisation positions). Regarding the distinction between Long and Short positions, also applicable to those gross positions, see Article 328(2) of Regulation (EU) No 575/2013. 0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013 0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013. Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013. 0061-0104 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013. The breakdown shall be done separately for long and short positions. 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 of Regulation (EU) No 575/2013 0402 SEC-IRBA Article 259 and 260 of Regulation (EU) No 575/2013 0403 SEC-SA Article 261 and 262 of Regulation (EU) No 575/2013 0404 SEC-ERBA Article 263 and 264 of Regulation (EU) No 575/2013 0405 INTERNAL ASSESSMENT APPROACH Articles 254, 265 and 266(5) of Regulation (EU) No 575/2013. 0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013 0406 OTHER (RW = 1250 %) Article 254(7) of Regulation (EU) No 575/2013 0530-0540 OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 Article 270a of Regulation (EU) No 575/2013 0570 BEFORE CAP Article 337 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation 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 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation. 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 Article 4(1), point (62), of Regulation (EU) No 575/2013. 0020, 0050, 0080 and 0110 RE-SECURITISATIONS POSITIONS Article 4(1), point (64), of Regulation (EU) No 575/2013 0041, 0071 and 0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT Total amount of securitisation positions which fulfil the criteria of Article 243 of Regulation (EU) No 575/2013 or Article 270 of that Regulation and therefore qualify for differentiated capital treatment. 0030-0050 ORIGINATOR Article 4(1), point (13), of Regulation (EU) No 575/2013 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 Article 4(1), point (14), of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 ) 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 of Regulation (EU) No 575/2013 in conjunction with Article 338, paragraphs 2 and 3 of that Regulation. If CTP-positions of the trading book are hedged by credit derivatives, Articles 346 and 347 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 5 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013), 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 Article 244(1), point (b), Article 245(1), point (b) and Article 253 of Regulation (EU) No 575/2013). 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) of Regulation (EU) No 575/2013 in conjunction paragraphs (2) and (3) of Article 338 of that Regulation (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) of Regulation (EU) No 575/2013. 0030-0040 (-) POSITIONS DEDUCTED FROM OWN FUNDS (LONG AND SHORT) Article 253 of Regulation (EU) No 575/2013 0050-0060 NET POSITIONS (LONG AND SHORT) Articles 327, 328, 329 and 334 of Regulation (EU) No 575/2013 Regarding the distinction between long and short positions, see Article 328(2) of Regulation (EU) No 575/2013. 0071-0097 BREAKDOWN OF THE NET POSITIONS BY RISK WEIGHTS Articles 259 to 262, of Article 263, Tables 1 and 2, Article 264, Tables 3 and 4 and Article 266 of Regulation (EU) No 575/2013 0402-0406 BREAKDOWN OF THE NET POSITIONS BY APPROACHES Article 254 of Regulation (EU) No 575/2013 0402 SEC-IRBA Articles 259 and 260 of Regulation (EU) No 575/2013 0403 SEC-SA Articles 261 and 262 of Regulation (EU) No 575/2013 0404 SEC-ERBA Articles 263 and 264 of Regulation (EU) No 575/2013 0405 INTERNAL ASSESSMENT APPROACH Articles 254 and 265 and Article 266(5) of Regulation (EU) No 575/2013. 0900 SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS Article 269a(3) of Regulation (EU) No 575/2013 0406 OTHER (RW=1250 %) Article 254(7) of Regulation (EU) No 575/2013 0410-0420 BEFORE CAP - WEIGHTED NET LONG / SHORT POSITIONS Article 338 of Regulation (EU) No 575/2013, without taking into account the discretion of Article 335 of that Regulation 0430-0440 AFTER CAP - WEIGHTED NET LONG / SHORT POSITIONS Article 338 of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation 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 Article 4(1), point (13), of Regulation (EU) No 575/2013 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 Article 4(1), point (14), of Regulation (EU) No 575/2013 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 Article 338, paragraphs 2 and 3 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013;

Other positions that satisfy Article 338(3) of Regulation (EU) No 575/2013.

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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013. 0030-0040 NET POSITIONS (LONG AND SHORT) Articles 327, 329, 332, 341 and 345 of Regulation (EU) No 575/2013. 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 shall not be included in this column. 0060 OWN FUNDS REQUIREMENTS The own funds requirement in accordance with Part Three, Title IV, Chapter 2 of Regulation (EU) No 575/2013 for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. 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 Article 92(3) of Regulation (EU) No 575/2013, point (b)(i) and Part Three, Title IV, Chapter 2, Section 3 of that Regulation. 0020-0040 GENERAL RISK Positions in equities subject to general risk (Article 343 of Regulation (EU) No 575/2013) and their correspondent own funds requirement in accordance with Part Three, Title IV, Chapter 2, Section 3of that Regulation 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, including positions in stock index futures treated in accordance with Article 344(3) of that Regulation 0050 SPECIFIC RISK Positions in equities subject to specific risk and the correspondent own funds requirement in accordance with Article 342 of Regulation (EU) No 575/2013, excluding positions in stock-index futures treated in accordance with the second sentence of Article 344(4) of that Regulation 0090-0130 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) of Article 329, paragraphs 2 and 3 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 In accordance with Article 352(2) of Regulation (EU) No 575/2013 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) of that Regulation 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 Article 352(4), first two sentences and Article 353 of Regulation (EU) No 575/2013 The net positions are calculated by each currency in accordance with Article 352 (1) of Regulation (EU) No 575/2013. Consequently, both long and short positions may be reported at the same time. 0060-0080 POSITIONS SUBJECT TO CAPITAL CHARGE Article 352(4), third sentence and Articles 353 and 354 of Regulation (EU) No 575/2013 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 Part Three, Title IV, Chapter 3 of Regulation (EU) No 575/2013 0100 TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 as well as their correspondent own funds requirements for the foreign-exchange risk referred to in Article 92(3), point (c)(i), taking into account Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013 (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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013. 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 Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013. Reporting of CIU's treated as separate currencies in accordance with Article 353 of Regulation (EU) No 575/2013: 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 Article 352, paragraphs 2 and 4 of Regulation (EU) No 575/2013 0050 - 0090 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 352, paragraphs 5 and 6 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, irrespective of the currency of denomination, which are included in Annex I to of that Regulation, 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 of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 (see also Article 359(1) of Regulation (EU) No 575/2013) 0030-0040 NET POSITIONS (LONG AND SHORT) As defined in Article 357(3) of Regulation (EU) No 575/2013 0050 POSITIONS SUBJECT TO CAPITAL CHARGE Those net positions that, in accordance with the different approaches considered in Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 receive a capital charge. 0060 OWN FUNDS REQUIREMENTS The own funds requirement calculated in accordance with Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 for any relevant position 0070 TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. 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 Article 92(3), point (c)(iii) of Regulation (EU) No 575/2013 and Part Three, Title IV, Chapter 4 of Regulation (EU) No 575/2013 0020-0060 POSITIONS BY CATEGORY OF COMMODITY For reporting purposes, commodities shall be grouped in the four groups of commodities referred to in Article 361, Table 2 of Regulation (EU) No 575/2013. 0070 MATURITY LADDER APPROACH Positions in commodities subject to the maturity ladder approach referred to in Article 359 of Regulation (EU) No 575/2013 0080 EXTENDED MATURITY LADDER APPROACH Positions in commodities subject to the extended maturity ladder approach referred to in Article 361 of Regulation (EU) No 575/2013 0090 SIMPLIFIED APPROACH Positions in commodities subject to the simplified approach referred to in Article 360 of Regulation (EU) No 575/2013 0100-0140 ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS) Article 358(4) of Regulation (EU) No 575/2013 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) Article 364(1), point (a)(ii) and Article 365(1) of Regulation (EU) No 575/2013 0040 Previous day VaR (VaRt-1) Article 364(1), point (a)(i) and Article 365(1) of Regulation (EU) No 575/2013 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) Article 364(1), point (b)(ii) and Article 365(1) of Regulation (EU) No 575/2013 0060 Latest available (SVaRt-1) Article 364(1), point (b)(i)and Article 365(1) of Regulation (EU) No 575/2013 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 Article 364(2), point (b) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013. 0070 12 weeks average measure Article 364(2), point (b)(ii) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013 0080 Last Measure Article 364(2), point (b)(i) in conjunction with Part Three, Title IV, Chapter 5, Section 4 of Regulation (EU) No 575/2013 0090-0110 ALL PRICE RISKS CAPITAL CHARGE FOR CTP 0090 FLOOR Article 364(3), point (c), of Regulation (EU) No 575/2013 8 % of the capital charge that would be calculated in accordance with Article 338(1) of Regulation (EU) No 575/2013 for all positions in the all price risks capital charge. 0100-0110 12 WEEKS AVERAGE MEASURE AND LAST MEASURE Article 364(3), point (b), of Regulation (EU) No 575/2013 0110 LAST MEASURE Article 364(3), point (a), of Regulation (EU) No 575/2013 0120 OWN FUNDS REQUIREMENTS Own funds requirements as referred to in Article 364 of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 0130 TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 The multiplication factors effectively applicable for the calculation of own funds requirements shall be reported; where applicable, after application of Article 500c of Regulation (EU) No 575/2013. 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 Article 364(3), point (c), of Regulation (EU) No 575/2013, taking into account the discretion of Article 335 of that Regulation 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) of Regulation (EU) No 575/2013 linked to the risk factors specified in Article 367(2) of that Regulation. 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) of Regulation (EU) No 575/2013, linked to the interest rates risk factors specified in Article 367(2), point (a), of that Regulation. 0030 TDI – GENERAL RISK General risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0040 TDI – SPECIFIC RISK Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0050 EQUITIES Corresponds to the part of position risk referred to in Article 363(1) of Regulation (EU) No 575/2013 linked to the equity risk factors as specified in Article 367(2), point (c), of that Regulation. 0060 EQUITIES – GENERAL RISK General risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0070 EQUITIES – SPECIFIC RISK Specific risk component as referred to in Article 362 of Regulation (EU) No 575/2013 0080 FOREIGN EXCHANGE RISK Articles 363(1) and Article 367(2), point (b), of Regulation (EU) No 575/2013 0090 COMMODITY RISK Articles 363(1) and Article 367(2), point (d)of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 in conjunction with Article 382 of that Regulation. Total EAD from all transactions subject to CVA charge. 0020 Of which: OTC derivatives Article 271 of Regulation (EU) No 575/2013 in conjunction with Article 382(1) of that Regulation. 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 of Regulation (EU) No 575/2013 in conjunction with Article 382(2) of that Regulation 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) × AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of Regulation (EU) No 575/2013 in conjunction with Article 363(1), point (d), of that Regulation. VaR calculation based on internal models for market risk 0050 PREVIOUS DAY (VaRt-1) See instructions for column 0040. 0060 MULTIPLICATION FACTOR (ms) × 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 Article 92(3), point (d), of Regulation (EU) No 575/2013. Own funds requirements for CVA Risk calculated via the chosen method. 0090 TOTAL RISK EXPOSURE AMOUNT Article 92(4), point (b), of Regulation (EU) No 575/2013. Own funds requirements multiplied by 12.5. Memorandum items 0100 Number of counterparties Article 382 of Regulation (EU) No 575/2013 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 Article 386(1), point (a), of Regulation (EU) No 575/2013 Total notional amounts of single name CDS used as hedge for CVA risk. 0140 INDEX CDS Article 386(1), point (b), of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 0030 Standardised method Standardised CVA risk method as prescribed by Article 384 of Regulation (EU) No 575/2013 0040 Based on OEM Amounts subject to the application of Article 385 of Regulation (EU) No 575/2013

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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013. 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 of Council Directive 86/635/EEC; 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; Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU 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 9.4.1.2A. 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) of Council Directive 86/635/EEC The 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 Article 8(1), point (a) and Article 8(8) of Directive 2013/34/EU 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 of Council Directive 86/635/EEC; Article 12(7) of Directive 2013/34/EU; 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; Article 8(1), point (a) and Article 8, paragraphs 6 and 8 of Directive 2013/34/EU; 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 39.89A(a); IFRS 9.6.5.8; Article 8, paragraphs 5 and 6 of Directive 2013/34/EU of the European Parliament and of the Council. The 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; Article 4, points (7) and (8), of Council Directive 86/635/EEC; Article 2(2) of Directive 2013/34/EU 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. 0142 1.1.13 OTHER ASSETS Assets as referred to in Annex V, part 2, paragraphs 5 and 6 to this Implementing Regulation, to the extent they are valued at fair value. 0143 1.1.14 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE Assets as referred to in Annex V, part 2, paragraph 7 to this Implementing Regulation, to the extent they are valued at fair value. 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 Article 8(1), point (a) and Article 8, paragraphs 3 and 6 of Directive 2013/34/EU 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; Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU; 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; Article 8(1), point (a), (6) and (8), point (a), of Directive 2013/34/EU 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 39.89A(b), IFRS 9.6.5.8; Article 8, paragraphs 5 and 6 of Directive 2013/34/EU; 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. 0220 1.2.7 OTHER LIABILITIES Liabilities as referred to in Annex V, part 2, paragraph 13 to this Implementing Regulation, to the extent they are valued at fair value. 0230 1.2.8 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE Liabilities as referred to in Annex V, part 2, paragraph 14 to this Implementing Regulation, to the extent they are valued at fair value.

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 Council Directive 86/635/EEC (FINREP National GAAP based on Council Directive 86/635/EEC).

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 Council Directive 86/635/EEC (FINREP National GAAP based on Council Directive 86/635/EEC).

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 of Regulation (EU) No 575/2013 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 Article 9(5), point (b), Article 10(6), point (b) 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) of Regulation (EU) No 575/2013. 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 Article 9(5), point (b), of Delegated Regulation (EU) 2016/101. 0030 CLOSE-OUT COSTS Article 105(10) of Regulation (EU) No 575/2013. 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 Article 10(6), point (b), of Delegated Regulation (EU) 2016/101. 0050 MODEL RISK Article 105(10) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 Concentrated positions AVAs calculated in accordance with Article 14 of Delegated Regulation (EU) 2016/101. 0080 FUTURE ADMINISTRATIVE COSTS Article 105(10) of Regulation (EU) No 575/2013 Future administrative costs AVAs calculated in accordance with Article 15 of Delegated Regulation (EU) 2016/101. 0090 EARLY TERMINATION Article 105(10) of Regulation (EU) No 575/2013 Early termination AVAs calculated in accordance with Article 16 of Delegated Regulation (EU) 2016/101. 0100 OPERATIONAL RISK Article 105(10) of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 Article 10, paragraphs 2 and 3 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) of Regulation (EU) No 575/2013, 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 Article 7(2), point (b), 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 Article 7(2), point (a), 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 Article 7(2), point (b), 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) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013, 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 ARTICLE 10, PARAGRAPHS 2 AND 3 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 Article 7(2), point (b), of Delegated Regulation (EU) 2016/101. For portfolios subject to the fall-back approach under Article 7(2), point (b), 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 Article 7(2), point (b)(i) of Delegated Regulation (EU) 2016/101. 0200 1.2.2 FALL-BACK APPROACH; 10 % NOTIONAL VALUE Article 7(2), point (b)(ii) of Delegated Regulation (EU) 2016/101. 0210 1.2.3 FALL-BACK APPROACH; 25 % OF INCEPTION VALUE Article 7(2), point (b)(iii) 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 Article 19(3), point (a), 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 Article 19(3), point (a), 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 twelve 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) of Regulation (EU) No 575/2013, 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 Article 19(3), point (a), 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 Article 19(3), point (a), 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 Article 14(1), point (a), 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 Article 14(1), point (b), 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) of Regulation (EU) No 575/2013, 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 Part Three, Title II of Regulation (EU) No 575/2013, exposures to General governments are included in different exposure classes in accordance with Article 112 and Article 147 of that Regulation , 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 of Regulation (EU) No 575/2013 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 Council Directive 86/635/EEC 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 Council Directive 86/635/EEC 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 of Council Directive 86/635/EEC; Paragraph 16 of Part 1 of Annex V to this Implementing Regulation; Article 8(1), point (a), of Directive 2013/34/EU 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 Article 8(1), point (a) and Article 8(6) of Directive 2013/34/EU 0070 Non-trading non-derivative financial assets measured at fair value through profit or loss Article 36(2) of Council Directive 86/635/EEC; Article 8(1), point (a), of Directive 2013/34/EU 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 9.4.1.2A 0090 Non-trading non-derivative financial assets measured at fair value to equity Article 8(1), point (a) and Article 8(8) of Directive 2013/34/EU 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 of Council Directive 86/635/EEC; Article 6(1), point (i) and Article 8(2) of Directive 2013/34/EU; Annex V, part 1, paragraph 16 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 of Council Directive 86/635/EEC; Article 12(7) of Directive 2013/34/EU; Annex V, part 1, paragraph 16 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 of Council Directive 86/635/EEC. 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 Council Directive 86/635/EEC, 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 Council Directive 86/635/EEC, 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 191 to 196 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 Council Directive 86/635/EEC. 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 Council Directive 86/635/EEC, 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 Council Directive 86/635/EEC, 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 191 to 196 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 Council Directive 86/635/EEC (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 Article 4, Liabilities, point (6)(c) and Off balance sheet items, Articles 27(11), 28(8) and Article 33 of Council Directive 86/635/EEC; 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 Council Directive 86/635/EEC, 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 Council Directive 86/635/EEC, 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 of Regulation (EU) No 575/2013. For exposures under the IRB Approach: see Article 166 and the second sentence of Article 230(1) of Regulation (EU) No 575/2013. 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 Article 113, paragraphs 1 to 5 of Regulation (EU) No 575/2013. For exposures under the IRB Approach: see Article 153, paragraphs 1 and 3 of Regulation (EU) No 575/2013. For the reporting of direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 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 191 to 196 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 Part Three, Title II of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013 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 Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 for the purposes of calculating own funds requirements. 0080 IRB Approach Exposures to General governments that shall be risk-weighted in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, 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 Article 147(3), point (a), of Regulation (EU) No 575/2013, 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 Article 147(3), point (a), of Regulation (EU) No 575/2013, 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 Article 147(4), point (a), of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 and that are allocated to the Central governments and central banks exposure class in accordance with Article 147(3), point (a), of that Regulation, 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) of Regulation (EU) No 575/2013 and that are allocated to the Institutions exposure class in accordance with Article 147(4), point (b), of that Regulation , 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 Article 147(3), point (c), of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013 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 Part Three, Title IV of Regulation (EU) No 575/2013 is calculated: Direct exposures within the scope of Article 271 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013

Own funds requirements for specific or general risk in accordance with Part Three, Title IV, Chapter 5 of Regulation (EU) No 575/2013.

