Commission Implementing Regulation (EU) No 680/2014 Annex I: REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

COREP TEMPLATES

Template number | Template code | Name of the template/group of templates | Short name

| | CAPITAL ADEQUACY | CA

1 | C 01.00 | OWN FUNDS | CA1

2 | C 02.00 | OWN FUNDS REQUIREMENTS | CA2

3 | C 03.00 | CAPITAL RATIOS | CA3

4 | C 04.00 | MEMORANDUM ITEMS: | CA4

| | TRANSITIONAL PROVISIONS | CA5

5.1 | C 05.01 | TRANSITIONAL PROVISIONS | CA5.1

5.2 | C 05.02 | GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID | CA5.2

| | GROUP SOLVENCY | GS

6.1 | C 06.01 | GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL | GS Total

6.2 | C 06.02 | GROUP SOLVENCY: INFORMATION ON AFFILIATES | GS

| | CREDIT RISK | CR

7 | C 07.00 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS | CR SA

| | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS | CR IRB

8.1 | C 08.01 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS | CR IRB 1

8.2 | C 08.02 | CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) | CR IRB 2

| | GEOGRAPHICAL BREAKDOWN | CR GB

9.1 | C 09.01 | Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) | CR GB 1

9.2 | C 09.02 | Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) | CR GB 2

9.3 | C 09.03 | Table 9.3 - ~~Breakdown~~Geographical ~~of total own funds requirements for credit risk~~breakdown of relevant credit exposures byfor ~~country~~the purpose of calculation of the institution-specific countercyclical buffer | CR GB 3

| | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS | CR EQU IRB

10.1 | C 10.01 | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS | CR EQU IRB 1

10.2 | C 10.02 | CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: | CR EQU IRB 2

11 | C 11.00 | SETTLEMENT/DELIVERY RISK | CR SETT

12 | C 12.00 | CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS | CR SEC SA

13 | C 13.00 | CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS | CR SEC IRB

14 | C 14.00 | DETAILED INFORMATION ON SECURITISATIONS | CR SEC Details

| | OPERATIONAL RISK | OPR

16 | C 16.00 | OPERATIONAL RISK | OPR

17 | C 17.00 | OPERATIONAL RISK: ~~GROSS~~LOSSES ~~LOSSES~~AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR | OPR Details

| | MARKET RISK | MKR

18 | C 18.00 | MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS | MKR SA TDI

19 | C 19.00 | MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS | MKR SA SEC

20 | C 20.00 | MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO | MKR SA CTP

21 | C 21.00 | MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES | MKR SA EQU

22 | C 22.00 | MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK | MKR SA FX

23 | C 23.00 | MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES | MKR SA COM

24 | C 24.00 | MARKET RISK INTERNAL MODELS | MKR IM

25 | C 25.00 | CREDIT VALUE ADJUSTMENT RISK | CVA

C 01.00 — OWN FUNDS (CA1)

Rows | ID | Item | Amount

010 | 1 | OWN FUNDS |

015 | 1.1 | TIER 1 CAPITAL |

020 | 1.1.1 | COMMON EQUITY TIER 1 CAPITAL |

030 | 1.1.1.1 | Capital instruments eligible as CET1 Capital |

040 | 1.1.1.1.1 | Paid up capital instruments |

045 | 1.1.1.1.1* | Of which: Capital instruments subscribed by public authorities in emergency situations |

050 | 1.1.1.1.2* | Memorandum item: Capital instruments not eligible |

060 | 1.1.1.1.3 | Share premium |

070 | 1.1.1.1.4 | (-) Own CET1 instruments |

080 | 1.1.1.1.4.1 | (-) Direct holdings of CET1 instruments |

090 | 1.1.1.1.4.2 | (-) Indirect holdings of CET1 instruments |

091 | 1.1.1.1.4.3 | (-) Synthetic holdings of CET1 instruments |

092 | 1.1.1.1.5 | (-) Actual or contingent obligations to purchase own CET1 instruments |

130 | 1.1.1.2 | Retained earnings |

140 | 1.1.1.2.1 | Previous years retained earnings |

150 | 1.1.1.2.2 | Profit or loss eligible |

160 | 1.1.1.2.2.1 | Profit or loss attributable to owners of the parent |

170 | 1.1.1.2.2.2 | (-) Part of interim or year-end profit not eligible |

180 | 1.1.1.3 | Accumulated other comprehensive income |

200 | 1.1.1.4 | Other reserves |

210 | 1.1.1.5 | Funds for general banking risk |

220 | 1.1.1.6 | Transitional adjustments due to grandfathered CET1 Capital instruments |

230 | 1.1.1.7 | Minority interest given recognition in CET1 capital |

240 | 1.1.1.8 | Transitional adjustments due to additional minority interests |

250 | 1.1.1.9 | Adjustments to CET1 due to prudential filters |

260 | 1.1.1.9.1 | (-) Increases in equity resulting from securitised assets |

270 | 1.1.1.9.2 | Cash flow hedge reserve |

280 | 1.1.1.9.3 | Cumulative gains and losses due to changes in own credit risk on fair valued liabilities |

285 | 1.1.1.9.4 | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities |

290 | 1.1.1.9.5 | (-) Value adjustments due to the requirements for prudent valuation |

300 | 1.1.1.10 | (-) Goodwill |

310 | 1.1.1.10.1 | (-) Goodwill accounted for as intangible asset |

320 | 1.1.1.10.2 | (-) Goodwill included in the valuation of significant investments |

330 | 1.1.1.10.3 | Deferred tax liabilities associated to goodwill |

340 | 1.1.1.11 | (-) Other intangible assets |

350 | 1.1.1.11.1 | (-) Other intangible assets before deduction of deferred tax liabilities |

360 | 1.1.1.11.2 | Deferred tax liabilities associated to other intangible assets |

370 | 1.1.1.12 | (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities |

380 | 1.1.1.13 | (-) IRB shortfall of credit risk adjustments to expected losses |

390 | 1.1.1.14 | (-) Defined benefit pension fund assets |

400 | 1.1.1.14.1 | (-) Defined benefit pension fund assets |

410 | 1.1.1.14.2 | Deferred tax liabilities associated to defined benefit pension fund assets |

420 | 1.1.1.14.3 | Defined benefit pension fund assets which the institution has an unrestricted ability to use |

430 | 1.1.1.15 | (-) Reciprocal cross holdings in CET1 Capital |

440 | 1.1.1.16 | (-) Excess of deduction from AT1 items over AT1 Capital |

450 | 1.1.1.17 | (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight |

460 | 1.1.1.18 | (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight |

470 | 1.1.1.19 | (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight |

471 | 1.1.1.20 | (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight |

472 | 1.1.1.21 | (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight |

480 | 1.1.1.22 | (-) CET1 instruments of financial sector entites where the institution does not have a significant investment |

490 | 1.1.1.23 | (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences |

500 | 1.1.1.24 | (-) CET1 instruments of financial sector entities where the institution has a significant investment |

510 | 1.1.1.25 | (-) Amount exceeding the ~~17.65~~17,65 % threshold |

520 | 1.1.1.26 | Other transitional adjustments to CET1 Capital |

524 | 1.1.1.27 | (-) Additional deductions of CET1 Capital due to Article 3 CRR |

529 | 1.1.1.28 | CET1 capital elements or deductions -— other |

530 | 1.1.2 | ADDITIONAL TIER 1 CAPITAL |

540 | 1.1.2.1 | Capital instruments eligible as AT1 Capital |

550 | 1.1.2.1.1 | Paid up capital instruments |

560 | 1.1.2.1.2* | Memorandum item: Capital instruments not eligible |

570 | 1.1.2.1.3 | Share premium |

580 | 1.1.2.1.4 | (-) Own AT1 instruments |

590 | 1.1.2.1.4.1 | (-) Direct holdings of AT1 instruments |

620 | 1.1.2.1.4.2 | (-) Indirect holdings of AT1 instruments |

621 | 1.1.2.1.4.3 | (-) Synthetic holdings of AT1 instruments |

622 | 1.1.2.1.5 | (-) Actual or contingent obligations to purchase own AT1 instruments |

