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~~

| | Capital adequacy | CA

1 | C 01.00 | OWN FUNDS | CA1

~~▼M7~~

2 | C 02.00 | OWN FUNDS REQUIREMENTS | CA2

~~▼M2~~

3 | C 03.00 | CAPITAL RATIOS | CA3

~~▼M7~~

4 | C 04.00 | MEMORANDUM ITEMS: | CA4

~~▼M2~~

| | 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~~Group ~~SOLVENCY~~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

~~▼M7~~

| | ~~CREDIT~~Credit ~~RISK~~risk | CR

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

~~▼M2~~

| | 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

~~▼M7~~

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

~~▼M7~~

9.4 | C 09.04 | Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate | CCB

~~▼M2~~

| | 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~~Operational ~~RISK~~risk | OPR

16 | C 16.00 | OPERATIONAL RISK | OPR

~~▼M7~~

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

| | ~~MARKET~~Market ~~RISK~~risk | MKR

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

~~▼M2~~

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

~~▼M7~~

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

~~▼M2~~

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

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

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

25 | C 25.00 | CREDIT VALUE ADJUSTMENT RISK | CVA

33 | C 33.00 | GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY | GOV

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 % 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 |

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 |

555 | 1.3.1.3 | Particular approach for position risk in CIUs |

556 | 1.3.1.3* | Memo item: CIUs exclusively invested in traded debt instruments |

557 | 1.3.1.3** | Memo item: CIUs invested exclusively in equity instruments or in mixed instruments |

560 | 1.3.1.4 | Foreign Exchange |

570 | 1.3.1.5 | Commodities |

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

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

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

610 | 1.4.2 | OpR Standardised ~~(STA) / Alternative~~(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(-)~~Surplus(+)/Deficit(–) of CET1 capital |

030 | 3 | T1 Capital ratio |

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

050 | 5 | Total capital ratio |

060 | 6 | ~~Surplus(+)/Deficit(-)~~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 |

093 | 2A | Tax overpayments and tax loss carry backs |

096 | 2B | Deferred Tax Assets subject to a risk weight of 250 % |

097 | 2C | Deferred Tax Assets subject to a risk weight of 0 % |

Credit risk adjustments and expected losses

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

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

120 | 3.1.1 | General credit risk adjustments |

130 | 3.1.2 | Specific credit risk adjustments |

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

140 | 3.2 | Total expected losses eligible |

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

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

155 | 4.2 | Total expected losses eligible |

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

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

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

Thresholds for Common Equity Tier 1 deductions

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

200 | 9 | ~~10%~~10 % CET1 threshold |

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

225 | 11.1 | Eligible capital for the purposes of qualifying holdings outside the financial sector |

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Temporary waiver from deduction from own funds

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

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

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

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~~‘Available for ~~sale"~~sale’ category of EU-endorsed IAS39 | | | | | |

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

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

140 | 1.3.2 | Deductions | | | | | |

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

385 | 1.3.2.9a | Deferred tax assets that are dependent on future profitability and arise from temporary differences | | | | | |

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

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

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

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

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

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

440 | 1.3.4 | Adjustments due to IFRS 9 transitional arrangements | | | | | |

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 4952 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 4952 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 4952 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~~COUNTERCYCLICAL 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

~~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 |~~

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)

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

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

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

~~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~~

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

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

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

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

SA Exposure class

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

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

015 | of which: Defaulted exposures | | | | | | | | | | | | | | | | | | | | | | | |

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

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

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

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

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

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

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

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

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

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

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

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

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

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

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

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

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

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

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

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

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

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

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

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

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

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

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

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

270 | ~~1250%~~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%~~100 % | | | | | | | | | | | | | | | | | | | | | | | |

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

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

~~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~~

| 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:

REAL ESTATE | OTHER PHYSICAL COLLATERAL | RECEIVABLES

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

| 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~~