[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 of Regulation (EU) No 575/2013. 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 of Regulation (EU) No 575/2013), that become non-performing. Institutions shall calculate the deductions for NPEs in accordance with Article 47c(1), points (a) and (b), of Regulation (EU) No 575/2013,, 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 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.

Minimum coverage requirements and exposure values of non-performing exposures, excluding forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013 (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) of Regulation (EU) No 575/2013, 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.

Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013 (C 35.03): the template calculates the total minimum coverage requirements for non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, 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) of Regulation (EU) No 575/2013 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 Article 47c(1), point (a), of Regulation (EU) No 575/2013 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 Article 47c(1), point (a)(i), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013 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 Article 47c(1), point (a)(ii), Article 47c(3), Article 47c(4), Article 47c(6) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 0070 Secured part of NPEs Article 47a(2) and Article 47c(1) of Regulation (EU) No 575/2013 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 Article 47c(1), point (b), of Regulation (EU) No 575/2013. 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 Article 47c(1), point (b), of Regulation (EU) No 575/2013. 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 Article 47c(1), point (b)(i) of Regulation (EU) No 575/2013 0110 Additional valuation adjustments Article 47c(1), point (b)(ii) of Regulation (EU) No 575/2013 0120 Other own funds reductions Article 47c(1), point (b)(iii) of Regulation (EU) No 575/2013 0130 IRB shortfall Article 47c(1), point (b)(iv) of Regulation (EU) No 575/2013 0140 Difference between the purchase price and the amount owed by the debtor Article 47c(1), point (b)(v) of Regulation (EU) No 575/2013 0150 Amounts written-off by the institution since the exposure was classified as non-performing Article 47c(1), point (b)(vi) of Regulation (EU) No 575/2013

8.3. C 35.02 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (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 Article 47c(1), point (a), of Regulation (EU) No 575/2013 For the calculation of the total minimum coverage requirement for non-performing exposures, excluding forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, 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 Article 47c(1), point (a)(i), Article 47c(2) of Regulation (EU) No 575/2013 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 Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), of Regulation (EU) No 575/2013 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 Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (e) and (g), of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013. 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), of Regulation (EU) No 575/2013 Institutions shall report the total exposure value of the parts of NPEs secured by immovable property pursuant to Part Three, Title II of Regulation (EU) No 575/2013 or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation. 0090 Part of NPEs secured by other funded or unfunded credit protection Article 47a(2), Article 47c(1) and Article 47c(3), points (a), (b), (c), (e) and (g), of Regulation (EU) No 575/2013 Institutions shall report the total exposure value of the parts of NPEs secured by other funded or unfunded credit protection pursuant to Part Three, Title II of Regulation (EU) No 575/2013. 0100 Part of NPEs guaranteed or insured by an official export credit agency Article 47a(2) and Article 47c(4) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013.

8.4. C 35.03 – MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF REGULATION (EU) No 575/2013 (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 Article 47c(1), point (a), and Article 47c(6) of Regulation (EU) No 575/2013 For the calculation of total minimum coverage requirement of non-performing forborne exposures that fall under Article 47c (6) of Regulation (EU) No 575/2013, 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 Article 47c(1), point (a)(i), Article 47c(2), Article 47c(6) of Regulation (EU) No 575/2013 Institutions shall report the total minimum coverage requirement for the unsecured part of non-performing forborne exposures that fall under Article 47c(6) of Regulation (EU) No 575/2013, 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 Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), Article 47c(6) of Regulation (EU) No 575/2013 Institutions shall report the total minimum coverage requirement for parts of non-performing forborne exposures secured by immovable property pursuant to Part Three, Title II of Regulation (EU) No 575/2013 or that are residential loans guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation, falling under Article 47c(6) of that Regulation, i.e. the aggregate of calculations at exposure level. 0040 Part of NPEs secured by other funded or unfunded credit protection Article 47c(1), point (a)(ii), and Article 47c(3), points (a), (b), (c), (e) and (g), Article 47c(6) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013, i.e. the aggregate of calculations at exposure level. 0050 Exposure value Article 47a(2) and Article 47c(6) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 Institutions shall report the total exposure value of unsecured part of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 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 Article 47c(3), points (a), (b), (c), (d), (f), (h) and (i), Article 47c(6) of Regulation (EU) No 575/2013 Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by immovable property pursuant to Part Three, Title II of that Regulation or that is a residential loan guaranteed by an eligible protection provider as referred to in Article 201 of that Regulation. 0080 > 2 and <= 3 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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 Article 47c(3), points (a), (b), (c), (e) and (g), Article 47c(6) of Regulation (EU) No 575/2013 Institutions shall report the total exposure value of the parts of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 secured by other funded or unfunded credit protection pursuant to Part Three, Title II of Regulation (EU) No 575/2013. 0130 > 2 and <= 3 years after classification as NPE Institutions shall report exposure value of forborne NPEs that fall under Article 47c(6) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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) of Regulation (EU) No 575/2013 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

ANNEX XVI REPORTING TEMPLATES ON ASSET ENCUMBRANCE F 32.01 - ASSETS OF THE REPORTING INSTITUTION (AE-ASS) F 32.02 - COLLATERAL RECEIVED (AE-COL) F 32.03 - OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED (AE-NPL) F 32.04 - SOURCES OF ENCUMBRANCE (AE-SOU) F 33.00 - MATURITY DATA (AE-MAT) F 34.00 - CONTINGENT ENCUMBRANCE (AE-CONT) A.B. F 35.00 - COVERED BONDS ISSUANCE (AE-CB) F 36.01 - ADVANCED DATA. PART I (AE-ADV-1) F 36.02 - ADVANCE DATA. PART II (AE-ADV-2) z-axis Cover pool identifier (open)

ASSET ENCUMBRANCE TEMPLATES Template number Template code Name of the template /group of templates Short name PART A - ENCUMBRANCE OVERVIEW 32.1 F 32.01 ASSETS OF THE REPORTING INSTITUTION AE-ASS 32.2 F 32.02 COLLATERAL RECEIVED AE-COL 32.3 F 32.03 OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED AE-NPL 32.4 F 32.04 SOURCES OF ENCUMBRANCE AE-SOU PART B - MATURITY DATA 33 F 33.00 MATURITY DATA AE-MAT PART C - CONTINGENT ENCUMBRANCE 34 F 34.00 CONTINGENT ENCUMBRANCE AE-CONT PART D - COVERED BONDS 35 F 35.00 COVERED BONDS ISSUANCE AE-CB PART E - ADVANCED DATA 36.1 F 36.01 ADVANCED DATA. PART I AE-ADV1 36.2 F 36.02 ADVANCED DATA. PART II AE-ADV2 Carrying amount of encumbered assets Fair value of encumbered assets Carrying amount of non-encumbered assets Fair value of non-encumbered assets of which: issued by other entities of the group of which: central bank's eligible of which notionally eligible EHQLA and HQLA of which: central bank's eligible of which notionally eligible EHQLA and HQLA of which: issued by other entities of the group of which: central bank's eligible of which EHQLA and HQLA of which: central bank's eligible of which EHQLA and HQLA 0010 0020 0030 0035 0040 0050 0055 0060 0070 0080 0085 0090 0100 0105 0010 Assets of the reporting institution 0015 of which: qualifying fiduciary assets 0020 Loans on demand 0030 Equity instruments 0040 Debt securities 0050 of which: covered bonds 0060 of which: securitisations 0070 of which: issued by general governments 0080 of which: issued by financial corporations 0090 of which: issued by non-financial corporations 0100 Loans and advances other than loans on demand 0110 of which: Loans collateralised with Immovable Property 0120 Other assets Fair value of encumbered collateral received or own debt securities issued Non-encumbered Fair value of collateral received or own debt securities issued available for encumbrance Nominal of collateral received or own debt securities issued non available for encumbrance of which: issued by other entities of the group of which: central bank's eligible of which notionally eligible EHQLA and HQLA of which: issued by other entities of the group of which: central bank's eligible of which EHQLA and HQLA 0010 0020 0030 0035 0040 0050 0060 0065 0070 0130 Collateral received by the reporting institution 0140 Loans on demand 0150 Equity instruments 0160 Debt securities 0170 of which: covered bonds 0180 of which: securitisations 0190 of which: issued by general governments 0200 of which: issued by financial corporations 0210 of which: issued by non-financial corporations 0220 Loans and advances other than loans on demand 0230 Other collateral received 0240 Own debt securities issued other than own covered bonds or securitisations 0245 Own covered bonds and securitisation issued and not yet pledged 0250 TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED Non-encumbered Carrying amount of the underlying pool of assets Fair value of debt securities issued available for encumbrance Nominal of own debt securities issued non available for encumbrance of which: central bank's eligible of which notionally eligible EHQLA and HQLA 0010 0020 0030 0035 0040 0010 Own covered bonds and securitisations issued and not yet pledged 0020 Retained covered bonds issued 0030 Retained securitisations issued 0040 Senior 0050 Mezzanine 0060 First Loss Matching liabilities, contingent liabilities or securities lent Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered of which: from other entities of the group of which: collateral received re-used of which: own debt securities encumbered 0010 0020 0030 0040 0050 0010 Carrying amount of selected financial liabilities 0020 Derivatives 0030 of which: Over-The-Counter 0040 Deposits 0050 Repurchase agreements 0060 of which: central banks 0070 Collateralised deposits other than repurchase agreements 0080 of which: central banks 0090 Debt securities issued 0100 of which: covered bonds issued 0110 of which:securitisations issued 0120 Other sources of encumbrance 0130 Nominal of loan commitments received 0140 Nominal of financial guarantees received 0150 Fair value of securities borrowed with non cash-collateral 0160 Other 0170 TOTAL SOURCES OF ENCUMBRANCE Not to be filled on a consolidated basis template Not to be filled in any case Residual maturity of liabilities Open maturity Overnight > 1 day <= 1 wk > 1 wk <= 2 wks > 2 wks <= 1 mth > 1 mth <= 3 mths > 3 mths <= 6 mths > 6 mths <= 1 yr > 1 yr <= 2 yrs > 2 yrs <= 3 yrs 3 yrs <= 5 yrs 5 yrs <= 10 yrs > 10 yrs 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0010 Encumbered assets 0020 Collateral received re-used (receiving leg) 0030 Collateral received re-used (re-using leg) Matching liabilities, contingent liabilities or securities lent Contingent Encumbrance Decrease by 30 % of the fair value of encumbered assets Net effect of a 10 % depreciation of significant currencies Additional amount of encumbered assets Additional amount of encumbered assets Significant currency 1 Significant currency 2 … Significant currency n 0010 0020 0030 0040 … … 0010 Carrying amount of selected financial liabilities 0020 Derivatives 0030 of which: Over-The-Counter 0040 Deposits 0050 Repurchase agreements 0060 of which: central banks 0070 Collateralised deposits other than repurchase agreements 0080 of which: central banks 0090 Debt securities issued 0100 of which: covered bonds issued 0110 of which: securitisations issued 0120 Other sources of encumbrance 0170 TOTAL SOURCES OF ENCUMBRANCE Compliance with Art. 129 of Regulation (EU) No 575/2013 Covered bond liabilities Cover pool Reporting date + 6 months +12 months + 2 years +5 years + 10 years Cover pool derivative positions with net negative market value External credit rating on covered bond Reporting date + 6 months + 12 months + 2 years + 5 years + 10 years Cover pool derivative positions with net positive market value Cover pool amount in excess of minimum coverage requirements [YES/NO] If YES, indicate primary asset class of cover pool as per the relevant statutory covered bond regime as per credit rating agencies' methodology to maintain current external credit rating of covered bond Reporting date Credit rating agency 1 Credit rating 1 Credit rating agency 2 Credit rating 2 Credit rating agency 3 Credit rating 3 Reporting date Credit rating agency 1 Credit rating agency 2 Credit rating agency 3 0010 0012 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0010 Nominal amount 0020 Present value (swap) / Market value 0030 Asset-specific value 0040 Carrying amount Sources of encumbrance Assets/Liabilities Collateral Type - Classification by Asset type Total Loans on demand Equity instruments Debt Securities Loans and advances other than loans on demand Other assets Total of which: covered bonds of which: securitisations of which: issued by general governments of which: issued by financial corporations of which: issued by non financial corporations Central banks and general governments Financial corporations Non financial Corporations Households of which: issued by other entities of the group of which: issued by other entities of the group of which: Loans collateralised with immovable property of which: Loans collateralised with immovable property 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0010 Central bank funding (of all types, including e.g. repos) Encumbered assets 0020 Matching liabilities 0030 Exchange traded derivatives Encumbered assets 0040 Matching liabilities 0050 Over-the-counter derivatives Encumbered assets 0060 Matching liabilities 0070 Repurchase agreements Encumbered assets 0080 Matching liabilities 0090 Collateralised deposits other than repurchase agreements Encumbered assets 0100 Matching liabilities 0110 Covered bonds securities issued Encumbered assets 0120 Matching liabilities 0130 Securitisations issued Encumbered assets 0140 Matching liabilities 0150 Debt securities issued other than covered bonds and securitisations Encumbered assets 0160 Matching liabilities 0170 Other sources of encumbrance Encumbered assets 0180 Contingent liabilities or securities lent 0190 Total encumbered assets 0200 of which central bank eligible 0210 Total non-encumbered Assets 0220 of which central bank eligible 0230 Encumbered + Non-encumbered Assets Sources of encumbrance Assets/Liabilities Collateral Type - Classification by Asset type Total Loans on demand Equity instruments Debt Securities Loans and advances other than loans on demand Other collateral received Own debt securities issued other than own covered bonds or securitisations Total of which: covered bonds of which: securitisations of which: issued by general governments of which: issued by financial corporations of which: issued by non financial corporations Central banks and general governments Financial corporations Non financial Corporations Households of which: issued by other entities of the group of which: issued by other entities of the group of which: Loans collateralised with immovable property of which: Loans collateralised with immovable property 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0010 Central bank funding (of all types, including e.g. repos) Encumbered collateral received 0020 Matching liabilities 0030 Exchange traded Derivatives Encumbered collateral received 0040 Matching liabilities 0050 Over-the-counter derivatives Encumbered collateral received 0060 Matching liabilities 0070 Repurchase agreements Encumbered collateral received 0080 Matching liabilities 0090 Collateralised deposits other than repurchase agreements Encumbered collateral received 0100 Matching liabilities 0110 Covered bonds securities issued Encumbered collateral received 0120 Matching liabilities 0130 Securitisations issued Encumbered collateral received 0140 Matching liabilities 0150 Debt securities issued other than Covered bonds and securitisations Encumbered collateral received 0160 Matching liabilities 0170 Other sources of encumbrance Encumbered collateral received 0180 Contingent liabilities or securities lent 0190 Total encumbered collateral received 0200 of which central bank eligible 0210 Total non-encumbered collateral received 0220 of which central bank eligible 0230 Encumbered + Non-encumbered collateral received Not to be filled on a consolidated basis template Not to be filled in any case

ANNEX IV

ANNEX XVII INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE

GENERAL INSTRUCTIONS

1. STRUCTURE AND CONVENTIONS

1.