660 | 1.1.2.2 | Transitional adjustments due to grandfathered AT1 Capital instruments |

670 | 1.1.2.3 | Instruments issued by subsidiaries that are given recognition in AT1 Capital |

680 | 1.1.2.4 | Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries |

690 | 1.1.2.5 | (-) Reciprocal cross holdings in AT1 Capital |

700 | 1.1.2.6 | (-) AT1 instruments of financial sector entities where the institution does not have a significant investment |

710 | 1.1.2.7 | (-) AT1 instruments of financial sector entities where the institution has a significant investment |

720 | 1.1.2.8 | (-) Excess of deduction from T2 items over T2 Capital |

730 | 1.1.2.9 | Other transitional adjustments to AT1 Capital |

740 | 1.1.2.10 | Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) |

744 | 1.1.2.11 | (-) Additional deductions of AT1 Capital due to Article 3 CRR |

748 | 1.1.2.12 | AT1 capital elements or deductions -— other |

750 | 1.2 | TIER 2 CAPITAL |

760 | 1.2.1 | Capital instruments and subordinated loans eligible as T2 Capital |

770 | 1.2.1.1 | Paid up capital instruments and subordinated loans |

780 | 1.2.1.2* | Memorandum item: Capital instruments and subordinated loans not eligible |

790 | 1.2.1.3 | Share premium |

800 | 1.2.1.4 | (-) Own T2 instruments |

810 | 1.2.1.4.1 | (-) Direct holdings of T2 instruments |

840 | 1.2.1.4.2 | (-) Indirect holdings of T2 instruments |

841 | 1.2.1.4.3 | (-) Synthetic holdings of T2 instruments |

842 | 1.2.1.5 | (-) Actual or contingent obligations to purchase own T2 instruments |

880 | 1.2.2 | Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans |

890 | 1.2.3 | Instruments issued by subsidiaries that are given recognition in T2 Capital |

900 | 1.2.4 | Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries |

910 | 1.2.5 | IRB Excess of provisions over expected losses eligible |

920 | 1.2.6 | SA General credit risk adjustments |

930 | 1.2.7 | (-) Reciprocal cross holdings in T2 Capital |

940 | 1.2.8 | (-) T2 instruments of financial sector entities where the institution does not have a significant investment |

950 | 1.2.9 | (-) T2 instruments of financial sector entities where the institution has a significant investment |

960 | 1.2.10 | Other transitional adjustments to T2 Capital |

970 | 1.2.11 | Excess of deduction from T2 items over T2 Capital (deducted in AT1) |

974 | 1.2.12 | (-) Additional deductions of T2 Capital due to Article 3 CRR |

~~978 | 1.2.13 | T2 capital elements or deductions - other |~~

C 02.00 — OWN FUNDS REQUIREMENTS (CA2)

Rows | Item | Label | Amount

010 | 1 | TOTAL RISK EXPOSURE AMOUNT |

020 | 1* | Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR |

030 | 1** | Of which: Investment firms under Article 96 paragraph 2 and Article 97 of CRR |

040 | 1.1 | RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES |

050 | 1.1.1 | Standardised approach (SA) |

060 | 1.1.1.1 | SA exposure classes excluding securitisation positions |

070 | 1.1.1.1.01 | Central governments or central banks |

080 | 1.1.1.1.02 | Regional governments or local authorities |

090 | 1.1.1.1.03 | Public sector entities |

100 | 1.1.1.1.04 | Multilateral Development Banks |

110 | 1.1.1.1.05 | International Organisations |

120 | 1.1.1.1.06 | Institutions |

130 | 1.1.1.1.07 | Corporates |

140 | 1.1.1.1.08 | Retail |

150 | 1.1.1.1.09 | Secured by mortgages on immovable property |

160 | 1.1.1.1.10 | Exposures in default |

170 | 1.1.1.1.11 | Items associated with particular high risk |

180 | 1.1.1.1.12 | Covered bonds |

190 | 1.1.1.1.13 | Claims on institutions and corporates with a short-term credit assessment |

200 | 1.1.1.1.14 | Collective investments undertakings (CIU) |

210 | 1.1.1.1.15 | Equity |

211 | 1.1.1.1.16 | Other items |

220 | 1.1.1.2 | Securitisation positions SA |

230 | 1.1.1.2* | of which: resecuritisation |

240 | 1.1.2 | Internal ratings based Approach (IRB) |

250 | 1.1.2.1 | IRB approaches when neither own estimates of LGD nor Conversion Factors are used |

260 | 1.1.2.1.01 | Central governments and central banks |

270 | 1.1.2.1.02 | Institutions |

280 | 1.1.2.1.03 | Corporates - SME |

290 | 1.1.2.1.04 | Corporates - Specialised Lending |

300 | 1.1.2.1.05 | Corporates - Other |

310 | 1.1.2.2 | IRB approaches when own estimates of LGD and/or Conversion Factors are used |

320 | 1.1.2.2.01 | Central governments and central banks |

330 | 1.1.2.2.02 | Institutions |

340 | 1.1.2.2.03 | Corporates - SME |

350 | 1.1.2.2.04 | Corporates - Specialised Lending |

360 | 1.1.2.2.05 | Corporates - Other |

370 | 1.1.2.2.06 | Retail - Secured by real estate SME |

380 | 1.1.2.2.07 | Retail - Secured by real estate non-SME |

390 | 1.1.2.2.08 | Retail - Qualifying revolving |

400 | 1.1.2.2.09 | Retail - Other SME |

410 | 1.1.2.2.10 | Retail - Other non-SME |

420 | 1.1.2.3 | Equity IRB |

430 | 1.1.2.4 | Securitisation positions IRB |

440 | 1.1.2.4* | Of which: resecuritisation |

450 | 1.1.2.5 | Other non credit-obligation assets |

460 | 1.1.3 | Risk exposure amount for contributions to the default fund of a CCP |

490 | 1.2 | TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY |

500 | 1.2.1 | Settlement/delivery risk in the non-Trading book |

510 | 1.2.2 | Settlement/delivery risk in the Trading book |

520 | 1.3 | TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS |

530 | 1.3.1 | Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) |

540 | 1.3.1.1 | Traded debt instruments |

550 | 1.3.1.2 | Equity |

560 | 1.3.1.3 | Foreign Exchange |

570 | 1.3.1.4 | Commodities |

580 | 1.3.2 | Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) |

590 | 1.4 | TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR) |

600 | 1.4.1 | OpR Basic indicator approach (BIA) |

610 | 1.4.2 | OpR Standardised (STA) / Alternative Standardised (ASA) approaches |

620 | 1.4.3 | OpR Advanced measurement approaches (AMA) |

630 | 1.5 | ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS |

640 | 1.6 | TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT |

650 | 1.6.1 | Advanced method |

660 | 1.6.2 | Standardised method |

670 | 1.6.3 | Based on OEM |

680 | 1.7 | TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK |

690 | 1.8 | OTHER RISK EXPOSURE AMOUNTS |

710 | 1.8.2 | Of which: Additional stricter prudential requirements based on Art 458 |

720 | 1.8.2* | Of which: requirements for large exposures |

730 | 1.8.2** | Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property |

740 | 1.8.2*** | Of which: due to intra financial sector exposures |

750 | 1.8.3 | Of which: Additional stricter prudential requirements based on Art 459 |

760 | 1.8.4 | Of which: Additional risk exposure amount due to Article 3 CRR |

C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

Rows | ID | Item | Amount

010 | 1 | CET1 Capital ratio |

020 | 2 | Surplus(+)/Deficit(-) of CET1 capital |

030 | 3 | T1 Capital ratio |

040 | 4 | Surplus(+)/Deficit(-) of T1 capital |

050 | 5 | Total capital ratio |

060 | 6 | Surplus(+)/Deficit(-) of total capital |

Memorandum Items: Capital ratios due to Pillar II adjustments

070 | 7 | CET1 capital ratio including Pillar II adjustments |

080 | 8 | Target CET1 capital ratio due to Pillar II adjustments |

090 | 9 | T1 capital ratio including Pillar II adjustments |

100 | 10 | Target T1 capital ratio due to Pillar II adjustments |

110 | 11 | Total capital ratio including Pillar II adjustments |

120 | 12 | Target Total capital ratio due to Pillar II adjustments |

C 04.00 — MEMORANDUM ITEMS (CA4)