1.1.1.2. Structure The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme: For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.1.1.

(a) Part A: Encumbrance overview:

AE-ASS template. Assets of the reporting institution;

AE-COL template. Collateral received by the reporting institution;

AE-NPL template. Own covered bonds and securitisations issued and not yet pledged;

AE-SOU template. Sources of encumbrance;

(b) Part B: Maturity data:

AE-MAT template. Maturity data;

AE-CONT template. Contingent encumbrance;

(d) Part D: Covered bonds:

AE-CB template. Covered bonds issuance;

(e) Part E: Advanced data:

AE-ADV-1 template. Advanced template for assets of the reporting institution;

AE-ADV-2 template. Advanced template for collateral received by the reporting institution.

1.2.3.4. Accounting standard Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral. For the purposes of this Annex, IAS and IFRS refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.

1.3.5.6. Numbering convention The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template. In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.

1.4.7. Sign convention Templates in Annex XVI shall follow the sign convention described in Annex V, Part 1, points 9 and 10.

1.5.8. Level of application The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under Article 430(1), first subparagraph, point (a), of Regulation (EU) No 575/2013. Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of that Regulation are not required to report information on asset encumbrance.

1.6.9.10. Proportionality For the purposes of Article 19(3), point (c), of this Regulation, the asset encumbrance level shall be calculated as follows: [Deleted]

Carrying amount of encumbered assets and collateral = {AE-ASS;0010;0010}– {AE-ASS;0015;0010} + {AE-COL;0130;0010};

Total assets and collateral = {AE-ASS;0010;0010} + {AE-ASS;0010;0060}– {AE-ASS;0015;0010} + {AE-COL;0130;0010}+{AE-COL;0130;0040};

Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral).

1.7.11. Definition of encumbrance For the purposes of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn. It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as assets that require prior approval before withdrawal or replacement by other assets, shall be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list):

secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending;

various collateral agreements, for instance collateral placed for the market value of derivatives transactions;

financial guarantees that are collateralised. If there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount shall be allocated (on a pro-rata allocation);

collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins;

central bank facilities. Pre-positioned assets shall not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank;

underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution’s financial assets. The assets that are underlying retained securities do not count as encumbered, unless those securities are pledged or provided as collateral in any way to secure a transaction;

assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (own-issued bonds);

as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn shall not be considered encumbered.

TEMPLATE-RELATED INSTRUCTIONS

2.12.13. PART A: ENCUMBRANCE OVERVIEW The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (point-in time encumbrance) from those assets which are available for potential funding needs. The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.

2.12.13.

2.1. Template AE-ASS. Assets of the reporting institution

2.1.

2.1.1.14. General remarks This point sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates: All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral. The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates.

2.1.1.14.

(a) Collateralised deposit A collateralised deposit shall be reported as follows:

(a)

(i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r0070; c0010};

(ii) where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0070; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};

(iii) where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; *; c0010}, {AE-SOU; r0070; c0030} and {AE-SOU; r0070; c0040}.

(b) Repo/matching repos A repurchase agreement (hereinafter repo) shall be reported as follows:

(b)

(i) the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r0050; c0010};

(ii) the collateral of the repo shall be reported as follows:

where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0050; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};

where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0050; c0030} and in {AE-SOU; r0050; c0040}.

(c) Central bank funding As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in this point 14(a) and (b) apply. For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown shall be done on a proportional basis, based on the composition of the pool of collateral. Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank.

(d) Securities lending For securities lending with cash collateral the rules for repos/matching repos apply. Securities lending without cash collateral shall be reported as follows:

(d)

(i) the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; r0150; c0010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r0150; c0010} shall reported as zero;

(ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0150; c0030}; their fair value shall reported in {AE-ASS; *; c0040};

(iii) where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0150; c0030} and {AE-SOU; r0150; c0040}.

(e) Derivatives (liabilities) Collateralised derivatives with a negative fair value shall be reported as follows:

(e)

(i) the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r0020; c0010};

(ii) the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) shall be reported as follows:

where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0020; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};

where it is collateral received by the reporting institution, its fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0020; c0030} and {AE-SOU; r0020; c0040}.

(f) Covered bonds Covered bonds for the entire asset encumbrance reporting are instruments referred to in Article 52(4), first subparagraph, of Directive 2009/65/EU, irrespective of whether those instruments take the legal form of a security or not. No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution. In case of retention of part of the issuance and in order to avoid double counting, the following treatment shall apply: The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150. SOURCES OF ENCUMBRANCE Type Amount Cells Loans encumbered Cells Covered bonds 75 % (100) = 75 {AE-Sources, r110, c010} 75 % (150) = 112.5 {AE-Assets, r100, c010} {AE-Sources, r110, c030} Central bank funding 11 {AE-Sources, r060, c010} 10 % (150) = 15 {AE-Assets, r100, c010} {AE-Sources, r060, c030} NON ENCUMBRANCE Type Amount Cells Non-encumbered loans Cells Own covered bonds retained 15 % (100) = 15 {AE-Not pledged, r010, c040} 15 % (150) = 22.5 {AE-Assets, r100, c060} {AE-Not pledged, r020, c010}

(f)

(i) where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template;

(ii) where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged shall be included in the AE-ASS template as encumbered assets.

(g) Securitisations Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013. For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply. For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.

2.1.2. Instructions concerning specific rows Rows Legal references and instructions 0010 0015 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120

2.1.2. Assets of the reporting institution

IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered in its balance sheet.

Of which: qualifying fiduciary assets

Fiduciary assets which meet all the following conditions:

(a) they are recognised on the institution’s balance sheet by national generally accepted accounting principles, in accordance with Article 10 of Directive 86/635/EEC;

(b) they meet the criteria for non-recognition set out in International Financial Reporting Standard (IFRS) 9, as applied in accordance with Regulation (EC) No 1606/2002;

(c) they meet the criteria for non-consolidation set out in IFRS 10, as applied in accordance with Regulation (EC) No 1606/2002, where applicable.

Loans on demand

IAS 1.54 (i) Institutions shall report the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments shall be included in the row other assets.

Equity instruments

Equity instruments held by the reporting institution as defined in IAS 32.1.

Debt securities

Annex V, Part 1, point 31 Institutions shall report debt instruments held by the reporting institution issued as securities that are not loans in accordance with Regulation (EU) 2021/379.

of which: covered bonds

Debt securities held by the reporting institution that are bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC.

of which: securitisations

Debt securities held by the reporting institution that are securitisations as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013.

of which: issued by general governments

Debt securities held by the reporting institution which are issued by general governments.

of which: issued by financial corporations

Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part 1, point 42, points (c) and d).

of which: issued by non-financial corporations

Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part 1, point 42, point (e).

Loans and advances other than loans on demand

Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand.

of which: Loans collateralised with immovable property

Loans and advances other than loans on demand that are collateralised with immovable property according to Annex V, part 2, point 86.

Other assets

Assets of the reporting institution registered in the balance sheet other than those reported in rows 0020 to 0040 and 0100 and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution. In this case, own debt instruments shall be included in row 0240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting.

2.1.3. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0035 0040 0050 0055 0060 0070 0080 0085 0090 0100 0105

2.1.3. Carrying amount of encumbered assets

Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The carrying amount shall mean the amount reported in the asset side of the balance sheet.

of which: issued by other entities of the group

Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.

of which: central bank eligible

Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

of which notionally eligible EHQLA and HQLA

The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA). For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.

Fair value of encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).

of which: central bank eligible

Fair value of the encumbered debt securities held by the reporting institution, which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

of which notionally eligible EHQLA and HQLA

Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.

Carrying amount of non-encumbered assets

Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Carrying amount shall mean the amount reported in the asset side of the balance sheet.

of which: issued by other entities of the group

Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.

of which: central bank eligible

Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

of which EHQLA and HQLA

Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

Fair value of non-encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).

of which: central bank eligible

Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

of which EHQLA and HQLA

Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

2.2. Template: AE-COL. Collateral received by the reporting institution

2.2. 2.2.1.15.16.17.

General remarks For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or securitisations, the category of non-encumbered assets is split between those available for encumbrance or potentially eligible to be encumbered and those non-available for encumbrance. Assets are non-available for encumbrance when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held. For the purposes of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral shall be reported as collateral received.

2.2.2. Instructions concerning specific rows Rows Legal references and instructions 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0245 0250

2.2.2. Collateral received by the reporting institution

All classes of collateral received by the reporting institution

Loans on demand

Collateral received by the reporting institution that comprises loans on demand See legal references and instructions regarding row 0020 of the AE-ASS template.

Equity instruments

Collateral received by the reporting institution that comprises equity instruments See legal references and instructions regarding row 0030 of the AE-ASS template.

Debt securities

Collateral received by the reporting institution that comprises debt securities See legal references and instructions regarding row 0040 of the AE-ASS template.

of which: covered bonds

Collateral received by the reporting institution that comprises covered bonds See legal references and instructions regarding row 0050 of the AE-ASS template.

of which: securitisations

Collateral received by the reporting institution that comprises securitisations See legal references and instructions regarding row 0060 of the AE-ASS template.

of which: issued by general governments

Collateral received by the reporting institution that comprises debt securities issued by general governments See legal references and instructions regarding row 0070 of the AE-ASS template.

of which: issued by financial corporations

Collateral received by the reporting institution that comprises debt securities issued by financial corporations See legal references and instructions regarding row 0080 of the AE-ASS template.

of which: issued by non-financial corporations

Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations See legal references and instructions regarding row 0090 of the AE-ASS template.

Loans and advances other than loans on demand

Collateral received by the reporting institution that comprises loans and advances other than loans on demand See legal references and instructions regarding row 0100 of the AE-ASS template.

Other collateral received

Collateral received by the reporting institution that comprises other assets See legal references and instructions regarding row 0120 of the AE-ASS template.

Own debt securities issued other than own covered bonds or securitisations

Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, those securities shall not be included in the category of assets of the reporting institution (row 0010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row. Own covered bonds issued or own securitisations issued shall not be reported in this category since different rules apply to those cases to avoid double counting:

(a) where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged shall be reported in the AE-ASS template as encumbered assets;

(b) where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about that second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template.

Own covered bonds and securitisation issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:

(a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in Template AE-ASS (F 32.01) as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;

(b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in Template AE-ASS (F 32.01) as non-encumbered assets.

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.

2.2.3. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0035 0040 0050 0060 0065 0070

2.2.3. Fair value of encumbered collateral received or own debt securities issued

Institutions shall report the fair value of the collateral received or own debt securities they hold/retain, which are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).

of which: issued by other entities of the group

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation.

of which: central bank eligible

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

Fair value of collateral received or own debt securities issued available for encumbrance

Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.

of which: issued by other entities of the group

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance that are issued by any entity within the prudential scope of consolidation.

of which: central bank eligible

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance, which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

of which EHQLA and HQLA

Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

Nominal of collateral received or own debt securities issued non available for encumbrance

Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance. It shall include the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance.

2.3. Template: AE-NPL. Own covered bonds and securitisations issued and not yet pledged

2.3.

2.3.1.18. General remarks To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:

2.3.1.18.

(a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;

(b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.

2.3.2. Instructions concerning specific rows Rows Legal references and instructions 0010 0020 0030 0040 0050 0060

2.3.2. Own covered bonds and securitisations issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered.

Retained covered bonds issued

Own covered bonds issued that are retained by the reporting institution and not encumbered.

Retained securitisations issued

Own securitisations issued that are retained by the reporting institution and not encumbered.

Senior

Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered See Article 4(1), point (67), of Regulation (EU) No 575/2013.

Mezzanine

Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(1), point (67), of Regulation (EU) No 575/2013.

First loss

First loss tranches of the own securitisations issued that are retained by the reporting institution and are not encumbered. See Article 4(1), point (67), of Regulation (EU) No 575/2013.

2.3.3. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0035 0040

2.3.3. Carrying amount of the underlying pool of assets

Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged.

Fair value of debt securities issued available for encumbrance

Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance.

Of which: central bank eligible

Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions: Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

(a) they are non-encumbered;

(b) they are available for encumbrance;

of which notionally eligible EHQLA and HQLA

Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex XVII. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

Nominal of own debt securities issued non-available for encumbrance

Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance.

2.4. Template: AE-SOU. Sources of encumbrance

2.4.

2.4.1.19.20. General remarks This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral. The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r0170; c0030} = {AE-ASS; r0010; c0010} + {AE-COL; r0130; c0010} + {AE-COL; r0240; c0010}.

2.4.2. Instructions concerning specific rows Rows Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170

2.4.2. Carrying amount of selected financial liabilities

Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as those liabilities entail asset encumbrance for that institution

Derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as those derivatives entail asset encumbrance for that institution

of which: over-the-counter

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as those derivatives entail asset encumbrance.

Deposits

Carrying amount of the collateralised deposits of the reporting institution insofar as those deposits entail asset encumbrance for that institution.

Repurchase agreements

Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as those transactions entail asset encumbrance for that institution. Repurchase agreements (repos) shall be the transactions in which the reporting 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. The following variants of repo-type operations are all required to be reported as repurchase agreements:

(a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; and

(b) amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement.

of which: central banks

Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as those transactions entail asset encumbrance.

Collateralised deposits other than repurchase agreements

Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as those deposits entail asset encumbrance for that institution.

of which: central banks

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as those deposits entail asset encumbrance for that institution.

Debt securities issued

Carrying amount of the debt securities issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. The retained part of any issuance shall follow the specific treatment set out in Part A, point 15, point (vi), so that only the percentage of debt securities placed outside the entities of the group are to be included under this category.

of which: covered bonds issued

Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.

of which: securitisations issued

Carrying amount of the securitisations issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution.

Other sources of encumbrance

Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as those transactions entail asset encumbrance for that institution.

Nominal of loan commitments received

Nominal amount of the loan commitments received by the reporting institution, insofar as those commitments received entail asset encumbrance for that institution.

Nominal of financial guarantees received

Nominal amount of the financial guarantees received by the reporting institution, insofar as those guarantees received entail asset encumbrance for that institution.

Fair value of securities borrowed with non-cash collateral

Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as those transactions entail asset encumbrance for that institution.

Other

Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the items listed in rows 0130 to 0150, insofar as those transactions entail asset encumbrance for that institution.

TOTAL SOURCES OF ENCUMBRANCE

Amount of all collateralised transactions of the reporting institution insofar as those transactions entail asset encumbrance for that institution.

2.4.3. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0040 050

2.4.3. Matching liabilities, contingent liabilities or securities lent

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as those transactions entail asset encumbrance for that institution. Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be reported at their fair value.

of which: from other entities of the group

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance. For rules applying to amount types, see instructions for column 0010.

Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered

Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows. To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be reported at their fair value.

of which: collateral received re-used

Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows.

Of which: own debt securities encumbered

Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.

3. PART B: MATURITY DATA

3.

3.1.21. General remarks The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities’ residual maturity.

3.2. Template: AE-MAT. Maturity data

3.2.

3.2.1. Instructions concerning specific rows Rows Legal references and instructions 0010 0020 0030

3.2.1. Encumbered assets

For the purposes of this template, encumbered assets shall include all of the following: Those amounts shall be distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction).

(a) the assets of the reporting institution (see instruction for row 0010 of the AE-ASS template), which shall be reported at their carrying amount;

(b) own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which shall be reported at fair value.

Collateral received re-used (receiving leg)

See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg).

Collateral received re-used (re-using leg)

See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction.

3.2.2. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130

3.2.2. Open maturity

On demand, without a specific maturity date

Overnight

Due date earlier or equal to 1 day

> 1 day <=1wk

Due date later than 1 day and earlier than or equal to 1 week

wk <=2wks

Due date later than 1 week and earlier than or equal to 2 weeks

> 2wks <=1mth

Due date later than 2 weeks and earlier than or equal to 1 month

> 1mth <=3mths

Due date later than 1 month and earlier than or equal to 3 months

> 3mths <=6mths

Due date later than 3 months and earlier than or equal to 6 months

> 6mths <=1yr

Due date later than 6 months and earlier than or equal to 1 year

> 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years

> 2yrs <=3yrs

Due date later than 2 years and earlier than or equal to 3 years

> 3yrs <=5yrs

Due date later than 3 years and earlier than or equal to 5 years

> 5yrs <=10yrs

Due date later than 5 years and earlier than or equal to 10 years

> 10yrs Due date later than 10 years

4. PART C: CONTINGENT ENCUMBRANCE

4. 4.1.22.23.24.25.

General remarks Institutions shall present in this template the level of asset encumbrance that results in a number of stressed scenarios. Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In those cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution’s hedge transactions against the events described under the aforementioned stressed scenarios. This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in sections 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable estimate based on the best available information. The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently, institutions shall not take correlations between the scenarios into account.

4.1.22.23.24.

(a) Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant.

(b) A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution’s total liabilities.

4.1.22.23.24.25.

4.1.1.26.27. Scenario A: Decrease of 30 % of encumbered assets It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers. Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This shall include covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.

4.1.2.28.29.30.

Scenario B: Depreciation of 10 % in significant currencies A currency shall be a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution’s total liabilities. The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance. All transactions which have a cross-currency element shall be covered by this calculation.

4.2. Template: AE-CONT. Contingent encumbrance

4.2.

4.2.1.31. Instructions concerning specific rows See instructions concerning specific rows of the AE-SOU template in section 2.4.2. The content of the rows in AE-CONT template does not differ from the AE-SOU template.

4.2.2. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0040

4.2.2. Matching liabilities, contingent liabilities or securities lent

Same instructions and data as for column 0010 of the AE-SOU template; amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as those transactions entail asset encumbrance for that institution As referred for each row in the template, institutions shall report financial liabilities at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value.

Additional amount of encumbered assets Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A. Following the instructions laid down in Part A, institutions shall report those amounts at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution shall be reported at fair value.

Additional amount of encumbered assets. Significant currency 1 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B. See rules for amount types in row 0020.

Additional amount of encumbered assets. Significant currency 2 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B. See rules for amount types in row 0020.

5. PART D: COVERED BONDS

5.

5.1.32.33.34.

General remarks The information in this template shall be reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC. Those are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by the applicable law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest. Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates. The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme.

5.2. Template: AE-CB. Covered bonds issuance

5.2.

5.2.1. Instructions concerning z-axis z-axis Legal references and instructions 0010

5.2.1. Cover pool identifier (open)

The cover pool identifier shall consist of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures.

5.2.2. Instructions concerning specific rows Rows Legal references and instructions 0010 0020 0030 0040

5.2.2. Nominal amount

Nominal amount shall be the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime’s rules that apply for determining sufficient coverage.

Present value (swap)/Market value

Present value (swap) shall be the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime’s rules that apply for determining sufficient coverage. For columns 0080 and 0210 referring to cover pool derivative positions, the market value shall be reported.

Asset-specific value

The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve.

Carrying amount

Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value at the covered bond issuer.

5.2.3. Instructions concerning specific columns Columns Legal references and instructions 0010 0012 0020-0140 0020 0030 0040-0070 0080 0090-0140 0090 0100 0110, 130 0120, 0140 0150-0250 0150 0160 0170-0200 0210 0220-0250 0220 0230-0250 0230 0240-0250

5.2.3. Compliance with Article 129 of Regulation (EU) No 575/2013? [YES/NO]

Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of Regulation (EU) No 575/2013 in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation.

If YES, indicate primary asset class of the cover pool

If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of Regulation (EU) No 575/2013 (answer YES in column 0011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for that purpose and codes a, b, c, d, e, f and g shall be indicated accordingly. Code h will be applied when the primary asset class of the cover pool does not fall under any of the previous categories.

Covered bond liabilities

Covered bond liabilities shall be the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime).

Reporting date

Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.

+ 6 months The date + 6 months shall be the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity shall be used in a consistent manner.

+ 12 months – + 10 years

As for + 6 months (column 0030) for the respective point in time from the reporting reference date

Cover pool derivative positions with net negative market value

Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets. The net negative market value shall be reported for the reporting reference date only.

External credit rating on covered bond

Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date.

Credit rating agency 1

If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of those credit rating agencies. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence.

Credit rating 1

The credit rating issued by the credit rating agency reported in column 0090 on the covered bond as of the reporting reference date If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating shall be reported. The credit rating to be reported shall include any modifiers.

Credit rating agency 2 and credit rating agency 3

As for credit rating agency 1 (column 0090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date

Credit rating 2 and credit rating 3

As for credit rating 1 (column 0100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date

Cover pool

The cover pool shall consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures.

Reporting date

Amounts of assets in the cover pool, excluding cover pool derivative positions This amount shall include minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.

+ 6 months The reporting date + 6 months shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts assuming no change in cover pool compared to the reporting date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity shall be used in a consistent manner.

+ 12 months – + 10 years

As for + 6 months (column 0160) for the respective point in time from the reporting reference date

Cover pool derivative positions with net positive market value

The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer’s general insolvency estate. The net positive market value shall be reported for the reporting date only.

Cover pool amounts in excess of minimum coverage requirements

Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation)

As per the relevant statutory covered bond regime

Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime

As per credit rating agencies’ methodology to maintain current external credit rating on covered bond

Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency’s methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency

Credit rating agency 1

Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 0090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 0100).

Credit rating agency 2 and credit rating agency 3

The instructions for credit rating agency 1 (column 0230) shall also apply to credit rating agency 2 (column 0110) and credit rating agency 3 (column 0130).

6. PART E: ADVANCED DATA

6.

6.1.35. General remarks Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist.

6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution

6.2.

6.2.1. Instructions concerning specific rows Rows 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

6.2.1. Central bank funding (of all types, including repos)

All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank. Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank.

Exchanged traded derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution.

Over-the counter derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are traded over-the-counter and they entail asset encumbrance for that institution; same instruction in row 030 of the AE-SOU template.

Repurchase agreements

Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase agreements insofar as those transactions entail asset encumbrance for the reporting institution.

Collateralised deposits other than repurchase agreements

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those deposits entail asset encumbrance for that institution.

Covered bonds securities issued

See instructions in row 0100 of the AE-SOU template.

Securitisations issued

See instructions in row 0110 of the AE-SOU template.

Debt securities issued other than covered bonds and securitisations

Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as those securities issued entail asset encumbrance for that institution In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, those retained securities shall not be included under this item. Additionally, the collateral assigned to them shall be classified as non-encumbered for the purposes of this template.

Other sources of encumbrance

See instructions in row 0120 of the AE-SOU template.

Total encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered

of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

Total non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered. The carrying amount shall mean the amount reported in the asset side of the balance sheet.

of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and which are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

Encumbered + non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution.

6.2.2. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180

6.2.2. Loans on demand

See instructions for row 0020 of the AE-ASS template.

Equity instruments

See instructions for row 0030 of the AE-ASS template.

Total

See instructions for row 0040 of the AE-ASS template.

of which: covered bonds

See description instructions for row 0050 of the AE-ASS template.

of which: issued by other entities of the group

Covered bonds as described in the instructions for row 0050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation

of which: securitisations

See instructions for row 0060 of the AE-ASS template.

of which: issued by other entities of the group

Securitisations as described in the instructions for row 0060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.

of which: issued by general governments

See instructions for row 0070 of the AE-ASS template.

of which: issued by financial corporations

See instructions for row 0080 of the AE-ASS template.

of which: issued by non-financial corporations

See instructions for row 0090 of the AE-ASS template.

Central banks and general governments

Loans and advances other than loans on demand to a central bank or a general government

Financial corporations

Loans and advances other than loans on demand to financial corporations

Non-financial corporations

Loans and advances other than loans on demand to non-financial corporations

of which: Loans collateralised with immovable property

Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to non-financial corporations

Households

Loans and advances other than loans on demand given to households

of which: Loans collateralised with immovable property

Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households

Other assets

See instruction for row 120 of the AE-ASS template.

Total

See instruction for row 010 of the AE-ASS template.

6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting institution

6.3.

6.3.1.36. Instructions concerning specific rows See section 6.2.1 as instructions are similar for both templates.

6.3.2. Instructions concerning specific columns Columns Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190

6.3.2. Loans on demand

See instructions for row 0140 of the AE-COL template.

Equity instruments

See instructions for row 0150 of the AE-COL template.

Total

See instructions for row 0160 of the AE-COL template.

of which: covered bonds

See instructions in row 0170 of the AE-COL template.

of which: issued by other entities of the group

Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation

of which: securitisations

See instructions for row 0180 of the AE-COL template.

of which: issued by other entities of the group

Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation

of which: issued by general governments

See instructions for row 0190 of the AE-COL template.

of which: issued by financial corporations

See instructions for row 0200 of the AE-COL template.

of which: issued by non-financial corporations

See instructions for row 0210 of the AE-COL template.

Central banks and general governments

Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government

Financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations

Non-financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations

of which: Loans collateralised with immovable property

Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand

Households

Collateral received by the reporting institution that are loans and advances other than loans on demand given to households

of which: Loans collateralised with immovable property

Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households

Other assets

See instructions for row 0230 of the AE-COL template.

Own debt securities issued other than own covered bonds or securitisations

See instructions for row 0240 of the AE-COL template.

Total

See instructions for rows 0130 and 0140 of the AE-COL template.

ANNEX V

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

AMM TEMPLATES Template number Template code Name of the template /group of templates ADDITIONAL MONITORING TOOLS TEMPLATES 67 C 67.00 CONCENTRATION OF FUNDING BY COUNTERPARTY 68 C 68.00 CONCENTRATION OF FUNDING BY PRODUCT TYPE 69 C 69.00 PRICES FOR VARIOUS LENGTHS OF FUNDING 70 C 70.00 ROLL-OVER OF FUNDING Concentration of funding by counterparty Counterparty Name Code Type of code National code Counterparty Sector Residence of Counterparty Product Type Amount Received Weighted average original maturity Weighted average residual maturity Row ID 0010 0015 0016 0017 0030 0040 0050 0060 0070 0080 0010 TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES 0020 1.01 0030 1.02 0040 1.03 0050 1.04 0060 1.05 0070 1.06 0080 1.07 0090 1.08 0100 1.09 0110 1.10 0120 ALL OTHER FUNDING Concentration of funding by product type Row ID Product Name Carrying amount received Amount covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country Weighted average original maturity Weighted average residual maturity 0010 0020 0030 0040 0050 0010 1 RETAIL FUNDING 0020 1.1 of which sight deposits 0031 1.2 of which term deposits not withdrawable within the following 30 days 0041 1.3 of which term deposits withdrawable within the following 30 days 0070 1.4 Savings accounts 0080 1.4.1 with a notice period for withdrawal greater than 30 days 0090 1.4.2 without a notice period for withdrawal greater than 30 days 0100 2 WHOLESALE FUNDING 0110 2.1 Unsecured wholesale funding 0120 2.1.1 of which loans and deposits from financial customers 0130 2.1.2 of which loans and deposits from non financial customers 0140 2.1.3 of which loans and deposits from intra-group entities 0150 2.2 Secured wholesale funding 0160 2.2.1 of which SFTs 0170 2.2.2 of which covered bond issuance 0180 2.2.3 of which asset backed security issuance 0190 2.2.4 of which financial liabilities other than derivatives and short positions from intra-group entities Prices for various lengths of funding Overnight 1 week 1 month 3 months 6 months 1 year 2 years 5 years 10 years Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Spread Volume Row ID Item 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0010 1 Total Funding 0020 1.1 Retail funding 0030 1.2 Unsecured wholesale funding 0035 1.2.1 of which: Senior unsecured securities 0045 1.3 Secured funding (non-Central Bank) 0065 1.3.1 of which: Covered bonds 0075 1.3.2 of which: Asset backed securities including ABCP 0080 1.4 Other funding Roll-over of funding Overnight > 1 day ≤ 7 days > 7 days ≤ 14 days > 14 days ≤ 1 month > 1 Month ≤ 3 Months > 3 Months ≤ 6 Months > 6 Months Total net cashflows Average Term (days) Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Roll over New Funds Net Maturing Funds Term Roll-over Funds Term New Funds Term Row ID Day Item 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 0010 1.1 1 Total funding 0020 1.1.1 Retail funding 0030 1.1.2 Unsecured wholesale funding 0040 1.1.3 Secured funding 0050 1.2 2 Total funding 0060 1.2.1 Retail funding 0070 1.2.2 Unsecured wholesale funding 0080 1.2.3 Secured funding 0090 1.3 3 Total funding 0100 1.3.1 Retail funding 0110 1.3.2 Unsecured wholesale funding 0120 1.3.3 Secured funding 0130 1.4 4 Total funding 0140 1.4.1 Retail funding 0150 1.4.2 Unsecured wholesale funding 0160 1.4.3 Secured funding 0170 1.5 5 Total funding 0180 1.5.1 Retail funding 0190 1.5.2 Unsecured wholesale funding 0200 1.5.3 Secured funding 0210 1.6 6 Total funding 0220 1.6.1 Retail funding 0230 1.6.2 Unsecured wholesale funding 0240 1.6.3 Secured funding 0250 1.7 7 Total funding 0260 1.7.1 Retail funding 0270 1.7.2 Unsecured wholesale funding 0280 1.7.3 Secured funding 0290 1.8 8 Total funding 0300 1.8.1 Retail funding 0310 1.8.2 Unsecured wholesale funding 0320 1.8.3 Secured funding 0330 1.9 9 Total funding 0340 1.9.1 Retail funding 0350 1.9.2 Unsecured wholesale funding 0360 1.9.3 Secured funding 0370 1.10 10 Total funding 0380 1.10.1 Retail funding 0390 1.10.2 Unsecured wholesale funding 0400 1.10.3 Secured funding 0410 1.11 11 Total funding 0420 1.11.1 Retail funding 0430 1.11.2 Unsecured wholesale funding 0440 1.11.3 Secured funding 0450 1.12 12 Total funding 0460 1.12.1 Retail funding 0470 1.12.2 Unsecured wholesale funding 0480 1.12.3 Secured funding 0490 1.13 13 Total funding 0500 1.13.1 Retail funding 0510 1.13.2 Unsecured wholesale funding 0520 1.13.3 Secured funding 0530 1.14 14 Total funding 0540 1.14.1 Retail funding 0550 1.14.2 Unsecured wholesale funding 0560 1.14.3 Secured funding 0570 1.15 15 Total funding 0580 1.15.1 Retail funding 0590 1.15.2 Unsecured wholesale funding 0600 1.15.3 Secured funding 0610 1.16 16 Total funding 0620 1.16.1 Retail funding 0630 1.16.2 Unsecured wholesale funding 0640 1.16.3 Secured funding 0650 1.17 17 Total funding 0660 1.17.1 Retail funding 0670 1.17.2 Unsecured wholesale funding 0680 1.17.3 Secured funding 0690 1.18 18 Total funding 0700 1.18.1 Retail funding 0710 1.18.2 Unsecured wholesale funding 0720 1.18.3 Secured funding 0730 1.19 19 Total funding 0740 1.19.1 Retail funding 0750 1.19.2 Unsecured wholesale funding 0760 1.19.3 Secured funding 0770 1.20 20 Total funding 0780 1.20.1 Retail funding 0790 1.20.2 Unsecured wholesale funding 0800 1.20.3 Secured funding 0810 1.21 21 Total funding 0820 1.21.1 Retail funding 0830 1.21.2 Unsecured wholesale funding 0840 1.21.3 Secured funding 0850 1.22 22 Total funding 0860 1.22.1 Retail funding 0870 1.22.2 Unsecured wholesale funding 0880 1.22.3 Secured funding 0890 1.23 23 Total funding 0900 1.23.1 Retail funding 0910 1.23.2 Unsecured wholesale funding 0920 1.23.3 Secured funding 0930 1.24 24 Total funding 0940 1.24.1 Retail funding 0950 1.24.2 Unsecured wholesale funding 0960 1.24.3 Secured funding 0970 1.25 25 Total funding 0980 1.25.1 Retail funding 0990 1.25.2 Unsecured wholesale funding 1000 1.25.3 Secured funding 1010 1.26 26 Total funding 1020 1.26.1 Retail funding 1030 1.26.2 Unsecured wholesale funding 1040 1.26.3 Secured funding 1050 1.27 27 Total funding 1060 1.27.1 Retail funding 1070 1.27.2 Unsecured wholesale funding 1080 1.27.3 Secured funding 1090 1.28 28 Total funding 1100 1.28.1 Retail funding 1110 1.28.2 Unsecured wholesale funding 1120 1.28.3 Secured funding 1130 1.29 29 Total funding 1140 1.29.1 Retail funding 1150 1.29.2 Unsecured wholesale funding 1160 1.29.3 Secured funding 1170 1.30 30 Total funding 1180 1.30.1 Retail funding 1190 1.30.2 Unsecured wholesale funding 1200 1.30.3 Secured funding 1210 1.31 31 Total funding 1220 1.31.1 Retail funding 1230 1.31.2 Unsecured wholesale funding 1240 1.31.3 Secured funding

ANNEX VI

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

1. Additional Monitoring Tools

1.

1.1.1.2.3.4.5.6.7.8.9.

General [empty] Total funding shall be all financial liabilities other than derivatives and short positions; Funding of any type with open maturity including on sight deposits shall be considered as maturing overnight. Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with point 12 of Annex XXIII. This means that in case of optionality such as in the case of point 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination. Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with point 12 of Annex XXIII. For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight or funding of any type with open maturity shall be considered to have a one day maturity. For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed. For perpetual liabilities, except where subject to optionality as referred to in point12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed. For calculating the percentage threshold referred to in templates C 67.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies.