Row | ID | Item | Column

Deferred tax assest and liabilities | 010

010 | 1 | Total deferred tax assets |

020 | 1.1 | Deferred tax assets that do not rely on future profitability |

030 | 1.2 | Deferred tax assets that rely on future profitability and do not arise from temporary differences |

040 | 1.3 | Deferred tax assets that rely on future profitability and arise from temporary differences |

050 | 2 | Total deferred tax liabilities |

060 | 2.1 | Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability |

070 | 2.2 | Deferred tax liabilities deductible from deferred tax assets that rely on future profitability |

080 | 2.2.1 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences |

090 | 2.2.2 | Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences |

Credit risk adjustments and expected losses

100 | 3 | IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures |

110 | 3.1 | Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount |

120 | 3.1.1 | General credit risk adjustments |

130 | 3.1.2 | Specific credit risk adjustments |

131 | 3.1.3 | Additional value adjustments and other own funds reductions |

140 | 3.2 | Total expected losses eligible |

145 | 4 | IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures |

150 | 4.1 | Specific credit risk adjustments and positions treated similarily |

155 | 4.2 | Total expected losses eligible |

160 | 5 | Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 |

170 | 6 | Total gross provisions eligible for inclusion in T2 capital |

180 | 7 | Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 |

Thresholds for Common Equity Tier 1 deductions

190 | 8 | Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment |

200 | 9 | 10 % CET1 threshold |

210 | 10 | ~~17.65~~17,65 % CET1 threshold |

~~220~~225 | 1111.1 | Eligible capital for the purposes of qualifying holdings outside the financial sector ~~and large exposures~~ |

226 | 11.2 | Eligible capital for the purposes of large exposures |

Investments in the capital of financial sector entities where the institution does not have a significant investment

230 | 12 | Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |

240 | 12.1 | Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |

250 | 12.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |

260 | 12.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above |

270 | 12.2 | Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |

280 | 12.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |

290 | 12.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above |

291 | 12.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |

292 | 12.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment |

293 | 12.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |

300 | 13 | Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions |

310 | 13.1 | Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |

320 | 13.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |

330 | 13.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above |

340 | 13.2 | Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |

350 | 13.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |

360 | 13.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above |

361 | 13.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |

362 | 13.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment |

363 | 13.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |

370 | 14 | Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions |

380 | 14.1 | Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |

390 | 14.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment |

400 | 14.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above |

410 | 14.2 | Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |

420 | 14.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment |

430 | 14.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above |

431 | 14.3 | Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |

432 | 14.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment |

433 | 14.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |

Investments in the capital of financial sector entities where the institution has a significant investment

440 | 15 | Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions |

450 | 15.1 | Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |

460 | 15.1.1 | Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment |

470 | 15.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above |

480 | 15.2 | Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |

490 | 15.2.1 | Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment |

500 | 15.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above |

501 | 15.3 | Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |

502 | 15.3.1 | Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment |

503 | 15.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |

510 | 16 | Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions |

520 | 16.1 | Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |

530 | 16.1.1 | Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment |

540 | 16.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above |

550 | 16.2 | Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |

560 | 16.2.1 | Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment |

570 | 16.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above |

571 | 16.3 | Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |

572 | 16.3.1 | Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment |

573 | 16.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |

580 | 17 | Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions |

590 | 17.1 | Direct holdings of T2 capital of financial sector entities where the institution has a significant investment |

600 | 17.1.1 | Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment |

610 | 17.1.2 | (-) Permitted offsetting short positions in relation to the direct gross holdings included above |

620 | 17.2 | Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |

630 | 17.2.1 | Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment |

640 | 17.2.2 | (-) Permitted offsetting short positions in relation to the indirect gross holdings included above |

641 | 17.3 | Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |

642 | 17.3.1 | Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment |

643 | 17.3.2 | (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above |

Total risk exposure amounts of holdings not deducted from the corresponding capital category:

650 | 18 | Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital |

660 | 19 | Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital |

670 | 20 | Risk weighted exposures of T2 holdings in financial sector entities which are not deducted from the institution's T2 capital |

Temporary waiver from deduction from own funds

680 | 21 | Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |

690 | 22 | Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |

700 | 23 | Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived |

~~710 | 24 | Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived |~~

C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)

Applicable percentage | Eligible amount without transitional provisions

Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060

010 | 1 | TOTAL ADJUSTMENTS | | | | | |

020 | 1.1 | GRANDFATHERED INSTRUMENTS | link to {CA1;r220} | link to {CA1;r660} | link to {CA1;r880} | | |

030 | 1.1.1 | Grandfathered instruments: Instruments constituting state aid | | | | | |

040 | 1.1.1.1 | Instruments that qualified as own funds according to 2006/48/EC | | | | | |

050 | 1.1.1.2 | Instruments issued by institutions that are incorporated in a Member State that is subject to an Economic Adjustment Programme | | | | | |

060 | 1.1.2 | Instruments not constituting state aid | link to {CA5.2;r010;c060} | link to {CA5.2;r020;c060} | link to {CA5.2;r090;c060} | | |

070 | 1.2 | MINORITY INTERESTS AND EQUIVALENTS | link to {CA1;r240} | link to {CA1;r680} | link to {CA1;r900} | | |

080 | 1.2.1 | Capital instruments and items that do not qualify as minority interests | | | | | |

090 | 1.2.2 | Transitional recognition in consolidated own funds of minority interests | | | | | |

091 | 1.2.3 | Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital | | | | | |

092 | 1.2.4 | Transitional recognition in consolidated own funds of qualifying Tier 2 capital | | | | | |

100 | 1.3 | OTHER TRANSITIONAL ADJUSTMENTS | link to {CA1;r520} | link to {CA1;r730} | link to {CA1;r960} | | |

110 | 1.3.1 | Unrealised gains and losses | | | | | |

120 | 1.3.1.1 | Unrealised gains | | | | | |

130 | 1.3.1.2 | Unrealised losses | | | | | |

133 | 1.3.1.3. | Unrealised gains on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 | | | | | |

136 | 1.3.1.4. | Unrealised loss on exposures to central governments classified in the "Available for sale" category of EU-endorsed IAS39 | | | | | |

138 | 1.3.1.5. | Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities | | | | | |

140 | 1.3.2 | Deductions | | | | | |

150 | 1.3.2.1 | Losses for the current financial year | | | | | |

160 | 1.3.2.2 | Intangible assets | | | | | |

170 | 1.3.2.3 | Deferred tax assets that rely on future profitability and do not arise from temporary differences | | | | | |

180 | 1.3.2.4 | IRB shortfall of provisions to expected losses | | | | | |

190 | 1.3.2.5 | Defined benefit pension fund assets | | | | | |

194 | 1.3.2.5* | of which: Introduction of amendments to IAS 19 - positive item | | | | | |

198 | 1.3.2.5** | of which: Introduction of amendments to IAS 19 - negative item | | | | | |

200 | 1.3.2.6 | Own instruments | | | | | |

210 | 1.3.2.6.1 | Own CET1 instruments | | | | | |

211 | 1.3.2.6.1** | of which: Direct holdings | | | | | |

212 | 1.3.2.6.1* | of which: Indirect holdings | | | | | |

220 | 1.3.2.6.2 | Own AT1 instruments | | | | | |

221 | 1.3.2.6.2** | of which: Direct holdings | | | | | |

222 | 1.3.2.6.2* | of which: Indirect holdings | | | | | |

230 | 1.3.2.6.3 | Own T2 instruments | | | | | |

231 | 1.3.2.6.3* | of which: Direct holdings | | | | | |

232 | 1.3.2.6.3** | of which: Indirect holdings | | | | | |

240 | 1.3.2.7 | Reciprocal cross holdings | | | | | |

250 | 1.3.2.7.1 | Reciprocal cross holdings in CET1 Capital | | | | | |

260 | 1.3.2.7.1.1 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution does not have a significant investment | | | | | |