1.2.1.2.3.4.5.6.7.8.

Concentration of funding by counterparty (C 67.00) In order to collect information about the reporting institutions’ concentration of funding by counterparty in template C 67.00, institutions shall apply the instructions contained in this Section. Institutions shall report the top ten largest counterparties or a group of connected clients as defined in Article 4(1), point (39), of Regulation (EU) No 575/2013, where the funding obtained from each counterparty or group of connected clients exceeds a threshold of 1 % of total liabilities in rows 020 to 110 of Section 1 of the template. The counterparty reported in item 1.01 shall be the largest amount of funding received from one counterparty or group of connected clients, which is above the 1 % threshold as at the reporting date. Item 1.02 shall be the second largest above the 1 % threshold, and similarly with the remaining items. Where a counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the highest amount of funding. Institutions shall report the total of all other remaining funding in Section 2 The sum of Section 1 (Top ten Counterparties) and Section 2 (All other funding) shall equal an institution’s total funding as per its balance sheet reported under the financial reporting framework (FINREP - representing financial liabilities adjusted for the exclusion of derivatives and short positions, in line with point2 from Section 1.1) for those reporting periods in which both reports are available (e.g. Finrep Q1 and C 67.00 March/Q1). For each counterparty, institutions shall report all of the columns 0010 to 0080. Where funding is obtained in more than one product type, the type reported shall be the product in which the largest proportion of funding was obtained. Identification of the underlying holder of securities may be undertaken on a best efforts basis. Where an institution has information concerning the holder of securities by virtue of its role as the custodian bank, it shall consider that amount for reporting the concentration of counterparties. Where there is no information available on the holder of the securities, the corresponding amount does not have to be reported. Instructions concerning specific columns: Column Legal references and instructions 0010 0015 0016 0017 0030 0040 0050 0060 0070 0080

Counterparty Name

The name of each counterparty from which funding obtained exceeds 1 % of total liabilities shall be recorded in column 0010 in descending order, that is, in the order of the size of funding obtained. The name of the counterparty, whether a legal entity or a natural person, shall be reported. Where the counterparty is a legal entity, the counterparty name recorded shall be the full name of the legal entity from which the funding is derived including any references to the company type in accordance with the national company law. In the cases where the group of connected clients does not have a parent, the counterparty that shall be reported shall be the individual entity, which is considered by the institution as the most significant within the group of connected clients. In any other case, it shall correspond to the individual counterparty.

Code

This code is a row identifier and shall be unique for each counterparty. For institutions and insurance undertakings the code shall be the legal entity identifier (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 0015 as a LEI code or Non-LEI code. The type of code shall always be reported.

National code

Institutions may additionally report the national code when they report LEI code as identifier as in the Code column.

Counterparty Sector

One sector shall be allocated to each counterparty on the basis of following [FINREP] economic sector classes (part 1, Annex V to this Implementing Regulation): (i) Central Banks; (ii) General Governments; (iii) Credit institutions; (iv) Other financial corporations; (v) Non-financial corporations; (vi) Households. For groups of connected clients, no sector shall be reported.

Residence of Counterparty

ISO code 3166-1-alpha-2 of the country of incorporation of the counterparty shall be used, including pseudo-ISO codes for international organisations, available in the most recent edition of the Eurostat’s Balance of Payments Vademecum. For groups of connected clients, no country shall be reported.

Product Type

Counterparties reported in column 0010 shall be assigned a product type, corresponding to the product issued in which the funding was received or in which the largest proportion of funding was received for mixed product types, using the following codes indicated in bold:

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

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

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

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

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

CBM (Central bank funding related to monetary policy operations)

IGUWF (unsecured wholesale funding obtained from intragroup counterparties)

IGSWF (secured wholesale funding obtained from intragroup counterparties)

OSWF (other secured wholesale funding)

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

Amount Received

The total amount of funding received from counterparties reported in column 0010 shall be recorded in column 0060 and institutions shall report carrying amounts therein.

Weighted average original maturity

For the amount of funding received reported in column 0060, from the counterparty reported in column 0010, a weighted average original maturity (in days) for that funding shall be recorded in column 0070. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty. For perpetual liabilities institutions shall consider a fixed 20 years maturity and a 1 day maturity for on-demand deposits.

Weighted average residual maturity

For the amount of funding received reported in column 0060, from the counterparty reported in column 0010, a weighted average residual maturity, in days, for that funding shall be recorded in column 0080. The weighted average residual maturity shall be calculated as the average maturity, in remaining days, of the funding received from that counterparty. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from that counterparty. For perpetual liabilities institutions shall consider a fixed 20 years maturity and a 1 day maturity for on-demand deposits.

1.3.1.1.11.21.31.41.4.11.4.22.12.1.12.1.22.1.32.22.2.12.2.22.2.32.2.43.4.5.6.

Concentration of funding by product type (C 68.00) This template collects information about the reporting institutions’ concentration of funding by product type, broken down into the funding types as specified in the following instructions regarding rows: Row Legal references and instructions 0010 0020 of which sight deposits; Of the retail funding of row 0010 those that are sight deposits. 0031 of which term deposits not withdrawable within the following 30 days; Of the retail funding of row 0010 those that are term deposits not withdrawable within the following 30 days. 0041 of which term deposits withdrawable within the following 30 days; Of the retail funding of row 0010 those that are term deposits withdrawable within the following 30 days. 0070 Savings accounts Of the retail funding of row 0010 those that are savings accounts with either of the following characteristics: This row shall not be reported. 0080 with a notice period for withdrawal greater than 30 days; Of the retail funding of row 0010 those that are savings accounts with a notice period for withdrawal greater than 30 days 0090 without a notice period for withdrawal which is greater than 30 days Of the retail funding of row 0010 those that are savings accounts without a notice period for withdrawal which is greater than 30 days. 0100 0110 Unsecured wholesale funding; All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, where the funding is unsecured. 0120 of which loans and deposits from financial customers; Of the funding in row 0110, those that consist of loans and deposits from financial customers. Funding from central banks shall be excluded from this row. 0130 of which loans and deposits from non-financial customers; Of the funding in row 0110, those that consist of loans and deposits from non-financial customers. Funding from central banks shall be excluded from this row. 0140 of which loans and deposits from intra-group entities; Of the funding in row 0110, those that consist of loans and deposits from intra-group entities, where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis. 0150 Secured wholesale funding; All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, where the funding is secured. 0160 of which Securities Financing Transactions; Of the funding in row 0150, that which is funding obtained from repurchase agreements as defined in Article 4(1), point (82), of Regulation (EU) No 575/2013. 0170 of which covered bond issuances; Of the funding in row 0150, that which is funding obtained from covered bond issuance as defined in Article 129(4) or (5) of Regulation (EU) No 575/2013, or referred to in Article 52(4) of Directive 2009/65/EC. 0180 of which asset backed security issuances; Of the funding in row 0150, that which is funding obtained from asset backed security issuance including asset backed commercial paper. 0190 of which financial liabilities other than derivatives and short positions from intra-group entities. Of the funding in row 0150, that which is funding obtained from intra-group entities, where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU. Wholesale funding from intra-group entities shall only be reported on a solo or subconsolidated basis. For each product type, institutions shall report all of the columns 0010 to 0050. The figures reported in rows 1. Retail, 2.1 Unsecured wholesale funding, 2.2 Secured wholesale funding can include broader product types than the underlying of which items. Equity shall not be reported in this template. Instructions concerning specific columns: Column Legal references and instructions 0010 0020 0030 0040 0050

1.3.1.

1. Retail funding Retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013, and retail bonds as referred to in Article 28(6), of Commission Delegated Regulation (EU) 2015/61.

with a notice period for withdrawal greater than 30 days

without a notice period for withdrawal which is greater than 30 days.

1.3.1.1.11.21.31.41.4.11.4.2

2. Wholesale funding All counterparties other than those of retail deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013. This row shall not be reported.

1.3.1.1.11.21.31.41.4.11.4.22.12.1.12.1.22.1.32.22.2.12.2.22.2.32.2.43.4.5.6. Carrying amount received

Carrying amount of funding received for each of the product types listed in the Product name column shall be reported in column 0010 of the template

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

Of the total amount of funding received for each of the product types listed in the Product name column reported in column 0010, the amount which is covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 0020 and column 0030, for each of the product categories listed in the Product name column, shall be equal to the total amount received reported in column 0010.

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

Of the total amount of funding received for each of the product types listed in the Product name column reported in column 0010, the amount which is not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country. Note: the amounts reported in column 0020 and column 0030, for each of the product types listed in the Product name column, shall be equal to the total amount received reported in column 0010.

Weighted average original maturity

For the amount of funding received reported in column 0010, from the product types listed in the Product name column, a weighted average original maturity (in days) for that funding shall be recorded in column 0040. The weighted average original maturity shall be calculated as the average original maturity (in days) of the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion to the total funding received from all issuances of that product type.

Weighted average residual maturity

For the amount of funding received reported in column 0010, from the product types listed in the Product name column, a weighted average residual maturity (in days) for that funding shall be recorded in column 0050. The weighted average residual maturity shall be calculated as the average maturity (in days) left on the funding received for that product type. The average shall be size weighted, based on the size of different amounts of funding received in proportion, to the total funding received from all issuances of that product type.

1.4.1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.

Prices for Various Lengths of Funding (C 69.00) Institutions shall report the information about the transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period in template C 69.00 in accordance with the following original maturities: In case of currency revaluations, no new funding is obtained in the original currency and the reporting institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a positive increment caused by the currency revaluation is not reported in this template. Funding sources with original maturity above 10 years shall not be reported. For the purposes of determining the maturity of the funding obtained, institutions shall ignore the period between trade date and settlement date, e.g. a three-month liability settling in two weeks’ time shall be reported in the 3 months maturity (columns 0070 and 0080). The spread reported in the left hand column of each time bucket shall be one of the following: the spread payable by the institution for liabilities less than or equal to one year, if they were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction; the spread payable by the firm at issuance for liabilities with an original maturity greater than one year, were they to be swapped to the relevant three month benchmark index for the appropriate currency (e.g. such as 3M euribor for EUR), no later than close of business on the day of the transaction. Solely for the purposes of spread calculation under points a) and b) above, on the basis of historical experience, the institution may determine the original maturity with or without taking into account optionality, as appropriate. Spreads shall be reported in basis points with a negative sign in case the new funding is cheaper than under the relevant benchmark rate. They shall be calculated on a weighted average basis. For the purposes of calculating the average spread payable across multiple issuances/deposits/loans, institutions shall calculate the total cost in the currency of issue ignoring any FX swap, but they shall include any premium or discount and fees payable or receivable, taking as a basis the term of any theoretical or actual interest rate swap matching the term of the liability. The spread shall be the liability rate minus the swap rate. The amount of funding obtained for the funding categories listed in the Item column shall be reported in the volume column of the applicable time bucket. In the column volume, institutions shall provide the amounts representing the carrying amount of the new funding obtained in the applicable time bucket in accordance with original maturity. As for all items, also for off-balance sheet commitments, institutions shall only report the related amounts reflected in the balance sheet. An off-balance sheet commitment provided to the institution shall only be reported in C 69.00 after a drawdown. In the case of a drawdown, the volume and spread to be reported shall be the amount drawn and applicable spread at the end of the reporting period. Where the drawdown cannot be rolled-over at the discretion of the institution, the actual maturity of the drawdown shall be reported. Where the institution has already drawn on the facility at the end of the previous reporting period, and where the institution subsequently increases the usage of the facility, only the additional amount drawn shall be reported. Deposits placed by retail customers shall consist of deposits as defined in Article 411, point (2), of Regulation (EU) No 575/2013. For funding that has rolled over during the reporting period that is still outstanding at the end of the reporting period the average of spreads applying at that time (i.e. end of reporting period) shall be reported. For the purposes of C 69.00, funding that rolled over and is still there at the end of the reporting period shall be considered to represent new funding. By way of deviation from the rest of Section 1.4, the volume and spread of sight deposits shall only be reported where the depositor did not have a sight deposit in the preceding reporting period or where there is an increase in the deposit amount compared to the previous reference date, in which case the increment shall be treated as new funding. The spread shall be that of the end of the period. Where there is nothing to report, cells relating to spreads shall be left empty. Equity shall not be reported in this template. Instructions concerning specific rows: Row Legal references and instructions 0010 0020 0030 0035 0045 0065 0075 0080

1.4.1.

(a) overnight in columns 0010 and 0020;

(b) greater than overnight and less than or equal to 1 week in columns 0030 and 0040;

(d) greater than 1 month and less than or equal to 3 months in columns 0070 and 0080;

(e) greater than 3 months and less than or equal to 6 months in columns 0090 and 0100;

(f) greater than 6 months and less than or equal to 1 year in columns 0110 and 0120;

(g) greater than 1 year and less than or equal to 2 years in columns 0130 and 0140;

(h) greater than 2 years and less than or equal to 5 years in columns 0150 and 0160;

(i) greater than 5 years and less than or equal to 10 years in columns 0170 and 0180.

1.4.1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.

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

1

(a) overnight in columns 0010 and 0020;

(b) greater than overnight and less than or equal to 1 week in columns 0030 and 0040;

(d) greater than 1 month and less than or equal to 3 months in columns 0070 and 0080;

(e) greater than 3 months and less than or equal to 6 months in columns 0090 and 0100;

(f) greater than 6 months and less than or equal to 1 year in columns 0110 and 0120;

(g) greater than 1 year and less than or equal to 2 years in columns 0130 and 0140;

(h) greater than 2 years and less than or equal to 5 years in columns 0150 and 0160;

(i) greater than 5 years and less than or equal to 10 years in columns 0170 and 0180.

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

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

1.2.1 of which: Senior unsecured securities Of the unsecured wholesale funding reported in item 1.2, the total volume and weighted average spread rate of senior unsecured securities obtained.

1.3 Secured funding (non-Central Bank) Of the total funding reported in item 1, the total volume and weighted average spread of secured funding obtained from a counterparty, which is not a Central Bank.

1.3.1 of which: Covered bonds Of the secured funding reported in item 1.3, the total volume and weighted average spread of all covered bond issuance encumbering the institutions own assets.

1.3.2 of which: Asset backed securities including ABCP Of the secured funding reported in item 1.3, the total volume and weighted average spread of asset backed securities issued including asset backed commercial paper.

1.4 Other funding Of the total funding reported in item 1, the total volume and weighted average spread of funding not included in items 1.1 to 1.3, including secured funding from Central Banks.

1.5.1.2.3.4.5.6.7.8.9.10.11.12.

Roll-over of funding (C 70.00) This template collects information about the volume of funds maturing and new funding obtained i.e. roll-over of funding on a daily basis over the month preceding the reporting date. Institutions shall report, in calendar days, the funding they have maturing in accordance with the following time buckets in accordance with the original maturity: For each time bucket described in point2, the amount maturing shall be reported in the left-hand column, the amount funds rolled over shall be reported in the Roll over column, new funds obtained shall be reported in the New Funds column and the net difference between new funds on the one hand and roll-over minus maturing funds on the other shall be reported in the right-hand column. Total net cash flows shall be reported in column 290 and shall equal the sum of all Net columns numbered 0040, 0080, 0120, 0160, 0200, 0240 and 0280. The average term of funding, in days, for maturing term funds shall be reported in column 0300. The average term of funding, in days, of funds rolled over shall be reported in column 0310 The average term of funding, in days, for new term funds shall be reported in column 0320. The Maturing amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It shall always be reported with a positive sign. The Roll-over amount shall comprise the maturing amount as defined in points 2 and 3 that remains with the institution on the relevant day of the reporting period. It shall always be reported with a positive sign. Where the maturity of the funding has changed due to the roll-over event, the roll-over amount shall be reported in a time bucket in accordance with the new maturity. The New funds amount shall comprise actual inflows of funding on the relevant day in the reporting period. It shall always be reported with a positive sign. The Net amount shall be considered as a change of funding within a particular original maturity time band on the relevant day of the reporting period, and shall be calculated by adding in the net column the new funds plus the roll over funds minus the maturing funds. Instructions concerning specific columns: Column Legal references and instructions 0010 to 0040 0050 to 0080 0090 to 0120 0130 to 0160 0170 to 0200 0210 to 0240 0250 to 0280 0290 0300 to 0320

1.5.1.2.

(a) overnight in columns 0010 to 0040;

(b) between 1 and 7 days in columns 0050 to 0080;

(d) between 14 and 1 month in columns 0130 to 0160;

(e) between 1 and 3 months in columns 0170 to 0200;

(f) between 3 and 6 months in columns 0210 to 0240;

(g) in more than 6 months in columns 0250 to 0280.