270 | 1.3.2.7.1.2 | Reciprocal cross holdings in CET1 Capital of financial sector entities where the institution has a significant investment | | | | | |

280 | 1.3.2.7.2 | Reciprocal cross holdings in AT1 Capital | | | | | |

290 | 1.3.2.7.2.1 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution does not have a significant investment | | | | | |

300 | 1.3.2.7.2.2 | Reciprocal cross holdings in AT1 Capital of financial sector entities where the institution has a significant investment | | | | | |

310 | 1.3.2.7.3 | Reciprocal cross holdings in T2 Capital | | | | | |

320 | 1.3.2.7.3.1 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution does not have a significant investment | | | | | |

330 | 1.3.2.7.3.2 | Reciprocal cross holdings in T2 Capital of financial sector entities where the institution has a significant investment | | | | | |

340 | 1.3.2.8 | Own funds instruments of financial sector entities where the institution does not have a significant investment | | | | | |

350 | 1.3.2.8.1 | CET1 instruments of financial sector entities where the institution does not have a significant investment | | | | | |

360 | 1.3.2.8.2 | AT1 instruments of financial sector entities where the institution does not have a significant investment | | | | | |

370 | 1.3.2.8.3 | T2 instruments of financial sector entities where the institution does not have a significant investment | | | | | |

380 | 1.3.2.9 | Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment | | | | | |

390 | 1.3.2.10 | Own funds instruments of financial sector entities where the institution has a significant investment | | | | | |

400 | 1.3.2.10.1 | CET1 instruments of financial sector entities where the institution has a significant investment | | | | | |

410 | 1.3.2.10.2 | AT1 instruments of financial sector entities where the institution has a significant investment | | | | | |

420 | 1.3.2.10.3 | T2 instruments of financial sector entities where the institution has a significant investment | | | | | |

425 | 1.3.2.11 | Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items | | | | | |

430 | 1.3.3 | Additional filters and deductions | | | | | |

C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

Code | ID | Item | 010 | 020 | 030 | 040 | 050 | 060

010 | 1. | Instruments that qualified for point a) of Article 57 of 2006/48/EC | | | | | | link to {CA5.1;r060;c010)

020 | 2. | Instruments that qualified for point ca) of Article 57 and Article 154(8) and (9) of 2006/48/EC, subject to the limit of Article 489 | | | | | | link to {CA5.1;r060;c020)

030 | 2.1 | Total instruments without a call or an incentive to redeem | | | | | |

040 | 2.2. | Grandfathered instruments with a call and incentive to redeem | | | | | |

050 | 2.2.1 | Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity | | | | | |

060 | 2.2.2 | Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity | | | | | |

070 | 2.2.3 | Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity | | | | | |

080 | 2.3 | Excess on the limit of CET1 grandfathered instruments | | | | | |

090 | 3 | Items that qualified for points e), f), g) or h) of Article 57 of 2006/48/EC, subject to the limit of Article 490 | | | | | | link to {CA5.1;r060;c030)

100 | 3.1 | Total items without an incentive to redeem | | | | | |

110 | 3.2 | Grandfathered items with an incentive to redeem | | | | | |

120 | 3.2.1 | Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of CRR after the date of effective maturity | | | | | |

130 | 3.2.2 | Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | | | | | |

140 | 3.2.3 | Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of CRR after the date of effective maturity | | | | | |

150 | 3.3 | Excess on the limit of AT1 grandfathered instruments | | | | | |

C 06.01 — GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)

| INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM: GOODWILL (–) / (+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (–) GOODWILL / (+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | SYSTEMICAL IMPORTANT INSTITUTION BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480

010 | TOTAL | | | | | | | | | | | | | | | | | | | | | | | |

C 06.02 — GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | | TOTAL TIER 1 CAPITAL | | TIER 2 CAPITAL | | CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL | | QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL | MEMORANDUM ITEM:GOODWILL (-) / (+) NEGATIVE GOODWILL | OF WHICH: COMMON EQUITY TIER 1 | OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | SYSTEMICAL IMPORTANT INSTITUTION BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

| COMMON EQUITY TIER 1 CAPITAL | | ADDITIONAL TIER 1 CAPITAL | | MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

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~~

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK | POSITION, FX AND COMMODITIES RISKS | OPERATIONAL RISK | OTHER RISK EXPOSURE AMOUNTS

010 | 020 | 025 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110

| | | | | | | | | | |

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

OWN FUNDS | |

TOTAL TIER 1 CAPITAL | | | TIER 2 CAPITAL |

COMMON EQUITY TIER 1 CAPITAL | | ADDITIONAL TIER 1 CAPITAL |

OF WHICH: QUALIFYING OWN FUNDS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: QUALIFYING TIER 1 CAPITAL | RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS | OF WHICH: MINORITY INTERESTS | RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES | OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL | OF WHICH: QUALIFYING TIER 2 CAPITAL

010 | 020 | 025 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480

~~| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |~~

120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240

| | | | | | | | | | | |

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

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

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL | QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370

| | | | | | | | | | | |

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP | CAPITAL BUFFERS

| COMBINED BUFFER REQUIRE-MENTS |

OF WHICH: ADDITIONAL TIER 1 | OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT | OF WHICH: (-) GOODWILL/(+) NEGATIVE GOODWILL | CAPITAL CONSERVATION BUFFER | INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER | CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE | SYSTEMIC RISK BUFFER | SYSTEMICAL IMPORTANT INSTITUTION BUFFER | GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER | OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480

| | | | | | | | | |

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

SA Exposure class

~~010 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 215 | 220 | 230 | 240~~

~~010 | TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | Cell linked to CA | |~~

| | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS | EXPOSURE VALUE | | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

(-) GUARANTEES | (-) CREDIT DERIVATIVES

010 | 030 | 040 | 050 | 060

010 | TOTAL EXPOSURES | | | | |

020 | of which: SME | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

030 | of which: ~~SME~~Exposures subject to SME-supporting factor | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

040 | of which: Secured by mortgages on immovable property -— Residential property | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

050 | of which: Exposures under the permanent partial use of the standardised approach | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

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

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070 | On balance sheet exposures subject to credit risk | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

080 | Off balance sheet exposures subject to credit risk | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

| Exposures/Transactions subject to counterparty credit risk | | | | |

090 | Securities Financing Transactions | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

100 | of which: centrally cleared through a QCCP | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

110 | Derivatives & Long Settlement Transactions | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

120 | of which: centrally cleared through a QCCP | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

130 | From Contractual Cross Product Netting | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

~~140 | 0 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~150 | 2 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~160 | 4 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~170 | 10 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~180 | 20 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~190 | 35 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~200 | 50 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~210 | 70 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~220 | 75 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~230 | 100 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~240 | 150 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~250 | 250 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~260 | 370 % | | | | | | | | | | | | | | | | | | | | | | | |~~

~~270 | 1 250 % | | | | | | | | | | | | | | | | | | | | | | | |~~

140 | 0 % | | | | |

150 | 2 % | | | | |

160 | 4 % | | | | |

170 | 10 % | | | | |

180 | 20 % | | | | |

190 | 35 % | | | | |

200 | 50 % | | | | |

210 | 70 % | | | | |

220 | 75 % | | | | |

230 | 100 % | | | | |

240 | 150 % | | | | |

250 | 250 % | | | | |

260 | 370 % | | | | |

270 | 1 250 % | | | | |

280 | Other risk weights | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

MEMORANDUM ITEMS

290 | Exposures secured by mortgages on commercial immovable property | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

300 | Exposures in default subject to a risk weight of 100 % | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

310 | Exposures secured by mortgages on residential property | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

320 | Exposures in default subject to a risk weight of 150 % | | | | | ~~| | | | | | | | | | | | | | | | | | |~~

| | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

FUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM

(-) FINANCIAL COLLATERAL: SIMPLE METHOD | (-) OTHER FUNDED CREDIT PROTECTION | (-) TOTAL OUTFLOWS | TOTAL INFLOWS (+)