1.5.1.2.3.4.5.6.7.8.9.10.11.12. Overnight

The total amount of funding maturing on the relevant day of the reporting period with an overnight original maturity shall be reported in column 0010 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an overnight original maturity shall be reported in column 0020 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an overnight original maturity shall be reported in column 0030 of line item 1.1-1.31. The net difference between, on the one hand, maturing daily funding and, on the other hand, roll-overs plus new daily funding obtained shall be reported in column 0040 of line item 1.1-1.31.

> 1 day ≤ 7 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 0050 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 0060 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one day and one week shall be reported in column 0070 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 0080 of line item 1.1-1.31.

> 7days ≤ 14 days

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 0090 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 0100 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one week and two weeks shall be reported in column 0110 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0120 of line item 1.1-1.31.

> 14 days ≤ 1 month

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 0130 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 0140 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between two weeks and one month shall be reported in column 0150 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained shall be reported in column 0160 of line item 1.1-1.31.

> 1 Month ≤ 3 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 0170 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 0180 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between one month and three months shall be reported in column 0190 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0200 of line item 1.1-1.31.

> 3 Months ≤ 6 Months

The total amount of funding maturing on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 0210 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 0220 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity between three months and six months shall be reported in column 0230 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0240 of line item 1.1-1.31.

> 6 Months The total amount of funding maturing on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 0250 of line item 1.1-1.31. For months with less than 31 days as well as for weekends, irrelevant lines shall be left empty. The total amount of funding rolled-over on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 0260 of line item 1.1-1.31. The total amount of new funding obtained on the relevant day of the reporting period with an original maturity beyond six months shall be reported in column 0270 of line item 1.1-1.31. The net difference between, on the one hand, maturing funding and, on the other hand, roll-overs plus new funding obtained, shall be reported in column 0280 of line item 1.1-1.31.

Total net cash flows

The total net cash flows equal to the sum of all Net columns numbered 0040, 0080, 0120, 0160, 0200, 0240, 0280, shall be reported in column 0290.

Average Term (days)

The weighted average term, in days, of all funds maturing shall be reported in column 0300. The weighted average term, in days, of all funds rolled over shall be reported in column 0310, the weighted average term, in days, of all new funds shall be reported in column 0320.

ANNEX VII

ANNEX XX REPORTING ON COUNTERBALANCING CAPACITY C 71.00 - CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER 1.2. Total and significant currencies

AMM TEMPLATES Template number Template code Name of the template /group of templates CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATES 71 C 71.00 CONCENTRATION OF COUNTERBALANCING CAPACITY BY ISSUER Concentration of counterbalancing capacity by issuer Issuer LEI code Issuer Sector Residence of Issuer Product Type Currency Credit quality step MtM value/nominal Collateral value CB-eligible Row ID 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 TOP TEN ISSUERS 0020 1.01 0030 1.02 0040 1.03 0050 1.04 0060 1.05 0070 1.06 0080 1.07 0090 1.08 0100 1.09 0110 1.10 0120 ALL OTHER ITEMS USED AS COUNTERBALANCING CAPACITY

ANNEX VIII

ANNEX XXI INSTRUCTIONS FOR COMPLETING THE CONCENTRATION OF COUNTERBALANCING CAPACITY TEMPLATE (C 71.00) OF ANNEX XX

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

In order to collect information about the reporting institutions’ concentration of counterbalancing capacity by the ten largest holdings of assets or liquidity lines granted to the institution for this purpose under template C 71.00, institutions shall apply the instructions contained in this Annex. Where an issuer or counterparty is assigned to more than one product type, currency or credit quality step, the total amount shall be reported. The product type, currency or credit quality step to be reported shall be the ones that are relevant to the largest proportion of the counterbalancing capacity concentration. The counterbalancing capacity in C 71.00 shall be the same as that in C 66.01 with the qualification that the assets reported as counterbalancing capacity for the purposes of C 71.00 shall be unencumbered to be available for the institution to convert into cash on the reporting reference date. For calculating the concentrations for the purpose of reporting template C 71.00 by significant currency, institutions shall use the concentrations in all currencies. When an issuer or counterparty belongs to several groups of connected clients, it shall be reported only once in the group with the higher counterbalancing capacity concentration. Except for row 0120, concentrations of counterbalancing capacity with a central bank as issuer or counterparty shall not be reported in this template. In the event that an institution has pre-positioned assets at a central bank for standard liquidity operations and to the extent that these assets fall under the top ten issuers or counterparties of unencumbered counterbalancing capacity, the institution shall report the original issuer and the original product type. Column Legal references and instructions 0010 0020 0030 0040 0050 0060 0070 0080 0090

Issuer Name

The name of the top ten issuers of unencumbered assets or counterparties of undrawn committed liquidity lines granted to the institution shall be recorded in column 0010 in a descending fashion. The largest item will be recorded in 1.01, the second in line item 1.02, and so on. Issuers and counterparties forming a group of connected clients shall be reported as one single concentration. The issuer or counterparty name recorded shall be the full name of the legal entity which issued the assets or granted the liquidity lines, including any references to the company type in accordance with the national company law.

LEI code

The legal entity identifier code of the counterparty.

Issuer Sector

One sector shall be allocated to each issuer or counterparty on the basis of following financial reporting ([FINREP]) economic sector classes (part 1 Annex V to this Implementing Regulation): (i) General Governments; (ii) Credit institutions; (iii) Other financial corporations; (iv) Non-financial corporations; (v) Households. For groups of connected clients, no sector shall be reported.

Residence of Issuer

ISO code 3166-1-alpha-2 of the country of incorporation of the issuer or counterparty shall be used, including pseudo-ISO codes for international organisations, available in the last edition of the Eurostat’s Balance of Payments Vademecum. For groups of connected clients, no country shall be reported.

Product Type

Issuers/Counterparties recorded in column 0010 shall be assigned a product type corresponding to the product in which the asset is held or the liquidity stand-by facility has been received, using the following codes indicated in bold:

SrB (Senior Bond)

SubB (Subordinated Bond)

CP (Commercial Paper)

CB (Covered Bonds)

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

ABS (Asset Backed Security)

CrCl (Credit Claim)

Eq (Equity)

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

LiqL (Undrawn committed liquidity line granted to the institution)

OPT (Other product type)

Currency

Issuer or counterparties recorded in column 0010 shall be assigned a currency ISO code in column 0060 corresponding to the denomination of the asset received or undrawn committed liquidity lines granted to the institution. The three-letter currency unit code in accordance with ISO 4217 shall be reported. Where a multicurrency line is part of a concentration in counterbalancing capacity, the line shall be counted in the currency that is the predominant one in the rest of the concentration. With regard to the separate reporting in significant currencies as specified under Article 415(2) of Regulation (EU) No 575/2013, institutions shall make an assessment of the currency in which the flow is likely to occur and shall report the item only in that significant currency, in line with the instructions for the separate reporting of significant currencies in the liquidity coverage requirements (LCR), in accordance with Regulation (EU) 2021/451.

Credit quality step

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

MtM value/nominal

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

Collateral value CB-eligible

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

ANNEX IX

ANNEX XXII REPORTING ON AMM MATURITY LADDER C 66.01 - MATURITY LADDER Total and significant currencies

AMM TEMPLATES Template number Template code Name of the template /group of templates MATURITY LADDER TEMPLATE 66 C 66.01 MATURITY LADDER TEMPLATE Code ID Item Contractual Flow Maturity 0010 0020 0025 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0010-0380 1 OUTFLOWS Initial stock Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years Overnight of which: Open Maturity items 0010 1.1 Liabilities resulting from securities issued (if not treated as retail deposits) 0011 1.1.0.1 of which: Intragroup or IPS 0020 1.1.1 unsecured bonds due 0030 1.1.2 regulated covered bonds 0040 1.1.3 securitisations due 0050 1.1.4 other 0065 1.2 Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is non-Central Bank): 0066 1.2.0.1 of which: Intragroup or IPS 0075 1.2.1 Level 1 tradable assets 0085 1.2.1.1 Level 1 excluding covered bonds 0095 1.2.1.1.1 Level 1 central bank 0105 1.2.1.1.2 Level 1 (CQS 1) 0115 1.2.1.1.3 Level 1 (CQS2, CQS3) 0125 1.2.1.1.4 Level 1 (CQS4+) 0135 1.2.1.2 Level 1 covered bonds (CQS1) 0145 1.2.2 Level 2A tradable assets 0155 1.2.2.1 Level 2A corporate bonds (CQS1) 0165 1.2.2.2 Level 2A covered bonds (CQS1, CQS2) 0175 1.2.2.3 Level 2A public sector (CQS1, CQS2) 0185 1.2.3 Level 2B tradable assets 0195 1.2.3.1 Level 2B Asset Backed Securities (ABS) (CQS1) 0205 1.2.3.2 Level 2B covered bonds (CQS1-6) 0215 1.2.3.3 Level 2B: corporate bonds (CQ1-3) 0225 1.2.3.4 Level 2B shares 0235 1.2.3.5 Level 2B public sector (CQS 3-5) 0245 1.2.4 other tradable assets 0251 1.2.5 other assets 0252 1.2a Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is Central Bank): 0253 1.2a.1 Level 1 tradable assets 0254 1.2a.2 Level 2A tradable assets 0255 1.2a.3 Level 2B tradable assets 0256 1.2a.4 other tradable assets 0257 1.2a.5 other assets 0260 1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) 0261 1.3.0.1 of which: Intragroup or IPS 0270 1.3.1 stable retail deposits 0280 1.3.2 other retail deposits 0290 1.3.3 operational deposits 0300 1.3.4 non-operational deposits from credit institutions 0310 1.3.5 non-operational deposits from other financial customers 0320 1.3.6 non-operational deposits from central banks 0330 1.3.7 non-operational deposits from non-financial corporates 0340 1.3.8 non-operational deposits from other counterparties 0350 1.4 FX-swaps maturing 0360 1.5 Derivatives amount payables other than those reported in 1.4 0370 1.6 Other outflows 0380 1.7 Total outflows 0390-0720 2 INFLOWS Initial stock Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years Overnight of which: Open Maturity items 0390 2.1 Monies due from secured lending and capital market driven transactions collateralised by: 0391 2.1.0.1 of which: Intragroup or IPS 0400 2.1.1 Level 1 tradable assets 0410 2.1.1.1 Level 1 excluding covered bonds 0420 2.1.1.1.1 Level 1 central bank 0430 2.1.1.1.2 Level 1 (CQS 1) 0440 2.1.1.1.3 Level 1 (CQS2, CQS3) 0450 2.1.1.1.4 Level 1 (CQS4+) 0460 2.1.1.2 Level 1 covered bonds (CQS1) 0470 2.1.2 Level 2A tradable assets 0480 2.1.2.1 Level 2A corporate bonds (CQS1) 0490 2.1.2.2 Level 2A covered bonds (CQS1, CQS2) 0500 2.1.2.3 Level 2A public sector (CQS1, CQS2) 0510 2.1.3 Level 2B tradable assets 0520 2.1.3.1 Level 2B ABS (CQS1) 0530 2.1.3.2 Level 2B covered bonds (CQS1-6) 0540 2.1.3.3 Level 2B: corporate bonds (CQ1-3) 0550 2.1.3.4 Level 2B shares 0560 2.1.3.5 Level 2B public sector (CQS 3-5) 0570 2.1.4 other tradable assets 0580 2.1.5 other assets 0590 2.2 Monies due not reported in 2.1 resulting from loans and advances granted to: 0600 2.2.1 retail customers 0610 2.2.2 non-financial corporates 0620 2.2.3 credit institutions 0621 2.2.3.1 of which: Intragroup or IPS 0630 2.2.4 other financial customers 0640 2.2.5 central banks 0650 2.2.6 other counterparties 0660 2.3 FX-swaps maturing 0670 2.4 Derivatives amount receivables other than those reported in 2.3 0680 2.5 Paper in own portfolio maturing 0690 2.6 Other inflows 0691 2.6.1 of which: Intragroup or IPS 0700 2.7 Total inflows 0710 2.8 Net contractual gap 0720 2.9 Cumulated net contractual gap 0730-1080 3 COUNTERBALANCING CAPACITY Initial stock Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years Overnight of which: Open Maturity items 0730 3.1 coins and bank notes 0740 3.2 Withdrawable central bank reserves 0750 3.3 Level 1 tradable assets 0760 3.3.1 Level 1 excluding covered bonds 0770 3.3.1.1 Level 1 central bank 0780 3.3.1.2 Level 1 (CQS 1) 0790 3.3.1.3 Level 1 (CQS2, CQS3) 0800 3.3.1.4 Level 1 (CQS4+) 0810 3.3.2 Level 1 covered bonds (CQS1) 0820 3.4 Level 2A tradable assets 0830 3.4.1 Level 2A corporate bonds (CQS1) 0840 3.4.3 Level 2A covered bonds (CQS 1, CQS2) 0850 3.4.4 Level 2A public sector (CQS1, CQS2) 0860 3.5 Level 2B tradable assets 0870 3.5.1 Level 2B ABS (CQS1) 0880 3.5.2 Level 2B covered bonds (CQS1-6) 0890 3.5.3 Level 2B corporate bonds (CQ1-3) 0900 3.5.4 Level 2B shares 0910 3.5.5 Level 2B public sector (CQS 3-5) 0920 3.6 other tradable assets 0930 3.6.1 central government (CQS1) 0940 3.6.2 central government (CQS 2 & 3) 0950 3.6.3 shares 0960 3.6.4 covered bonds 0970 3.6.5 ABS 0980 3.6.7 other tradable assets 0990 3.7 non tradable assets eligible for central banks 0991 3.7a own issuances eligible for central banks 1000 3.8 undrawn committed facilities received 1010 3.8.1 Level 1 facilities 1020 3.8.2 Level 2B restricted use facilities 1030 3.8.3 Level 2B IPS facilities 1040 3.8.4 other facilities 1050 3.8.4.1 from intragroup counterparties 1060 3.8.4.2 from other counterparties 1070 3.9 Net change of Counterbalancing Capacity 1080 3.10 Cumulated Counterbalancing Capacity 1090-1140 4 CONTINGENCIES Initial stock Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years Overnight of which: Open Maturity items 1090 4.1 Outflows from committed facilities 1091 4.1.0.1 of which: Intragroup or IPS 1100 4.1.1 Committed credit facilities 1110 4.1.1.1 considered as Level 2B by the receiver 1120 4.1.1.2 other 1130 4.1.2 Liquidity facilities 1131 4.1a Outflows from uncommitted funding facilities 1140 4.2 Outflows due to downgrade triggers 1150-1290 MEMORANDUM ITEMS Initial stock Greater than overnight up to 2 days Greater than 2 days up to 3 days Greater than 3 days up to 4 days Greater than 4 days up to 5 days Greater than 5 days up to 6 days Greater than 6 days up to 7 days Greater than 7 days up to 2 weeks Greater than 2 weeks up to 3 weeks Greater than 3 weeks up to 30 days Greater than 30 days up to 5 weeks Greater than 5 weeks up to 2 months Greater than 2 months up to 3 months Greater than 3 months up to 4 months Greater than 4 months up to 5 months Greater than 5 months up to 6 months Greater than 6 months up to 9 months Greater than 9 months up to 12 months Greater than 12 months up to 2 years Greater than 2 years up to 5 years Greater than 5 years Overnight of which: Open Maturity items 1230 13 HQLA central bank eligible - Tradable assets 1241 14 Assets reported in 3.6 that are non-HQLA central bank eligible 1270 17 Behavioural outflows from deposits 1280 18 Behavioural inflows from loans and advances 1290 19 Behavioural draw-downs of committed facilities

ANNEX X

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

PART I GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.10.11.12.13.14.15.16.17.18.19.20.21.

In order to capture the maturity mismatch of an institution’s activities (maturity ladder) in the template of Annex XXII, institutions shall apply the instructions contained in this Annex. The maturity ladder monitoring tool shall cover contractual flows and contingent outflows. The contractual flows resulting from legally binding agreements and the residual maturity from the reporting date shall be reported in accordance with the provisions of those legal agreements. Institutions shall not double count inflows. In the column initial stock, the stock of items at the reporting date shall be reported. Only the blank white cells of the template in Annex XXII shall be completed. The section of the maturity ladder template entitled Outflows and inflows shall cover future contractual cash flows from all on- and off- balance sheet items. Only outflows and inflows pursuant to contracts valid at the reporting date shall be reported. Interest outflows and inflows from all on and off balance sheet instruments other than guarantees shall be included in all relevant items of the outflows and inflows sections, in the corresponding time bucket where they fall due. Payments and receipts of interest that fall due after 5 years from the reporting reference date shall be excluded from the maturity ladder. The section of the maturity ladder template entitled Counterbalancing capacity shall represent the stock of unencumbered assets or other funding sources which are legally and practically available to the institution at the reporting date to cover potential contractual gaps. Only outflows and inflows pursuant to contracts existing at the reporting date shall be reported. Cash outflows and inflows in the respective sections outflows and inflows shall be reported on a gross basis with a positive sign. Amounts due to be paid and received shall be reported respectively in the outflow and inflow sections. For the section of the maturity ladder template entitled counterbalancing capacity outflows and inflows shall be reported on a net basis with a positive sign if they represent inflows and with a negative sign if they represent outflows. For cash flows, amounts due shall be reported. Securities flows shall be reported at current market value. Flows arising on credit and liquidity lines shall be reported at the contractual available amounts. Contractual flows shall be allocated across the twenty-two time buckets in accordance with their residual maturity, with days referring to calendar days. All contractual flows shall be reported, including all cash-flows from non-financial activities such as taxes, bonuses, dividends and rents. Cash-flows from non-financial activities shall be reported in the corresponding time bucket where they fall due. These cash flows shall be excluded from the maturity ladder where they fall due after 5 years from the reporting reference date. In order for institutions to apply a conservative approach in determining contractual maturities of flows, they shall ensure all of the following: [empty] Foreign Exchange (FX) swaps maturing shall reflect the maturing notional value of cross-currency swaps, FX forward transactions and unsettled FX spot agreements in the applicable time buckets of the template. Cash flows from unsettled transactions shall be reported, in the short period before settlement, in the appropriate rows and buckets. Items where the institution has no underlying business, such as where it has no deposits of a certain category, shall be left blank. Past due items and items for which the institution has a reason to expect non- performance shall not be reported. Where the collateral received is re-hypothecated in a transaction that matures beyond the transaction in which the institution received the collateral, a securities outflow in the amount of the fair value of the collateral received shall be reported in the counterbalancing capacity section in the relevant bucket in accordance with the maturity of the transaction that generated the reception of the collateral. Where according to Article 16 of the Delegated Regulation (EU) 2015/61 the sight deposits that the reporting credit institution maintains with the central institution are treated as liquid assets, the sight deposits should be treated as a contractual interbank inflow in the maturity ladder. Intragroup items shall not affect the reporting on a consolidated basis. The non-withdrawable part of the central bank reserves shall not be reported anywhere in the template.

GENERAL INSTRUCTIONS 1.2.3.4.5.6.7.8.9.10.11.12.

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

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

(c) deposits maturing overnight, including sight deposits and non-maturing deposits, shall be reported as overnight in column 0020. In addition, those transactions with no contractually specified maturity shall be reported in column 0025;

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

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

(f) where the institution is not able to establish a minimum contractual payment schedule for a particular item or part thereof following the rules set out in this paragraph, it shall report the item or part thereof as greater than 5 years in column 0220.

PART II INSTRUCTIONS CONCERNING SPECIFIC ROWS

Row Legal references and instructions 0010 to 0380 0010 0011 0020 0030 0040 0050 0065 0066 0075 0085 0095 0105 0115 0125 0135 0145 0155 0165 0175 0185 0195 0205 0215 0225 0235 0245 0251 0252 0253 0254 0255 0256 0257 0260 0261 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 to 0700 0390 0391 0400 0410 0420 0430 0440 0450 0460 0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570 0580 0590 0600 0610 0620 0621 0630 0640 0650 0660 0670 0680 0690 0691 0700 0710 0720 0730–1080 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 0991 1000 1010 1020 1030 1040 1050 1060 1070 1080 1090–1140 1090 1091 1100 1110 1120 1130 1131 1140 1150–1290 1230 1241 1270 1280 1290

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

1.1 Liabilities resulting from securities issued (if not treated as retail deposits)

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

1.1.0.1 of which: Intragroup or IPS

The amount of outflows in 1.1 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1.1.1 unsecured bonds due

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

1.1.2 regulated covered bonds

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

1.1.3 securitisations due

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

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

1.2 Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is non-Central Bank):

Total amount of all cash outflows arising from secured lending and capital market driven transactions where the counterparty is not a Central Bank, as defined in Article 192 of Regulation (EU) No 575/2013. Note: Only cash flows shall be reported here, securities flows relating to secured lending and capital market driven transactions shall be reported in the counterbalancing capacity section.

1.2.0.1 of which: Intragroup or IPS

The amount of outflows in 1.2 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1.2.1 Level 1 tradable assets

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

1.2.1.1 Level 1 excluding covered bonds

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

1.2.1.1.1 Level 1 central bank

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

1.2.1.1.2 Level 1 (CQS 1)

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

1.2.1.1.3 Level 1 (CQS 2, CQS3)

1.2.1.1.4 Level 1 (CQS 4+)

1.2.1.2 Level 1 covered bonds (CQS1)

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

1.2.2 Level 2A tradable assets

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

1.2.2.1 Level 2A corporate bond (CQS 1)

The amount of cash outflows reported in item 1.2.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

1.2.2.2 Level 2A covered bonds (CQS1, CQS2)

The amount of cash outflows reported in item 1.2.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

1.2.2.3 Level 2A public sector (CQS1, CQS2)

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

1.2.3 Level 2B tradable assets

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

1.2.3.1 Level 2B Asset Backed Securities-ABS (CQS 1)

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

1.2.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash outflows reported in item 1.2.3 which is collateralised by covered bonds.

1.2.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash outflows reported in item 1.2.3 which is collateralised by corporate debt securities.

1.2.3.4 Level 2B shares

The amount of cash outflows reported in item 1.2.3 which is collateralised by shares.

1.2.3.5 Level 2B public sector (CQS 3-5)

The amount of cash outflows reported in item 1.2.3 which is collateralised by Level 2B assets not reported in items 1.2.3.1 to 1.2.3.4.

1.2.4 other tradable assets

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

1.2.5 other assets

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

1.2a Liabilities resulting from secured lending and capital market driven transactions, collateralised by (Counterparty is Central Bank):

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

1.2a.1 Level 1 tradable assets

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

1.2a.2 Level 2A tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2A assets shall be reported in the below subcategories corresponding to their underlying assets.

1.2a.3 Level 2B tradable assets

The amount of cash outflows reported in item 1.X which is collateralised by tradable assets that would meet the requirements of Articles 7, 8 and 12 or 13 of Delegated Regulation (EU) 2015/61 if they were not securing the particular transaction. CIU shares or units in accordance with Article 15 of Delegated Regulation (EU) 2015/61 that qualify as Level 2B assets shall be reported in the below subcategories corresponding to their underlying assets.

1.2a.4 other tradable assets

The amount of cash outflows reported in item 1.2a which is collateralised by tradable assets not reported in items 1.2a.1, 1.2a.2 or 1.2a.3.

1.2a.5 other assets

The amount of cash outflows reported in item 1.X which is collateralised by assets not reported in items 1.2a.1, 1.2a.2. 1.2a.3 or 1.2a.4.

1.3 Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)

Cash outflows arising from all deposits received with the exception of outflows reported in item 1.2 and deposits received as collateral. Cash outflows arising from derivative transactions shall be reported in items 1.4 or 1.5. Deposits shall be reported in accordance with their earliest possible contractual maturity date. Deposits that can be withdrawn immediately without notice (sight deposits) or non-maturing deposits shall be reported in the overnight bucket.

1.3.0.1 of which: Intragroup or IPS

The amount of outflows in 1.3 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

1.3.1 stable retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 411(2) of Regulation (EU) No 575/2013 and Article 24 of Delegated Regulation (EU) 2015/61.

1.3.2 other retail deposits

The amount of cash outflows reported in item 1.3, which derives from retail deposits in accordance with Article 411(2) of Regulation (EU) No 575/2013 other than those reported in item 1.3.1.

1.3.3 operational deposits

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

1.3.4 non-operational deposits from credit institutions

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

1.3.5 non-operational deposits from other financial customers

The amount of cash outflows reported in item 1.3, which derives from deposits from financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013other than those reported in item 1.3.3 and 1.3.4.

1.3.6 non-operational deposits from central banks

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

1.3.7 non-operational deposits from non-financial corporates

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

1.3.8 non-operational deposits from other counterparties

The amount of cash outflows reported in item 1.3, which derives from deposits not reported in items 1.3.1 to 1.3.7.

1.4 FX-swaps maturing

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

1.5 Derivatives amount payables other than those reported in 1.4

Total amount of cash outflows resulting from derivatives payables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of outflows resulting from maturing FX swaps which shall be reported in item 1.4. The total amount shall reflect settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: In accordance with the above: Regarding derivatives under point 1, the return of collateral that was already received or paid shall not be reported in the maturity ladder. Regarding derivatives under point 2, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. If the return of collateral already received (paid) represents cash collateral the return of collateral shall be reported in row 1.6 other outflows (row 2.6 other inflows) in the appropriate time bucket For the purposes of this row, a situation in which collateral exchanged with a counterparty does not fully equal the value changes in the derivative, shall still be treated as adequately collateralised if the discrepancy does not exceed the minimum transfer amount.

1. cash and securities flows related to derivatives for which there is a collateral agreement in place requiring full or adequate collateralisation of counterparty exposures, shall be excluded from the maturity ladder templates; all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the templates. The exclusion shall not apply to the following:

1.

(a) Assets eligible for CBC that have already been received or provided in the context of collateralised derivatives at the reporting reference date (i.e. in the stock column of section 3 of the maturity ladder if non-encumbered and available for encumbrance).

(b) Cash and securities flows in the context of margin calls (cash or securities collateral flows) which are payable in due course but have not yet been settled. These shall be reflected in lines 1.5 derivatives cash-outflows and 2.4 derivatives cash- inflows for cash collateral and in section 3 counterbalancing capacity for securities collateral

(c) Derivatives with physical settlement (e.g. a physically settled gold forward) where these derivatives are fully or adequately collateralised. For these derivatives, in addition to point (a) and (b) above, also the settlement flow at final settlement (normally around maturity) shall be reported. The expected cash flow shall be included in the appropriate time bucket in line 1.5 derivatives cash-outflows in case of a cash outflow, and line 2.4 derivatives cash- inflows in case of a cash inflow. If the physically settled asset will qualify as CBC in section 3, this flow shall be included in the appropriate time bucket and appropriate row in this section. It shall be a negative amount in case of an outflow and positive in case of an inflow;

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

2.

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

(a)

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

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

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

1.6 Other outflows

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

1.7 Total outflows

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

2 INFLOWS

2.1 Monies due from secured lending and capital market driven transactions collateralised by:

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

2.1.0.1 of which: Intragroup or IPS

The amount of inflows in 2.1 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

2.1.1 Level 1 tradable assets

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

2.1.1.1 Level 1 excluding covered bonds

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

2.1.1.1.1 Level 1 central bank

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

2.1.1.1.2 Level 1 (CQS 1)

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

2.1.1.1.3 Level 1 (CQS 2, CQS3)

2.1.1.1.4 Level 1 (CQS 4+)

2.1.1.2 Level 1 covered bonds (CQS1)

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

2.1.2 Level 2A tradable assets

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

2.1.2.1 Level 2A corporate bond (CQS 1)

The amount of cash inflows reported in item 2.1.2 which is collateralised by corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

2.1.2.2 Level 2A covered bonds (CQS1, CQS2)

The amount of cash inflows reported in item 2.1.2 which is collateralised by covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

2.1.2.3 Level 2A public sector (CQS1, CQS2)

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

2.1.3 Level 2B tradable assets

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

2.1.3.1 Level 2B ABS (CQS 1)

The amount of cash inflows reported in item 2.1.3 which is collateralised by asset backed securities, including RMBS.

2.1.3.2 Level 2B covered bonds (CQS 1-6)

The amount of cash inflows reported in item 2.1.3 which is collateralised by covered bonds.

2.1.3.3 Level 2B corporate bonds (CQS 1-3)

The amount of cash inflows reported in item 2.1.3 which is collateralised by corporate debt securities.

2.1.3.4 Level 2B shares

The amount of cash inflows reported in item 2.1.3 which is collateralised by shares.

2.1.3.5 Level 2B public sector (CQS 3-5)

The amount of cash inflows reported in item 2.1.3 which is collateralised by Level 2B assets not reported in items 2.1.3.1 to 2.1.3.4.

2.1.4 other tradable assets

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

2.1.5 other assets

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

2.2 Monies due not reported in item 2.1 resulting from loans and advances granted to:

Cash inflows from loans and advances. Cash inflows shall be reported at the latest contractual date for repayment. For revolving facilities, the existing loan shall be assumed to be rolled-over and any remaining balances shall be treated as committed facilities.

2.2.1 retail customers

The amount of cash inflows reported in item 2.2, which derives from natural persons or SMEs in accordance with Article 411(2) of Regulation (EU) No 575/2013.

2.2.2 non-financial corporates

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

2.2.3 credit institutions

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

2.2.3.1 of which: Intragroup or IPS

The amount of inflows in 2.2.3 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

2.2.4 other financial customers

The amount of cash inflows reported in item 2.2, which derives from financial customers in accordance with Article 411(1) of Regulation (EU) No 575/2013 other than those reported in item 2.2.3.

2.2.5 central banks

The amount of cash inflows reported in item 2.2, which derives from central banks. This item shall not include withdrawable cash reserves as reported in item 3.2.

2.2.6 other counterparties

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

2.3 FX-swaps maturing

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

2.4. Derivatives amount receivables other than those reported in 2.3

Total amount of contractual cash inflows resulting from derivatives receivables positions from the contracts listed in Annex II of Regulation (EU) No 575/2013 with the exception of inflows resulting from maturing FX swaps which shall be reported in item 2.3. The total amount shall include settlement amounts including unsettled margin calls as of the reporting date. The total amount shall be the sum of (1) and (2) as follows, across the various time buckets: In accordance with the above: Regarding derivatives under point 1, the return of collateral that was already received or paid shall not be reported in the maturity ladder. Regarding derivatives under point 2, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. If the return of collateral already received (paid) represents cash collateral the return of collateral shall be reported in row 1.6 other outflows (row 2.6 other inflows) in the appropriate time bucket For the purposes of this row, a situation in which collateral exchanged with a counterparty does not fully equal the value changes in the derivative, shall still be treated as adequately collateralised if the discrepancy does not exceed the minimum transfer amount.

1. cash and securities flows related to derivatives for which there is a collateral agreement in place that requires full or adequate collateralisation of counterparty exposures shall be excluded from the maturity ladder template, and all flows of cash, securities, cash collateral and securities collateral related to those derivatives shall be excluded from the template. The exclusion shall not apply to the following:

1.

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

2.

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

(a)

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

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

2.5 Paper in own portfolio maturing

The amount of inflows from own investments due taken in bonds, reported in accordance with their residual contractual maturity. This item shall include cash inflows from maturing securities reported in the counterbalancing capacity. Therefore, once a security matures, it shall be reported as securities outflow in the counterbalancing capacity and consequently as a cash inflow here.

2.6 Other inflows

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

2.6.1 of which: Intragroup or IPS

The amount of inflows in 2.6 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

2.7 Total inflows

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

2.8 Net contractual gap

Total Inflows reported in item 2.7 less total outflows reported in item 1.7.

2.9 Cumulated net contractual gap

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

3 COUNTERBALANCING CAPACITY

The Counterbalancing Capacity of the maturity ladder shall contain information on the development of an institution’s holdings of assets of varying degrees of liquidity, amongst which tradable assets and central bank eligible assets, as well as facilities contractually committed to the institution. For reporting at the consolidated level on central bank eligibility, the rules of central bank eligibility which apply to each consolidated institution in its jurisdiction of incorporation shall form the basis. Where the counterbalancing capacity refers to tradable assets, institutions shall report tradable assets traded in large, deep and active repo or cash markets characterised by a low level of concentration. Assets reported in the columns of the counterbalancing capacity shall include only unencumbered assets available to the institution to convert into cash at any time to fill contractual gaps between cash inflows and outflows during the time horizon. For those purposes, the definition of encumbered assets in accordance with Commission Delegated Regulation (EU) 2015/61 shall apply. The assets shall not be used to provide credit enhancements in structured transactions or to cover operational costs, such as rents and salaries, and shall be managed with the clear and sole intent for use as a source of contingent funds. Assets that the institution received as collateral in reverse repo and Securities Financing Transactions (SFT) can be considered as part of the counterbalancing capacity if they are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution’s use. In order to avoid double counting, where the institution reports prepositioned assets in item 3.1 to 3.7, it shall not report the related capacity of those facilities in item 3.8. Institutions shall report assets, where they meet the description of a row and are available at the reporting date, as an initial stock in column 0010. Columns 0020 to 0220 shall contain contractual flows in the counterbalancing capacity. Where an institution has entered into a repo transaction, the asset which has been repoed out shall be re-entered as a security inflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash outflow following from the maturing repo shall be reported in the relevant cash outflow bucket in item 1.2. Where an institution has entered into a reverse repo transaction, the asset which has been repoed in shall be re- entered as a security outflow in the maturity bucket where the repo transaction matures. Correspondingly, the cash inflow following from the maturing repo shall be reported in the relevant cash inflow bucket in item 2.1. Collateral swaps shall be reported as contractual inflows and outflows of securities in the counterbalancing capacity section in accordance with the relevant maturity bucket in which these swaps mature. Assets eligible for CBC that have already been received or provided in the context of derivatives at the reporting reference date (i.e. in the stock column of section 3 of the maturity ladder if non-encumbered and available for encumbrance). Regarding derivatives that are fully or adequately collateralised, the return of collateral that was already received or paid shall not be reported in the maturity ladder. Regarding derivatives that are partially collateralised, the return of collateral that was already received or paid shall be reported in section 3 of the maturity ladder. The return of collateral already received (paid) shall be reflected as a negative (positive) mutation in the time bucket corresponding to the maturity of the derivative. A positive mutation shall only be recognised if it would qualify as counterbalancing capacity on return. A change to the contractually available amount of credit and liquidity lines reported in item 3.8 shall be reported as a flow in the relevant time bucket. Where an institution has an overnight deposit at a central bank, the amount of the deposit shall be reported as an initial stock in item 3.2. Maturing securities in the counterbalancing capacity shall be reported based on their contractual maturity. When a security matures, it shall be removed from the asset category it was initially reported in, it shall be treated as an outflow of securities, and the resultant cash inflow shall be reported in item 2.5. All security values shall be reported in the relevant bucket at current market values. In item 3.8 only contractually available amounts shall be reported. To avoid double counting, cash-inflows shall not be accounted for in item 3.1 or 3.2 of the counterbalancing capacity. Items in the counterbalancing capacity shall be reported in the following sub- categories below:

3.1 Coins and bank notes

Total amount of cash arising from coins and banknotes.

3.2 Withdrawable central bank reserves

Total amount of reserves at central banks in accordance with point (b)(iii) of Article 10(1) of Delegated Regulation (EU) 2015/61 withdrawable overnight at the latest. Securities representing claims on or guaranteed by central banks shall not be reported here. This amount shall only be reported in the initial stock column and shall not be reported as an Inflow from Central Banks in item 2.2.5.

3.3 Level 1 tradable assets

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

3.3.1 Level 1 excluding covered bonds

The amount reported in item 3.3 which is not covered bonds.

3.3.1.1 Level 1 central bank

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

3.3.1.2 Level 1 (CQS 1)

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

3.3.1.3 Level 1 (CQS 2, CQS3)

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

3.3.1.4 Level 1 (CQS 4+)

3.3.2 Level 1 covered bonds (CQS1)

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

3.4 Level 2A tradable assets

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

3.4.1 Level 2A corporate bond (CQS 1)

The amount reported in item 3.4 which is corporate bonds that are assigned credit quality step 1 by a nominated ECAI.

3.4.3 Level 2A covered bonds (CQS 1, CQS2)

The amount reported in item 3.4 which is covered bonds that are assigned credit quality step 1 or 2 by a nominated ECAI.

3.4.4 Level 2A public sector (CQS1, CQS2)

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

3.5 Level 2B tradable assets

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

3.5.1 Level 2B ABS (CQS 1)

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

3.5.2 Level 2B covered bonds (CQS 1-6)

The amount reported in item 3.5 which is covered bonds.

3.5.3 Level 2B corporate bonds (CQS 1-3)

The amount reported in item 3.5 which is corporate debt securities.

3.5.4 Level 2B shares

The amount reported in item 3.5 which is shares.

3.5.5 Level 2B public sector (CQS 3-5)

The amount reported in 3.5 which is Level 2B assets not reported in items 3.5.1 to 3.5.4.

3.6 other tradable assets

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

3.6.1 central government (CQS1)

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

3.6.2 central government (CQS2-3)

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

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

3.6.4 covered bonds

The amount reported in item 3.6 which is covered bonds.

3.6.5 ABS The amount reported in item 3.6 which is ABS.

3.6.6 other tradable assets

The amount reported in item 3.6 which is other tradable asset not reported in items 3.6.1 to 3.6.5 and 3.7a.

3.7 non-tradable assets eligible for central bank

The carrying amount of non-tradable assets that are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in the Annex of Commission Implementing Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank. Securities and securities flows from other non-tradable assets in the form of intragroup assets shall not be reported in the counterbalancing capacity. Nevertheless, cash flows from such items shall be reported in the relevant part of section 1 and 2 of the template.

3.7a own issuances eligible for central banks

Secured debt instruments issued by the institution that are central bank eligible and retained on the institution’s balance sheet and to which the institution has direct access at its level of consolidation.

3.8 Undrawn committed facilities received

Total amount of undrawn committed facilities extended to the reporting institution. These shall include contractually irrevocable facilities. Institutions shall report a reduced amount where the potential collateral needs for drawing on these facilities exceeds the availability of collateral. In order to avoid double-counting, facilities where the reporting institution has already prepositioned assets as collateral, for an undrawn credit facility, and has already reported the assets in items 3.1 to 3.7, shall not be reported in item 3.8. The same shall apply for cases where the reporting institution may need to preposition assets as collateral in order to draw as reported in this field.

3.8.1 Level 1 facilities

The amount reported in item 3.8 which is central bank facility in accordance with point (b) of Article 19(1) of Delegated Regulation (EU) 2015/61.

3.8.2 Level 2B restricted use facilities

The amount reported in item 3.8 which are facilities in accordance with Article 14 of Delegated Regulation (EU) 2015/61.

3.8.3 Level 2B IPS facilities

The amount reported in item 3.8 which is liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61.

3.8.4 Other facilities

The amount reported in item 3.8 other than the amount reported in 3.8.1 to 3.8.3.

3.8.4.1 from intragroup counterparties

The amount reported in 3.8.4 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme as referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

3.8.4.2 from other counterparties

The amount reported in 3.8.4 other than the amount reported in 3.8.4.1.

3.9 Net change of Counterbalancing Capacity

Net change in exposures to items 3.2, 3.3, 3.4 and 3.5, 3.6, 3.7 and 3.8 representing, respectively, central banks, securities flows and committed credit lines in a given time bucket shall be reported.

3.10 Cumulated Counterbalancing Capacity

Cumulated amount of Counterbalancing Capacity from the reporting date to the upper limit of a relevant time bucket.

4 CONTINGENCIES

The Contingencies of the maturity ladder shall contain information on contingent outflows.

4.1 Outflows from committed facilities

Cash outflows arising from committed facilities. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period. For revolving credit facilities, only the amount above the existing loan shall be reported.

4.1.0.1 of which: Intragroup or IPS

The amount of contingencies in 4.1 where the counterparty is a parent or a subsidiary of the institution or another subsidiary of the same parent or linked to the credit institution by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU or a member of the same institutional protection scheme referred to in Article 113(7) of Regulation (EU) No 575/2013 or the central institution or an affiliate of a network or cooperative group as referred to in Article 10 of Regulation (EU) No 575/2013).

4.1.1 Committed credit facilities

The amount reported in item 4.1, which derives from committed credit facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61.

4.1.1.1 considered as Level 2B by the receiver

The amount reported in item 4.1.1, which is considered liquidity funding in accordance with Article 16(2) of Delegated Regulation (EU) 2015/61.

4.1.1.2 other

The amount reported in item 4.1.1, other than the amount reported in item 4.1.1.1.

4.1.2 Liquidity facilities

The amount reported in item 4.1, which derives from liquidity facilities in accordance with Article 31 of Delegated Regulation (EU) 2015/61.

4.1a Outflows from uncommitted funding facilities

Uncommitted credit and liquidity facilities in accordance with Article 23(1)(a), (b), (d) and (e) of Delegated Regulation (EU) 2015/61. Institutions shall report as an outflow the maximum amount that can be drawn in a given time period, reported in the bucket corresponding to their earliest availability. Guarantees shall not be reported in this row.

4.2 Outflows due to downgrade triggers

Institutions shall report here the effect of a material deterioration of the credit quality of the institution corresponding to a downgrade in its external credit assessment by three notches. Positive amounts shall represent contingent outflows and negative amounts shall represent a reduction of the original liability. Where the effect of the downgrade is an early redemption of outstanding liabilities, the concerned liabilities shall be reported with a negative sign in a time band where they are reported in item 1 and simultaneously with a positive sign in a time band when the liability becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a margin call, the market value of the collateral required to be posted shall be reported with a positive sign in a time band when the requirement becomes due, should the effects of the downgrade become applicable at the reporting date. Where the effect of the downgrade is a change in the re-hypothecation rights of the securities received as collateral from the counterparties, the market value of the affected securities shall be reported with a positive sign in a time band when the securities cease to be available to the reporting institution, should the effects of the downgrade become applicable at the reporting date.

MEMORANDUM ITEMS

13 HQLA central bank eligible – Tradable assets

The amount reported in items 3.3, 3.4 and 3.5 which is eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in the Annex of Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

14 Assets reported in 3.6 that are non-HQLA central bank eligible

The sum of the amounts reported in item 3.6 which are eligible collateral for standard liquidity operations of the central bank to which the institution has direct access at its level of consolidation. For assets denominated in a currency included in Regulation (EU) 2015/233 as a currency with extremely narrow central bank eligibility, institutions shall leave this field blank.

17 Behavioural outflows from deposits

The amount reported in item 1.3 redistributed into the time buckets in accordance with the behavioural maturity on a business as usual basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, business as usual shall mean ‘a situation without any liquidity stress assumption. The distribution shall reflect the stickiness of the deposits. The item does not reflect business plan assumptions and therefore shall not include information relating to new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

18 Behavioural inflows from loans and advances

The amount reported in item 2.2 redistributed into the time buckets in accordance with the behavioural maturity on a business as usual basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, business as usual shall mean a situation without any liquidity stress assumption. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets must necessarily be filled in.

19 Behavioural draw-downs of committed facilities

The amount reported in item 4.1 redistributed into the time buckets in accordance with the behavioural level of draw-downs and resulting liquidity needs on a business as usual basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, business as usual means a situation without any liquidity stress assumption. The item does not reflect business plan assumptions and therefore shall not consider new business activities. Allocation across the time buckets shall follow the granularity used for internal purposes. Therefore, not all time buckets need to be filled in.

ANNEX XI

ANNEX XXVI SUPPLEMENTARY REPORTING FOR THE PURPOSE OF IDENTIFYING AND ASSIGNING G-SII BUFFER RATES G 01.00 - G-SII indicators and EBU items

TEMPLATES Template number Template code Name of the template /group of templates Short name G-SII INDICATORS AND EBU ITEMS 1 G 01.00 G-SII INDICATORS AND EBU ITEMS GSII Rows Item Amount G-SII indicators 0010 Total exposures, including insurance subsidiaries 0020 Intra-financial system assets, including insurance subsidiaries 0030 Intra-financial system liabilities, including insurance subsidiaries 0040 Securities outstanding, including securities issued by insurance subsidiaries 0050 Payments activity 0060 Assets under custody 0070 Underwriting activity 0081 Trading volume - fixed income 0085 Trading volume - equities and other securities 0090 Notional amount of OTC derivatives, including insurance subsidiaries 0100 Trading and AFS securities 0110 Level 3 assets, including insurance subsidiaries 0120 Cross-jurisdictional claims 0130 Cross-jurisdictional liabilities Items considering the European Banking Union as a single jurisdiction 0140 Total foreign claims on an ultimate risk basis 0150 Foreign derivatives claims on an ultimate risk basis 0160 Foreign liabilities on an immediate risk basis, including derivatives

ANNEX XII

ANNEX XXVII REPORTING INSTRUCTIONS FOR THE PURPOSE OF IDENTIFYING G-SIIs AND ASSIGNING G-SII BUFFER RATES

PART I GENERAL INSTRUCTIONS

1. Structure and conventions

1.

1.1.1. Structure This reporting requirements aiming to support the identification of globally systemically important institutions (G-SIIs) and assigning corresponding G-SII buffer rates consist of one template capturing information on indicators of global systemic importance and particular items needed for the application of the Union’s methodology for identifying G-SIIs and assigning corresponding G-SII buffer rates.

1.2.2.3.4.5. Numbering convention The document follows the labelling convention set in points 3 to 5, 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}. Where references are made inside a template, and therefore only data points of that template are used, the notation does not include a template: {Row; Column}. Where templates have only one column, only rows are referred to {Template; Row}. An asterisk sign is used to express that the reference captures the rows or columns specified before.

1.3.6. Sign convention Any amount that increases the value of the indicator, the assets, liabilities or exposures shall be reported as a positive figure. Any amount that reduces the the value of the indicator, the assets, liabilities or exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.

PART II TEMPLATE RELATED INSTRUCTIONS

1.8.9. General remarks The template is divided into two sections. The upper section on G-SII indicators includes the indicators for identifying globally systemically important institutions as defined in the methodology developed by the Basel Committee on Banking Supervision. The lower section contains a number of items needed to calculate the relevant indicators in accordance with the methodology defined on the basis of Article 131(18) of Directive 2013/36/EU. Where relevant, the information provided in this template shall be consistent with the information provided to relevant authorities for the purposes of the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014.

2. Instructions concerning specific positions Row Legal references and instructions 0010 – 0130 0010 Total exposures, including insurance subsidiaries 0020 Intra-financial system assets, including insurance subsidiaries 0030 Intra-financial system liabilities, including insurance subsidiaries 0040 Securities outstanding, including securities issued by insurance subsidiaries 0050 Payments activity 0060 Assets under custody 0070 Underwriting activity 0081 Trading volume – fixed income 0085 Trading volume – equities and other securities 0090 Notional amount of OTC derivatives, including insurance subsidiaries 0100 Trading and AFS securities 0110 Level 3 assets, including insurance subsidiaries 0120 Cross-jurisdictional claims 0130 Cross-jurisdictional liabilities 0140 – 0160 0140 0150 0160

2. G-SII indicators

The definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014. In case of changes to the definitions in that methodolgy, those amended definitions in the methodology applicable for determing the indicators values as of the end of the financial year (year-end methodology) shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year. Where the template of Annex XXVI is subject to amendments in the course of the financial year in question, the year-end methodology shall be applied from the first applicable reference dates after the entry into force of the amending Regulation. Indicators that are flow measures shall be reported on a cumulative basis since the beginning of the calendar or financial year, as applicable.

Items considering the European Banking Union as a single jurisdiction

For the purposes of determining the items specified below and in the absence of specifications in the instructions below, the definitions and concepts applied shall be aligned, to the extent possible, with the definitions and concepts defined in the Guidelines for reporting the BIS international banking statistics. By derogation from that, the reporting entities’ activities across participating Member States as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council shall be excluded, i.e. the Participating Member States shall be considered as one single jurisdiction.

Total foreign claims on an ultimate risk basis

Total foreign claims shall be the sum of cross-border claims and local claims of foreign affiliates in local or foreign currency. Claims from positions in derivative contracts shall be excluded. Claims, cross-border claims, local claims of foreign affiliates in foreign and local currency shall have the same meaning as defined in the Guidelines for reporting the BIS international banking statistics. On an ultimate risk basis shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to a third party that has contracted to assume the debts or obligations of the primary counterparty if that party fails to perform, where such a third party exists. This allocation shall be made in accordance with the provisions on risk transfers provided in the Guidelines for reporting the BIS international banking statistics.

Foreign derivatives claims on an ultimate risk basis

The positive fair value of all derivative claims that are cross-border claims, or local claims of foreign affiliates in local or foreign currency. Derivatives include forwards, swaps, and options related to foreign exchange, interest rate, equity, commodity, and credit instruments. This includes purchased credit derivatives that hedge or offset credit protection sold or are held for trading purposes. In case of such purchased credit derivatives, the value shall not be capped at the value of the immediate claim it was purchased to guarantee. The positive fair values of derivative contracts may be offset against negative fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Only netting sets with a positive value shall be included in this item. The derivative claims shall be reported gross of any cash collateral. For the purposes of reporting information on an ultimate risk basis, the following shall apply:

a)

When the final risk lies with the counterparty, a derivative is considered foreign if the counterparty is not in the reporting entities’ home jurisdiction.

b)

When the final risk lies with the guarantor, a derivative is considered foreign if the guarantor is not in the reporting entities’ home jurisdiction.

Foreign liabilities on an immediate risk basis, including derivatives

Foreign liabilities, including derivatives, shall be the sum of foreign liabilities and foreign liabilities arising from derivatives. Securities liabilities that are tradable financial assets issued by the reporting institution shall be excluded from this item. The definition of derivatives shall be the same as applied for row 0150. The negative fair values of derivative contracts may be offset against positive fair values only if the positions were executed with the same counterparty under a legally enforceable netting agreement. Derivatives liabilities shall be reported gross of any collateral (cash and non-cash). On an immediate risk basis shall mean that, for the purposes of determining whether a claim is a cross-border or local claim, the position is allocated to the direct counterparty of the contract.

Versions

2022-11-21