070 | 080 | 090 | 100 | 110

010 | TOTAL EXPOSURES | | | | |

020 | of which: SME | | | | |

030 | of which: Exposures subject to SME-supporting factor | | | | |

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

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

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

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070 | On balance sheet exposures subject to credit risk | | | | |

080 | Off balance sheet exposures subject to credit risk | | | | |

| Exposures/Transactions subject to counterparty credit risk | | | | |

090 | Securities Financing Transactions | | | | |

100 | of which: centrally cleared through a QCCP | | | | |

110 | Derivatives & Long Settlement Transactions | | | | |

120 | of which: centrally cleared through a QCCP | | | | |

130 | From Contractual Cross Product Netting | | | | |

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140 | 0 % | | | | |

150 | 2 % | | | | |

160 | 4 % | | | | |

170 | 10 % | | | | |

180 | 20 % | | | | |

190 | 35 % | | | | |

200 | 50 % | | | | |

210 | 70 % | | | | |

220 | 75 % | | | | |

230 | 100 % | | | | |

240 | 150 % | | | | |

250 | 250 % | | | | |

260 | 370 % | | | | |

270 | 1 250 % | | | | |

280 | Other risk weights | | | | |

MEMORANDUM ITEMS

290 | Exposures secured by mortgages on commercial immovable property | | | | |

300 | Exposures in default subject to a risk weight of 100 % | | | | |

310 | Exposures secured by mortgages on residential property | | | | |

320 | Exposures in default subject to a risk weight of 150 % | | | | |

| | 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

VOLATILITY ADJUSTMENT TO THE EXPOSURE | (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) | 0 % | 20 % | 50 % | 100 %

| (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

120 | 130 | 140 | 150 | 160 | 170 | 180 | 190

010 | TOTAL EXPOSURES | | | | | | | |

020 | of which: SME | | | | | | | |

030 | of which: Exposures subject to SME-supporting factor | | | | | | | |

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

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

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

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070 | On balance sheet exposures subject to credit risk | | | | | | | |

080 | Off balance sheet exposures subject to credit risk | | | | | | | |

| Exposures/Transactions subject to counterparty credit risk | | | | | | | |

090 | Securities Financing Transactions | | | | | | | |

100 | of which: centrally cleared through a QCCP | | | | | | | |

110 | Derivatives & Long Settlement Transactions | | | | | | | |

120 | of which: centrally cleared through a QCCP | | | | | | | |

130 | From Contractual Cross Product Netting | | | | | | | |

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140 | 0 % | | | | | | | |

150 | 2 % | | | | | | | |

160 | 4 % | | | | | | | |

170 | 10 % | | | | | | | |

180 | 20 % | | | | | | | |

190 | 35 % | | | | | | | |

200 | 50 % | | | | | | | |

210 | 70 % | | | | | | | |

220 | 75 % | | | | | | | |

230 | 100 % | | | | | | | |

240 | 150 % | | | | | | | |

250 | 250 % | | | | | | | |

260 | 370 % | | | | | | | |

270 | 1 250 % | | | | | | | |

280 | Other risk weights | | | | | | | |

MEMORANDUM ITEMS

290 | Exposures secured by mortgages on commercial immovable property | | | | | | | |

300 | Exposures in default subject to a risk weight of 100 % | | | | | | | |

310 | Exposures secured by mortgages on residential property | | | | | | | |

320 | Exposures in default subject to a risk weight of 150 % | | | | | | | |

| | EXPOSURE VALUE | | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR |

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

200 | 210 | 215 | 220 | 230 | 240

020 | of which: SME | | | | | |

030 | of which: Exposures subject to SME-supporting factor | | | | | |

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

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

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

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

070 | On balance sheet exposures subject to credit risk | | | | | |

080 | Off balance sheet exposures subject to credit risk | | | | | |

| Exposures/Transactions subject to counterparty credit risk | | | | | |

090 | Securities Financing Transactions | | | | | |

▼C1

100 | of which: centrally cleared through a QCCP | | | | | |

110 | Derivatives & Long Settlement Transactions | | | | | |

120 | of which: centrally cleared through a QCCP | | | | | |

▼M3

130 | From Contractual Cross Product Netting | | | | | |

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

140 | 0 % | | | | | |

150 | 2 % | | | | | |

160 | 4 % | | | | | |

170 | 10 % | | | | | |

180 | 20 % | | | | | |

190 | 35 % | | | | | |

200 | 50 % | | | | | |

210 | 70 % | | | | | |

220 | 75 % | | | | | |

230 | 100 % | | | | | |

240 | 150 % | | | | | |

250 | 250 % | | | | | |

260 | 370 % | | | | | |

270 | 1 250 % | | | | | |

280 | Other risk weights | | | | | |

MEMORANDUM ITEMS

290 | Exposures secured by mortgages on commercial immovable property | | | | | |

300 | Exposures in default subject to a risk weight of 100 % | | | | | |

310 | Exposures secured by mortgages on residential property | | | | | |

320 | Exposures in default subject to a risk weight of 150 % | | | | | |

C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

| INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | | EXPOSURE VALUE | | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | MEMORANDUM ITEMS:

010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100

010 | TOTAL EXPOSURES | | | | | | | | | |

015 | of which: Exposures subject to SME-supporting factor | | | | | | | | | |

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020 | On balance sheet items subject to credit risk | | | | | | | | | |

030 | Off balance sheet items subject to credit risk | | | | | | | | | |

| Exposures/Transactions subject to counterparty credit risk | | | | | | | | | |

040 | Securities Financing Transactions | | | | | | | | | |

050 | Derivatives & Long Settlement Transactions | | | | | | | | | |

060 | From Contractual Cross Product Netting | | | | | | | | | |

070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | | | | | | | | | |

080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | | | | | | | | | |

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

090 | RISK WEIGHT: 0 % | | | | | | | | | |

100 | 50 % | | | | | | | | | |

110 | 70 % | | | | | | | | | |

120 | Of which: in category 1 | | | | | | | | | |

130 | 90 % | | | | | | | | | |

140 | 115 % | | | | | | | | | |

150 | 250 % | | | | | | | | | |

160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | | | | | | | | | |

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

180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | | | | | | | | | |

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

OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION | FUNDED CREDIT PROTECTION

REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES

~~010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 |~~ 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 ~~| 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300~~

010 | TOTAL EXPOSURES | | | | | | | | | | | ~~| | | | | | | | | | | | | | | |~~ ~~Cell linked to CA | | | |~~

015 | of which: Exposures ~~/ Transactions~~ subject to ~~counterparty~~SME-supporting ~~credit risk~~factor | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

| BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020 | On balance sheet items subject to credit risk | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

030 | Off balance sheet items subject to credit risk | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

| Exposures/Transactions subject to counterparty credit risk | | | | | | | | | | |

040 | Securities Financing Transactions | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

050 | Derivatives & Long Settlement Transactions | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

060 | From Contractual Cross Product Netting | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

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

090 | RISK WEIGHT: 0 % | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

100 | 50 % | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

110 | 70 % | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

120 | Of which: in category 1 | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

130 | 90 % | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

140 | 115 % | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

150 | 250 % | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

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

180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | | | | | | | | | | | ~~| | | | | | | | | | | | | | | | | | | |~~

| SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR | MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION | EXPECTED LOSS AMOUNT | (-) VALUE ADJUSTMENTS AND PROVISIONS | NUMBER OF OBLIGORS

| OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300

015 | of which: Exposures subject to SME-supporting factor | | | | | | | | | |

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020 | On balance sheet items subject to credit risk | | | | | | | | | |

030 | Off balance sheet items subject to credit risk | | | | | | | | | |

| Exposures/Transactions subject to counterparty credit risk | | | | | | | | | |

040 | Securities Financing Transactions | | | | | | | | | |

050 | Derivatives & Long Settlement Transactions | | | | | | | | | |

060 | From Contractual Cross Product Netting | | | | | | | | | |

070 | EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL | | | | | | | | | |

080 | SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL | | | | | | | | | |

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

090 | RISK WEIGHT: 0 % | | | | | | | | | |

100 | 50 % | | | | | | | | | |

110 | 70 % | | | | | | | | | |

120 | Of which: in category 1 | | | | | | | | | |

130 | 90 % | | | | | | | | | |

140 | 115 % | | | | | | | | | |

150 | 250 % | | | | | | | | | |

160 | ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE | | | | | | | | | |

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

180 | DILUTION RISK: TOTAL PURCHASED RECEIVABLES | | | | | | | | | |

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)

IRB Exposure class:

Own estimates of LGD and/or conversion factors:

OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SYSTEM | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | | EXPOSURE VALUE | | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT | SUBJECT TO DOUBLE DEFAULT TREATMENT | EXPOSURE WEIGHTED AVERAGE LGD (%) | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR | MEMORANDUM ITEMS:

REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES

005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 255 | 260 | 270 | 280 | 290 | 300

| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

C 09.01 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)

Country:

010 | 020 | 040 | 050 | 055 | 060 | 070 | 075 | 080 | 090

010 | Central governments or central banks | | | | | | | | | |

020 | Regional governments or local authorities | | | | | | | | | |

030 | Public sector entities | | | | | | | | | |

040 | Multilateral Development Banks | | | | | | | | | |

050 | International Organisations | | | | | | | | | |

060 | Institutions | | | | | | | | | |

070 | Corporates | | | | | | | | | |

075 | of which: SME | | | | | | | | | |

080 | Retail | | | | | | | | | |

085 | of which: SME | | | | | | | | | |

090 | Secured by mortgages on immovable property | | | | | | | | | |

095 | of which: SME | | | | | | | | | |

100 | Exposures in default | | | | | | | | | |

110 | Items associated with particularly high risk | | | | | | | | | |

120 | Covered bonds | | | | | | | | | |

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

140 | Collective investments undertakings (CIU) | | | | | | | | | |

150 | Equity exposures | | | | | | | | | |

160 | Other exposures | | | | | | | | | |

C 09.02 — GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)

Country:

~~C 09.03 — BREAKDOWN OF TOTAL OWN FUNDS REQUIREMENTS FOR CREDIT RISK OF RELEVANT CREDIT EXPOSURES BY COUNTRY (CR GB 3)~~

010 | 030 | 040 | 050 | 055 | 060 | 070 | 080 ~~| 090 | 100 | 105 | 110 | 120 | 125 | 130~~

010 | Central governments or central banks | | | | | | | | ~~| | | | | | |~~

020 | Institutions | | | | | | | | ~~| | | | | | |~~

030 | Corporates | | | | | | | | ~~| | | | | | |~~

040 | Of Which: Specialised Lending | | | | | | | | ~~| | | | | | |~~

050 | Of Which: SME | | | | | | | | ~~| | | | | | |~~

060 | Retail | | | | | | | | ~~| | | | | | |~~

070 | Secured by real estate property | | | | | | | | ~~| | | | | | |~~

080 | SME | | | | | | | | ~~| | | | | | |~~

090 | Non-SME | | | | | | | | ~~| | | | | | |~~

100 | Qualifying Revolving | | | | | | | | ~~| | | | | | |~~

110 | Other Retail | | | | | | | | ~~| | | | | | |~~

120 | SME | | | | | | | | ~~| | | | | | |~~

130 | Non-SME | | | | | | | | ~~| | | | | | |~~

140 | Equity | | | | | | | | ~~| | | | | | |~~

| Total exposures | | | | | | | | ~~| | | | | | |~~

090 | 100 | 105 | 110 | 120 | 125 | 130

010 | Central governments or central banks | | | | | | |

020 | Institutions | | | | | | |

030 | Corporates | | | | | | |

040 | Of Which: Specialised Lending | | | | | | |

050 | Of Which: SME | | | | | | |

060 | Retail | | | | | | |

070 | Secured by real estate property | | | | | | |

080 | SME | | | | | | |

090 | Non-SME | | | | | | |

100 | Qualifying Revolving | | | | | | |

110 | Other Retail | | | | | | |

120 | SME | | | | | | |

130 | Non-SME | | | | | | |

140 | Equity | | | | | | |

C 09.03 — GEOGRAPHICAL BREAKDOWN OF RELEVANT CREDIT EXPOSURES FOR THE PURPOSE OF CALCULATION OF THE INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER (CR GB 3)

Country:

| Amount

010

010 | Own fund requirements ~~for credit risk~~ |

C 10.01 — CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)

UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS

010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090

020 | PD/LGD APRROACH: TOTAL | | | | | | | | |

050 | SIMPLE RISK WEIGHT APPROACH: TOTAL | | | | | | | | |

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

070 | RISK WEIGHT: 190 % | | | | | | | | |

080 | 290 % | | | | | | | | |

090 | 370 % | | | | | | | | |

100 | INTERNAL MODELS APPROACH | | | | | | | | |

110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS | | | | | | | | |

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)

UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPECTED LOSS AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE (%) | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS

005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090

| | | | | | | | |

C 11.00 — SETTLEMENT/DELIVERY RISK (CR SETT)

| UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE | PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS | OWN FUNDS REQUIREMENTS | TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

010 | 020 | 030 | 040

020 | Transactions unsettled up to 4 days (Factor 0 %) | | | |

030 | Transactions unsettled between 5 and 15 days (Factor 8 %) | | | |

040 | Transactions unsettled between 16 and 30 days (Factor 50 %) | | | |

050 | Transactions unsettled between 31 and 45 days (Factor 75 %) | | | |

060 | Transactions unsettled for 46 days or more (Factor 100 %) | | | |

080 | Transactions unsettled up to 4 days (Factor 0 %) | | | |

090 | Transactions unsettled between 5 and 15 days (Factor 8 %) | | | |

100 | Transactions unsettled between 16 and 30 days (Factor 50 %) | | | |

110 | Transactions unsettled between 31 and 45 days (Factor 75 %) | | | |

120 | Transactions unsettled for 46 days or more (Factor 100 %) | | | |

C 12.00 — CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)

| TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED | SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | (-) VALUE ADJUSTMENTS AND PROVISIONS | EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS | EXPOSURE VALUE | | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | RISK-WEIGHTED EXPOSURE AMOUNT | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

030 | ORIGINATOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

040 | ON-BALANCE SHEET ITEMS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

050 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

060 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

070 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

080 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

090 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

100 | EARLY AMORTISATION | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

110 | INVESTOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

120 | ON-BALANCE SHEET ITEMS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

130 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

140 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

150 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

160 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

170 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

180 | SPONSOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

190 | ON-BALANCE SHEET ITEMS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

200 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

210 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

220 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

230 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

240 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

| BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

250 | CQS 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

260 | CQS 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

270 | CQS 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

280 | CQS 4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

290 | ALL OTHER CQS AND UNRATED | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

C 13.00 — CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)

| TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED | SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES | SECURITISATION POSITIONS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS | (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) | FULLY ADJUSTED EXPOSURE VALUE (E*) | BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS | EXPOSURE VALUE | | BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS | (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS | RISK-WEIGHTED EXPOSURE AMOUNT | OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS | ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES | TOTAL RISK-WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460

030 | ORIGINATOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

040 | ON-BALANCE SHEET ITEMS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

050 | SECURITISATIONS | A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

060 | B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

070 | C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

080 | RE-SECURITISATIONS | D | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

090 | E | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

100 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

110 | SECURITISATIONS | A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

120 | B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

130 | C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

140 | RE-SECURITISATIONS | D | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

150 | E | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

160 | EARLY AMORTISATION | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

170 | INVESTOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

180 | ON-BALANCE SHEET ITEMS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

190 | SECURITISATIONS | A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

200 | B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

210 | C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

220 | RE-SECURITISATIONS | D | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

230 | E | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

240 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

250 | SECURITISATIONS | A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

260 | B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

270 | C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

280 | RE-SECURITISATIONS | D | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

290 | E | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

300 | SPONSOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

310 | ON-BALANCE SHEET ITEMS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

320 | SECURITISATIONS | A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

330 | B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

340 | C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

350 | RE-SECURITISATIONS | D | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

360 | E | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

370 | OFF-BALANCE SHEET ITEMS AND DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

380 | SECURITISATIONS | A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

390 | B | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

400 | C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

410 | RE-SECURITISATIONS | D | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

420 | E | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

| BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

430 | CQS 1 & S/T CQS 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

440 | CQS 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

450 | CQS 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

460 | CQS 4 & S/T CQS 2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

470 | CQS 5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

480 | CQS 6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

490 | CQS 7 & S/T CQS 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

500 | CQS 8 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

510 | CQS 9 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

520 | CQS 10 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

530 | CQS 11 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

540 | ALL OTHER CQS AND UNRATED | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

C 14.00 — DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

LONG | SHORT | SPECIFIC RISK

005 | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | 260 | 270 | 280 | 290 | 300 | 310 | 320 | 330 | 340 | 350 | 360 | 370 | 380 | 390 | 400 | 410 | 420 | 430 | 440 | 450 | 460 | 470 | 480

| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

C 16.00 — OPERATIONAL RISK (OPR)

YEAR-3 | YEAR-2 | LAST YEAR | YEAR-3 | YEAR-2 | LAST YEAR | OF WHICH: DUE TO AN ALLOCATION MECHANISM | OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION | (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

010 | 020 | 030 | 040 | 050 | 060 | 070 | O71 | 080 | 090 | 100 | 110 | 120

030 | CORPORATE FINANCE (CF) | | | | | | | | | | | | |

040 | TRADING AND SALES (TS) | | | | | | | | | | | | |

050 | RETAIL BROKERAGE (RBr) | | | | | | | | | | | | |

060 | COMMERCIAL BANKING (CB) | | | | | | | | | | | | |

070 | RETAIL BANKING (RB) | | | | | | | | | | | | |

080 | PAYMENT AND SETTLEMENT (PS) | | | | | | | | | | | | |

090 | AGENCY SERVICES (AS) | | | | | | | | | | | | |

100 | ASSET MANAGEMENT (AM) | | | | | | | | | | | | |

110 | COMMERCIAL BANKING (CB) | | | | | | | | | | | | |

120 | RETAIL BANKING (RB) | | | | | | | | | | | | |

C 17.00 — OPERATIONAL RISK: ~~GROSS~~LOSSES ~~LOSSES~~AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR Details)

MAPPING OF LOSSES TO BUSINESS LINES | EVENT TYPES | TOTAL EVENT TYPES | MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

Rows | | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100

020 | Total loss amount | | | | | | | | | |

030 | Maximum single loss | | | | | | | | | |

040 | Sum of the five largest losses | | | | | | | | | |

050 | Total loss recovery | | | | | | | | | |

120 | Total loss amount | | | | | | | | | |

130 | Maximum single loss | | | | | | | | | |

140 | Sum of the five largest losses | | | | | | | | | |

150 | Total loss recovery | | | | | | | | | |

220 | Total loss amount | | | | | | | | | |

230 | Maximum single loss | | | | | | | | | |

240 | Sum of the five largest losses | | | | | | | | | |

250 | Total loss recovery | | | | | | | | | |

320 | Total loss amount | | | | | | | | | |

330 | Maximum single loss | | | | | | | | | |

340 | Sum of the five largest losses | | | | | | | | | |

350 | Total loss recovery | | | | | | | | | |

420 | Total loss amount | | | | | | | | | |

430 | Maximum single loss | | | | | | | | | |

440 | Sum of the five largest losses | | | | | | | | | |

450 | Total loss recovery | | | | | | | | | |

520 | Total loss amount | | | | | | | | | |

530 | Maximum single loss | | | | | | | | | |

540 | Sum of the five largest losses | | | | | | | | | |

550 | Total loss recovery | | | | | | | | | |

620 | Total loss amount | | | | | | | | | |

630 | Maximum single loss | | | | | | | | | |

640 | Sum of the five largest losses | | | | | | | | | |

650 | Total loss recovery | | | | | | | | | |

720 | Total loss amount | | | | | | | | | |

730 | Maximum single loss | | | | | | | | | |

740 | Sum of the five largest losses | | | | | | | | | |

750 | Total loss recovery | | | | | | | | | |

820 | Total loss amount | | | | | | | | | |

830 | Maximum single loss | | | | | | | | | |

840 | Sum of the five largest losses | | | | | | | | | |

~~920~~850 | Total loss ~~amount~~recovery | | | | | | | | | |

911 | ≥ 10 000 and < 20 000 | | | | | | | | | |

912 | ≥ 20 000 and < 100 000 | | | | | | | | | |

913 | ≥ 100 000 and < 1 000 000 | | | | | | | | | |

914 | ≥ 1 000 000 | | | | | | | | | |

920 | Total loss amount. Of which: | | | | | | | | | |

921 | ≥ 10 000 and < 20 000 | | | | | | | | | |

922 | ≥ 20 000 and < 100 000 | | | | | | | | | |

923 | ≥ 100 000 and < 1 000 000 | | | | | | | | | |

924 | ≥ 1 000 000 | | | | | | | | | |

930 | Maximum single loss | | | | | | | | | |

940 | Sum of the five largest losses | | | | | | | | | |

950 | Total loss recovery | | | | | | | | | |

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

Currency:

| POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE

LONG | SHORT | LONG | SHORT

010 | 020 | 030 | 040 | 050 | 060 | 070

011 | General risk | | | | | | |

012 | Derivatives | | | | | | |

013 | Other assets and liabilities | | | | | | |

020 | Maturity-based approach | | | | | | |

030 | Zone 1 | | | | | | |

040 | 0 ≤ 1 month | | | | | | |

050 | > 1 ≤ 3 months | | | | | | |

060 | > 3 ≤ 6 months | | | | | | |

070 | > 6 ≤ 12 months | | | | | | |

080 | Zone 2 | | | | | | |

090 | > 1 ≤ 2 (1,9 for cupon of less than 3 %) years | | | | | | |

100 | > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3 %) years | | | | | | |

110 | > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3 %) years | | | | | | |

120 | Zone 3 | | | | | | |

130 | > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3 %) years | | | | | | |

140 | > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3 %) years | | | | | | |

150 | > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3 %) years | | | | | | |

160 | > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3 %) years | | | | | | |

170 | > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3 %) years | | | | | | |

180 | > 20 (> 10,6 ≤ 12,0 for cupon of less than 3 %) years | | | | | | |

190 | (> 12,0 ≤ 20,0 for cupon of less than 3 %) years | | | | | | |

200 | (> 20 for cupon of less than 3 %) years | | | | | | |

210 | Duration-based approach | | | | | | |

220 | Zone 1 | | | | | | |

230 | Zone 2 | | | | | | |

240 | Zone 3 | | | | | | |

250 | Specific risk | | | | | | |

251 | Own funds requirement for non-securitisation debt instruments | | | | | | |

260 | Debt securities under the first category in Table 1 | | | | | | |

270 | Debt securities under the second category in Table 1 | | | | | | |

280 | With residual term ≤ 6 months | | | | | | |

290 | With a residual term > 6 months and ≤ 24 months | | | | | | |

300 | With a residual term > 24 months | | | | | | |

310 | Debt securities under the third category in Table 1 | | | | | | |

320 | Debt securities under the fourth category in Table 1 | | | | | | |

321 | Rated nth-to default credit derivatives | | | | | | |

325 | Own funds requirement for securitisation instruments | | | | | | |

330 | Own funds requirement for the correlation trading portfolio | | | | | | |

340 | Particular approach for position risk in CIUs | | | | | | |

350 | Additional requirements for options (non-delta risks) | | | | | | |

360 | Simplified method | | | | | | |

370 | Delta plus approach - additional requirements for gamma risk | | | | | | |

380 | Delta plus approach - additional requirements for vega risk | | | | | | |

390 | Scenario matrix approach | | | | | | |

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

LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 150 % | 200 % | 225 % | 250 % | 300 % | 350 % | 425 % | 500 % | 650 % | 750 % | 850 % | RATED | UNRATED | | AVERAGE RISK WEIGHT (%) | | AVERAGE RISK WEIGHT (%) | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 150 % | 200 % | 225 % | 250 % | 300 % | 350 % | 425 % | 500 % | 650 % | 750 % | 850 % | RATED | UNRATED | | AVERAGE RISK WEIGHT (%) | | AVERAGE RISK WEIGHT (%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | SUM OF WEIGHTED NET LONG AND SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

010 | TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cell linked to MKR SA TDI {325:060}

020 | Of which: RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

030 | ORIGINATOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

040 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

050 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

060 | INVESTOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

070 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

080 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

090 | SPONSOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

100 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

110 | RE-SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

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

120 | 1. Residential mortgages | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

130 | 2. Commercial mortgages | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

140 | 3. Credit card receivables | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

150 | 4. Leasing | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

160 | 5. Loans to corporates or SMEs | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

170 | 6. Consumer loans | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

180 | 7. Trade receivables | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

190 | 8. Other assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

200 | 9. Covered Bondes | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

210 | 10. Other liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)

LONG | SHORT | (-) LONG | (-) SHORT | LONG | SHORT | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 250 % | 350 % | 425 % | 650 % | Other | RATED | UNRATED | | AVERAGE RISK WEIGHT (%) | | AVERAGE RISK WEIGHT (%) | 7 - 10 % | 12 - 18 % | 20 - 35 % | 40 - 75 % | 100 % | 250 % | 350 % | 425 % | 650 % | Other | RATED | UNRATED | | AVERAGE RISK WEIGHT (%) | | AVERAGE RISK WEIGHT (%) | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS | WEIGHTED NET LONG POSITIONS | WEIGHTED NET SHORT POSITIONS

010 | TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cell linked to MKR SA TDI {330:060}

| SECURITISATION POSITIONS:

020 | ORIGINATOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

030 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

040 | OTHER CTP POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

050 | INVESTOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

060 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

070 | OTHER CTP POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

080 | SPONSOR: TOTAL EXPOSURES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

090 | SECURITISATIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

100 | OTHER CTP POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

| N-TH-TO-DEFAULT CREDIT DERIVATES:

110 | N-TH-TO-DEFAULT CREDIT DERIVATIVES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

120 | OTHER CTP POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

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

National market:

| POSITIONS | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT

ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE

~~LONG | SHORT~~

LONG | SHORT | LONG | SHORT

010 | 020 | 030 | 040 | 050 | 060 | 070

020 | General risk | | | | | | |

021 | Derivatives | | | | | | |

022 | Other assets and liabilities | | | | | | |

030 | Exchange traded stock-index futures broadly diversified subject to particular approach | | | | | | |

040 | Other equities than exchange traded stock-index futures broadly diversified | | | | | | |

050 | Specific risk | | | | | | |

080 | Particular approach for position risk in CIUs | | | | | | |

090 | Additional requirements for options (non-delta risks) | | | | | | |

100 | Simplified method | | | | | | |

110 | Delta plus approach -— additional requirements for gamma risk | | | | | | |

120 | Delta plus approach -— additional requirements for vega risk | | | | | | |

130 | Scenario matrix approach | | | | | | |

C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

| ALL POSITIONS | NET POSITIONS | POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions) | OWN FUNDS REQUIREMENTS | TOTAL RISK EXPOSURE AMOUNT

020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100

020 | Currencies closely correlated | | | | | | | | |

030 | All other currencies (including CIUs treated as different currencies) | | | | | | | | |

040 | Gold | | | | | | | | |

050 | Additional requirements for options (non-delta risks) | | | | | | | | |

060 | Simplified method | | | | | | | | |

070 | Delta plus approach -— additional requirements for gamma risk | | | | | | | | |

080 | Delta plus approach -— additional requirements for vega risk | | | | | | | | |

090 | Scenario matrix approach | | | | | | | | |

BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

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

110 | Off-balance sheet items | | | | | | | | |

120 | Derivatives | | | | | | | | |

Memorandum items: CURRENCY POSITIONS

130 | Euro | | | | | | | | |

140 | Lek | | | | | | | | |

150 | Argentine Peso | | | | | | | | |

160 | Australian Dollar | | | | | | | | |

170 | Brazilian Real | | | | | | | | |

180 | Bulgarian Lev | | | | | | | | |

190 | Canadian Dollar | | | | | | | | |

200 | Czech Koruna | | | | | | | | |

210 | Danish Krone | | | | | | | | |

220 | Egyptian Pound | | | | | | | | |

230 | Pound Sterling | | | | | | | | |

240 | Forint | | | | | | | | |

250 | Yen | | | | | | | | |

270 | Lithuanian Litas | | | | | | | | |

280 | Denar | | | | | | | | |

290 | Mexican Peso | | | | | | | | |

300 | Zloty | | | | | | | | |

310 | Rumanian Leu | | | | | | | | |

320 | Russian Ruble | | | | | | | | |

330 | Serbian Dinar | | | | | | | | |

340 | Swedish Krona | | | | | | | | |

350 | Swiss Franc | | | | | | | | |

360 | Turkish Lira | | | | | | | | |

370 | Hryvnia | | | | | | | | |

380 | US Dollar | | | | | | | | |

390 | Iceland Krona | | | | | | | | |

400 | Norwegian Krone | | | | | | | | |

410 | Hong Kong Dollar | | | | | | | | |

420 | New Taiwan Dollar | | | | | | | | |

430 | New Zealand Dollar | | | | | | | | |

440 | Singapore Dollar | | | | | | | | |

450 | Won | | | | | | | | |

460 | Yuan Renminbi | | | | | | | | |

470 | Other | | | | | | | | |

480 | Croatian Kuna | | | | | | | | |

C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

LONG | SHORT

010 | 020 | 030 | 040 | 050 | 060 | 070

020 | Precious metals (except gold) | | | | | | |

030 | Base metals | | | | | | |

040 | Agricultural products (softs) | | | | | | |

050 | Others | | | | | | |

060 | Of which energy products (oil, gas) | | | | | | |

070 | Maturity ladder approach | | | | | | |

080 | Extended maturity ladder approach | | | | | | |

090 | Simplified approach: All positions | | | | | | |

100 | Additional requirements for options (non-delta risks) | | | | | | |

110 | Simplified method | | | | | | |

120 | Delta plus approach - additional requirements for gamma risk | | | | | | |

130 | Delta plus approach - additional requirements for vega risk | | | | | | |

140 | Scenario matrix approach | | | | | | |

C 24.00 — MARKET RISK INTERNAL MODELS (MKR IM)

030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180

| Memorandum items: BREAKDOWN OF MARKET RISK

020 | Traded debt instruments | | | | | | | | | | | | | | | |

030 | TDI - General risk | | | | | | | | | | | | | | | |

040 | TDI - Specific Risk | | | | | | | | | | | | | | | |

050 | Equities | | | | | | | | | | | | | | | |

060 | Equities - General risk | | | | | | | | | | | | | | | |

070 | Equities - Specific Risk | | | | | | | | | | | | | | | |

080 | Foreign Exchange risk | | | | | | | | | | | | | | | |

090 | Commodities risk | | | | | | | | | | | | | | | |

100 | Total amount for general risk | | | | | | | | | | | | | | | |

110 | Total amount for specific risk | | | | | | | | | | | | | | | |

C 25.00 — CREDIT VALUE ADJUSTMENT RISK (CVA)

010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140

010 | CVA risk total | | | | | | | | | Link to {CA2;r640;c010} | | | | |

020 | According to Advanced method | | | | | | | | | Link to {CA2;r650;c010} | | | | |

030 | According to Standardised method | | | | | | | | | Link to {CA2;r660;c010} | | | | |

040 | Based on OEM | | | | | | | | | Link to {CA2;r670;c010} | | | | |

Annex I - REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS