Annex I - 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

8.3

C 08.03

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES

CR IRB 3

8.4

C 08.04

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS

CR IRB 4

8.5

C 08.05

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD

CR IRB 5

8.5.1

C 08.05.1

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B)

CR IRB 5B

8.6

C 08.06

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH

CR IRB 6

8.7

C 08.07

CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES

CR IRB 7

GEOGRAPHICAL BREAKDOWN

CR GB

9.1

C 09.01

Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)

CR GB 1

9.2

C 09.02

Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)

CR GB 2

9.4

C 09.04

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

CCB

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB

10.1

C 10.01

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS

CR EQU IRB 1

10.2

C 10.02

CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES:

CR EQU IRB 2

11

C 11.00

SETTLEMENT/DELIVERY RISK

CR SETT

13.1

C 13.01

CREDIT RISK: SECURITISATIONS

CR SEC

14

C 14.00

DETAILED INFORMATION ON SECURITISATIONS

CR SEC Details

14.1

C 14.01

DETAILED INFORMATION ON SECURITISATIONS BY APPROACH

CR SEC Details 2

COUNTERPARTY CREDIT RISK

CCR

34.01

C 34.01

COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS

CCR 1

34.02

C 34.02

COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH

CCR 2

34.03

C 34.03

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR

CCR 3

34.04

C 34.04

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM)

CCR 4

34.05

C 34.05

COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM)

CCR 5

34.06

C 34.06

COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES

CCR 6

34.07

C 34.07

COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE

CCR 7

34.08

C 34.08

COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES

CCR 8

34.09

C 34.09

COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES

CCR 9

34.10

C 34.10

COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs

CCR 10

34.11

C 34.11

COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM

CCR 11

OPERATIONAL RISK

OPR

16

C 16.00

OPERATIONAL RISK

OPR

OPERATIONAL RISK: LOSSES AND RECOVERIES

17.1

C 17.01

OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR

OPR DETAILS 1

17.2

C 17.02

OPERATIONAL RISK: LARGE LOSS EVENTS

OPR DETAILS 2

MARKET RISK

MKR

18

C 18.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS

MKR SA TDI

19

C 19.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

MKR SA SEC

20

C 20.00

MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO

MKR SA CTP

21

C 21.00

MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

MKR SA EQU

22

C 22.00

MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

MKR SA FX

23

C 23.00

MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

MKR SA COM

24

C 24.00

MARKET RISK INTERNAL MODELS

MKR IM

25

C 25.00

CREDIT VALUE ADJUSTMENT RISK

CVA

PRUDENT VALUATION

MKR

32.1

C 32.01

PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES

PRUVAL 1

32.2

C 32.02

PRUDENT VALUATION: CORE APPROACH

PRUVAL 2

32.3

C 32.03

PRUDENT VALUATION: MODEL RISK AVA

PRUVAL 3

32.4

C 32.04

PRUDENT VALUATION: CONCENTRATED POSITIONS AVA

PRUVAL 4

GENERAL GOVERNMENTS EXPOSURES

MKR

33

C 33.00

GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

GOV

NPE LOSS COVERAGE

NPE LC

35.1

C 35.01

NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES

NPE LC1

35.2

C 35.02

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC2

35.3

C 35.03

NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR

NPE LC3

Rows

ID

Item

Amount

0010

1

OWN FUNDS

0015

1.1

TIER 1 CAPITAL

0020

1.1.1

COMMON EQUITY TIER 1 CAPITAL

0030

1.1.1.1

Capital instruments eligible as CET1 Capital

0040

1.1.1.1.1

Fully paid up capital instruments

0045

1.1.1.1.1*

Of which: Capital instruments subscribed by public authorities in emergency situations

0050

1.1.1.1.2*

Memorandum item: Capital instruments not eligible

0060

1.1.1.1.3

Share premium

0070

1.1.1.1.4

(-) Own CET1 instruments

0080

1.1.1.1.4.1

(-) Direct holdings of CET1 instruments

0090

1.1.1.1.4.2

(-) Indirect holdings of CET1 instruments

0091

1.1.1.1.4.3

(-) Synthetic holdings of CET1 instruments

0092

1.1.1.1.5

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

0130

1.1.1.2

Retained earnings

0140

1.1.1.2.1

Previous years retained earnings

0150

1.1.1.2.2

Profit or loss eligible

0160

1.1.1.2.2.1

Profit or loss attributable to owners of the parent

0170

1.1.1.2.2.2

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

0180

1.1.1.3

Accumulated other comprehensive income

0200

1.1.1.4

Other reserves

0210

1.1.1.5

Funds for general banking risk

0220

1.1.1.6

Transitional adjustments due to grandfathered CET1 Capital instruments

0230

1.1.1.7

Minority interest given recognition in CET1 capital

0240

1.1.1.8

Transitional adjustments due to additional minority interests

0250

1.1.1.9

Adjustments to CET1 due to prudential filters

0260

1.1.1.9.1

(-) Increases in equity resulting from securitised assets

0270

1.1.1.9.2

Cash flow hedge reserve

0280

1.1.1.9.3

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

0285

1.1.1.9.4

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

0290

1.1.1.9.5

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

0300

1.1.1.10

(-) Goodwill

0310

1.1.1.10.1

(-) Goodwill accounted for as intangible asset

0320

1.1.1.10.2

(-) Goodwill included in the valuation of significant investments

0330

1.1.1.10.3

Deferred tax liabilities associated to goodwill

0335

1.1.1.10.4

Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons

0340

1.1.1.11

(-) Other intangible assets

0350

1.1.1.11.1

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

0352

1.1.1.11.1.1

(-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities

0360

1.1.1.11.2

Deferred tax liabilities associated to other intangible assets

0362

1.1.1.11.2.1

Of which: Deferred tax liabilities associated with software assets accounted for as intangible assets

0365

1.1.1.11.3

Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons

0370

1.1.1.12

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

0380

1.1.1.13

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

0390

1.1.1.14

(-) Defined benefit pension fund assets

0400

1.1.1.14.1

(-) Defined benefit pension fund assets

0410

1.1.1.14.2

Deferred tax liabilities associated to defined benefit pension fund assets

0420

1.1.1.14.3

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

0430

1.1.1.15

(-) Reciprocal cross holdings in CET1 Capital

0440

1.1.1.16

(-) Excess of deduction from AT1 items over AT1 Capital

0450

1.1.1.17

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

0460

1.1.1.18

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

0470

1.1.1.19

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

0471

1.1.1.20

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

0472

1.1.1.21

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

0480

1.1.1.22

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

0490

1.1.1.23

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

0500

1.1.1.24

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

0510

1.1.1.25

(-) Amount exceeding the 17.65% threshold

0511

1.1.1.25.1

(-) Amount exceeding the 17.65% threshold related to CET1 instruments of financial sector entities where the institution has a significant investment

0512

1.1.1.25.2

(-) Amount exceeding the 17.65% threshold related to deferred tax assets arising from temporary differences

0513

1.1.1.25A

(-) Insufficient coverage for non-performing exposures

0514

1.1.1.25B

(-) Minimum value commitment shortfalls

0515

1.1.1.25C

(-) Other foreseeable tax charges

0520

1.1.1.26

Other transitional adjustments to CET1 Capital

0524

1.1.1.27

(-) Additional deductions of CET1 Capital due to Article 3 of Regulation (EU) No 575/2013

0529

1.1.1.28

CET1 capital elements or deductions - other

0530

1.1.2

ADDITIONAL TIER 1 CAPITAL

0540

1.1.2.1

Capital instruments eligible as AT1 Capital

0551

1.1.2.1.1

Fully paid up, directly issued capital instruments

0560

1.1.2.1.2*

Memorandum item: Capital instruments not eligible

0571

1.1.2.1.3

Share premium

0580

1.1.2.1.4

(-) Own AT1 instruments

0590

1.1.2.1.4.1

(-) Direct holdings of AT1 instruments

0620

1.1.2.1.4.2

(-) Indirect holdings of AT1 instruments

0621

1.1.2.1.4.3

(-) Synthetic holdings of AT1 instruments

0622

1.1.2.1.5

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

0660

1.1.2.2

Transitional adjustments due to grandfathered AT1 Capital instruments

0670

1.1.2.3

Instruments issued by subsidiaries that are given recognition in AT1 Capital

0680

1.1.2.4

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

0690

1.1.2.5

(-) Reciprocal cross holdings in AT1 Capital

0700

1.1.2.6

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

0710

1.1.2.7

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

0720

1.1.2.8

(-) Excess of deduction from T2 items over T2 Capital

0730

1.1.2.9

Other transitional adjustments to AT1 Capital

0740

1.1.2.10

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

0744

1.1.2.11

(-) Additional deductions of AT1 Capital due to Article 3 of Regulation (EU) No 575/2013

0748

1.1.2.12

AT1 capital elements or deductions - other

0750

1.2

TIER 2 CAPITAL

0760

1.2.1

Capital instruments eligible as T2 Capital

0771

1.2.1.1

Fully paid up, directly issued capital instruments

0780

1.2.1.2*

Memorandum item: Capital instruments not eligible

0791

1.2.1.3

Share premium

0800

1.2.1.4

(-) Own T2 instruments

0810

1.2.1.4.1

(-) Direct holdings of T2 instruments

0840

1.2.1.4.2

(-) Indirect holdings of T2 instruments

0841

1.2.1.4.3

(-) Synthetic holdings of T2 instruments

0842

1.2.1.5

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

0880

1.2.2

Transitional adjustments due to grandfathered T2 Capital instruments

0890

1.2.3

Instruments issued by subsidiaries that are given recognition in T2 Capital

Rows

Item

Label

Amount

0010

1

TOTAL RISK EXPOSURE AMOUNT

0020

1*

Of which: Investment firms under Article 95, paragraph 2 and Article 98 of Regulation (EU) No 575/2013

0030

1**

Of which: Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013

0040

1.1

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

0050

1.1.1

Standardised approach (SA)

0051

1.1.1*

Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

0060

1.1.1.1

SA exposure classes excluding securitisation positions

0070

1.1.1.1.01

Central governments or central banks

0080

1.1.1.1.02

Regional governments or local authorities

0090

1.1.1.1.03

Public sector entities

0100

1.1.1.1.04

Multilateral Development Banks

0110

1.1.1.1.05

International Organisations

0120

1.1.1.1.06

Institutions

0130

1.1.1.1.07

Corporates

0140

1.1.1.1.08

Retail

0150

1.1.1.1.09

Secured by mortgages on immovable property

0160

1.1.1.1.10

Exposures in default

0170

1.1.1.1.11

Items associated with particular high risk

0180

1.1.1.1.12

Covered bonds

0190

1.1.1.1.13

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

0200

1.1.1.1.14

Collective investments undertakings (CIU)

0210

1.1.1.1.15

Equity

0211

1.1.1.1.16

Other items

0212

1.1.1.1.16.1

Of which: software assets accounted for as intangible assets

0240

1.1.2

Internal ratings based Approach (IRB)

0241

1.1.2*

Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013

0242

1.1.2**

Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013

0250

1.1.2.1

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

0260

1.1.2.1.01

Central governments and central banks

0270

1.1.2.1.02

Institutions

0280

1.1.2.1.03

Corporates - SME

0290

1.1.2.1.04

Corporates - Specialised Lending

0300

1.1.2.1.05

Corporates - Other

0310

1.1.2.2

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

0320

1.1.2.2.01

Central governments and central banks

0330

1.1.2.2.02

Institutions

0340

1.1.2.2.03

Corporates - SME

0350

1.1.2.2.04

Corporates - Specialised Lending

0360

1.1.2.2.05

Corporates - Other

0370

1.1.2.2.06

Retail - Secured by real estate SME

0380

1.1.2.2.07

Retail - Secured by real estate non-SME

0390

1.1.2.2.08

Retail - Qualifying revolving

0400

1.1.2.2.09

Retail - Other SME

0410

1.1.2.2.10

Retail - Other non-SME

0420

1.1.2.3

Equity IRB

0450

1.1.2.5

Other non credit-obligation assets

0455

1.1.2.5.1

Of which: software assets accounted for as intangible assets

0460

1.1.3

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

0470

1.1.4

Securitisation positions

0490

1.2

TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

0500

1.2.1

Settlement/delivery risk in the non-Trading book

0510

1.2.2

Settlement/delivery risk in the Trading book

0520

1.3

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

0530

1.3.1

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

0540

1.3.1.1

Traded debt instruments

0550

1.3.1.2

Equity

0555

1.3.1.3

Particular approach for position risk in CIUs

0556

1.3.1.3*

Memo item: CIUs exclusively invested in traded debt instruments

0557

1.3.1.3**

Memo item: CIUs invested exclusively in equity instruments or in mixed instruments

0560

1.3.1.4

Foreign Exchange

0570

1.3.1.5

Commodities

0580

1.3.2

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

0590

1.4

TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

0600

1.4.1

OpR Basic indicator approach (BIA)

0610

1.4.2

OpR Standardised (STA) / Alternative Standardised (ASA) approaches

0620

1.4.3

OpR Advanced measurement approaches (AMA)

0630

1.5

ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

0640

1.6

TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

0650

1.6.1

Advanced method

0660

1.6.2

Standardised method

0670

1.6.3

Based on OEM

0680

1.7

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

0690

1.8

OTHER RISK EXPOSURE AMOUNTS

0710

1.8.2

Of which: Additional stricter prudential requirements based on Article 458 of Regulation (EU) No 575/2013

0720

1.8.2*

Of which: requirements for large exposures

0730

1.8.2**

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

0740

1.8.2***

Of which: due to intra financial sector exposures

0750

1.8.3

Of which: Additional stricter prudential requirements based on Article 459 of Regulation (EU) No 575/2013

0760

1.8.4

Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013

Rows

ID

Item

Amount

0010

1

CET1 Capital ratio

0020

2

Surplus(+)/Deficit(-) of CET1 capital

0030

3

T1 Capital ratio

0040

4

Surplus(+)/Deficit(-) of T1 capital

0050

5

Total capital ratio

0060

6

Surplus(+)/Deficit(-) of total capital

Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G)

0130

13

Total SREP capital requirement (TSCR) ratio

0140

13*

TSCR: to be made up of CET1 capital

0150

13**

TSCR: to be made up of Tier 1 capital

0160

14

Overall capital requirement (OCR) ratio

0170

14*

OCR: to be made up of CET1 capital

0180

14**

OCR: to be made up of Tier 1 capital

0190

15

OCR and Pillar 2 Guidance (P2G)

0200

15*

OCR and P2G: to be made up of CET1 capital

0210

15**

OCR and P2G: to be made up of Tier 1 capital

0220

16

Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU

Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9

0300

20

CET1 Capital ratio without application of the transitional provisions on IFRS 9

0310

21

T1 Capital ratio without application of the transitional provisions on IFRS 9

0320

22

Total capital ratio without application of the transitional provisions on IFRS 9

Row

ID

Item

Column

Deferred tax assest and liabilities

0010

0010

1

Total deferred tax assets

0020

1.1

Deferred tax assets that do not rely on future profitability

0030

1.2

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

0040

1.3

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

0050

2

Total deferred tax liabilities

0060

2.1

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

0070

2.2

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

0080

2.2.1

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

0090

2.2.2

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

0093

2A

Tax overpayments and tax loss carry backs

0096

2B

Deferred Tax Assets subject to a risk weight of 250%

0097

2C

Deferred Tax Assets subject to a risk weight of 0%

Exception from deductions from CET1

0901

2W

Software assets accounted for as intangible assets exempted from the deduction from CET1

Accounting classification of AT1 instruments

0905

2Y

Capital instruments and the related share premium accounts classified as equity under applicable accounting standards

0906

2Z

Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards

Credit risk adjustments and expected losses

0100

3

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

0110

3.1

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

0120

3.1.1

General credit risk adjustments

0130

3.1.2

Specific credit risk adjustments

0131

3.1.3

Additional value adjustments and other own funds reductions

0140

3.2

Total expected losses eligible

0145

4

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

0150

4.1

Specific credit risk adjustments and positions treated similarily

0155

4.2

Total expected losses eligible

0160

5

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

0170

6

Total gross provisions eligible for inclusion in T2 capital

0180

7

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

Thresholds for Common Equity Tier 1 deductions

0190

8

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

0200

9

10% CET1 threshold

0210

10

17.65% CET1 threshold

0225

11

Eligible capital for the purposes of qualifying holdings outside the financial sector

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

0230

12

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

0240

12.1

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

0250

12.1.1

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

0260

12.1.2

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

0270

12.2

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

0280

12.2.1

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

0290

12.2.2

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

0291

12.3

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

0292

12.3.1

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

0293

12.3.2

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

0300

13

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

0310

13.1

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

0320

13.1.1

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

0330

13.1.2

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

0340

13.2

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

0350

13.2.1

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

0360

13.2.2

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

0361

13.3

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

0362

13.3.1

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

0363

13.3.2

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

0370

14

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

0380

14.1

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

0390

14.1.1

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

0400

14.1.2

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

0410

14.2

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

0420

14.2.1

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

0430

14.2.2

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

0431

14.3

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

0432

14.3.1

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

0433

14.3.2

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

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

0440

15

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

0450

15.1

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

0460

15.1.1

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

0470

15.1.2

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

0480

15.2

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

0490

15.2.1

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

0500

15.2.2

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

0501

15.3

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

0502

15.3.1

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

0503

15.3.2

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

0504

15A

Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250%

0510

16

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

0520

16.1

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

0530

16.1.1

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

0540

16.1.2

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

0550

16.2

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

0560

16.2.1

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

0570

16.2.2

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

0571

16.3

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

0572

16.3.1

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

0573

16.3.2

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

0580

17

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

0590

17.1

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

0600

17.1.1

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

0610

17.1.2

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

0620

17.2

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

0630

17.2.1

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

0640

17.2.2

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

0641

17.3

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

0642

17.3.1

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

0643

17.3.2

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

Adjustments to CET1

Adjustments to AT1

Adjustments to T2

Adjustments included in RWAs

Memorandum items

Applicable percentage

Eligible amount without transitional provisions

Code

ID

Item

0010

0020

0030

0040

0050

0060

0010

1

TOTAL ADJUSTMENTS

0020

1.1

GRANDFATHERED INSTRUMENTS

link to {CA1;r0220}

link to {CA1;r0660}

link to {CA1;r0880}

0060

1.1.2

Instruments not constituting state aid

0061

1.1.3

Instruments issued through special purpose vehicles

0062

1.1.4

Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements

0063

1.1.4.1*

of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of powers in accordance with Article 59 of Directive 2014/59/EU

0064

1.1.4.2*

of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU

0065

1.1.4.3*

of which: Instruments subject to set-off or netting arrangements

0070

1.2

MINORITY INTERESTS AND EQUIVALENTS

link to {CA1;r0240}

link to {CA1;r0680}

link to {CA1;r0900}

0080

1.2.1

Capital instruments and items that do not qualify as minority interests

0090

1.2.2

Transitional recognition in consolidated own funds of minority interests

0091

1.2.3

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

0092

1.2.4

Transitional recognition in consolidated own funds of qualifying Tier 2 capital

0100

1.3

OTHER TRANSITIONAL ADJUSTMENTS

link to {CA1;r0520}

link to {CA1;r0730}

link to {CA1;r0960}

0111

1.3.1.6

Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs

0112

1.3.1.6.1

of which: amount A

0140

1.3.2

Deductions

0170

1.3.2.3

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

0380

1.3.2.9

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

0385

1.3.2.9a

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

0425

1.3.2.11

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

0430

1.3.3

Additional filters and deductions

0440

1.3.4

Adjustments due to IFRS 9 transitional arrangements

0441

1.3.4.1

Memorandum item: ECL impact of the static component

0442

1.3.4.2

Memorandum item: ECL impact of the dynamic component for the period 01/01/2018 – 31/12/2019

0443

1.3.4.3

Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020

Amount of instruments plus related share premium

Base for calculating the limit

Applicable percentage

Limit

(-) Amount that exceeds the limits for grandfathering

Total grandfathered amount

Code

ID

Item

0010

0020

0030

0040

0050

0060

0010

1.

Instruments that qualified for Article 57, point (a) of Directive 2006/48/EC

link to {CA5.1;r060;c010)

0020

2.

Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013

link to {CA5.1;r060;c020)

0030

2.1

Total instruments without a call or an incentive to redeem

0040

2.2.

Grandfathered instruments with a call and incentive to redeem

0050

2.2.1

Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

0060

2.2.2

Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

0070

2.2.3

Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 of Regulation (EU) No 575/2013 after the date of effective maturity

0080

2.3

Excess on the limit of CET1 grandfathered instruments

0090

3

Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013

link to {CA5.1;r060;c030)

0100

3.1

Total items without an incentive to redeem

0110

3.2

Grandfathered items with an incentive to redeem

0120

3.2.1

Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

0130

3.2.2

Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

0140

3.2.3

Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 of Regulation (EU) No 575/2013 after the date of effective maturity

0150

3.3

Excess on the limit of AT1 grandfathered instruments

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

TOTAL RISK EXPOSURE AMOUNT

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

CONSOLIDATED OWN FUNDS

COMBINED BUFFER REQUIREMENTS

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

0010

TOTAL

ENTITIES WITHIN SCOPE OF CONSOLIDATION

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENTS

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP

CAPITAL BUFFERS

NAME

CODE

TYPE OF CODE

NATIONAL CODE

INSTITUTION OR EQUIVALENT (YES / NO)

TYPE OF ENTITY

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

COUNTRY CODE

SHARE OF HOLDING (%)

TOTAL RISK EXPOSURE AMOUNT

OWN FUNDS

TOTAL RISK EXPOSURE AMOUNT

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

CONSOLIDATED OWN FUNDS

COMBINED BUFFER REQUIREMENT

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

TOTAL TIER 1 CAPITAL

TIER 2 CAPITAL

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

POSITION, FX AND COMMODITIES RISKS

OPERATIONAL RISK

OTHER RISK EXPOSURE AMOUNTS

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

OF WHICH: COMMON EQUITY TIER 1

OF WHICH: ADDITIONAL TIER 1

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

CAPITAL CONSERVATION BUFFER

INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

SYSTEMIC RISK BUFFER

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

COMMON EQUITY TIER 1 CAPITAL

ADDITIONAL TIER 1 CAPITAL

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING OWN FUNDS

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

OF WHICH: QUALIFYING TIER 1 CAPITAL

RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

OF WHICH: MINORITY INTERESTS

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

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

OF WHICH: QUALIFYING TIER 2 CAPITAL

0011

0021

0026

0027

0030

0035

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0260

0270

0280

0290

0300

0310

0320

0330

0340

0350

0360

0370

0380

0390

0400

0410

0420

0430

0440

0450

0470

0480

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE

EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

FULLY ADJUSTED EXPOSURE VALUE (E*)

BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE OF OFF-BALANCE SHEET ITEMS BY CONVERSION FACTORS

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

VOLATILITY ADJUSTMENT TO THE EXPOSURE

(-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam)

0 %

20 %

50 %

100 %

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI

OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) FINANCIAL COLLATERAL: SIMPLE METHOD

(-) OTHER FUNDED CREDIT PROTECTION

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

(-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP

0010

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0211

0215

0216

0217

0220

0230

0240

0010

TOTAL EXPOSURES

Cell linked to CA

0015

of which: Defaulted exposures in exposure classes ‘items associated with a particular high risk’ and ‘equity exposures’

0020

of which: SME

0030

of which: Exposures subject to SME-supporting factor

0035

of which: Exposures subject to the Infrastructure supporting factor

0040

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

0050

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

0060

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

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0070

On balance sheet exposures subject to credit risk

0080

Off balance sheet exposures subject to credit risk

Exposures / Transactions subject to counterparty credit risk

0090

Securities Financing Transactions netting sets

0100

of which: centrally cleared through a QCCP

0110

Derivatives & Long Settlement Transactions netting sets

0120

of which: centrally cleared through a QCCP

0130

From Contractual Cross Product netting sets

BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

0140

0 %

0150

2 %

0160

4 %

0170

10 %

0180

20 %

0190

35 %

0200

50 %

0210

70 %

0220

75 %

0230

100 %

0240

150 %

0250

250 %

0260

370 %

0270

1 250 %

0280

Other risk weights

BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU):

0281

Look-through approach

0282

Mandate-based approach

0283

Fall-back approach

MEMORANDUM ITEMS

0290

Exposures secured by mortgages on commercial immovable property

0300

Exposures in default subject to a risk weight of 100 %

0310

Exposures secured by mortgages on residential property

0320

Exposures in default subject to a risk weight of 150 %

INTERNAL RATING SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

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

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

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

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

RECEIVABLES

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0210

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

0010

TOTAL EXPOSURES

Cell linked to CA

0015

of which: Exposures subject to SME-supporting factor

0016

of which: Exposures subject to the Infrastructure supporting factor

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

0020

On balance sheet items subject to credit risk

0030

Off balance sheet items subject to credit risk

Exposures / Transactions subject to counterparty credit risk

0040

Securities Financing Transactions netting sets

0050

Derivatives & Long Settlement Transactions netting sets

0060

From Contractual Cross Product netting sets

0070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

0080

SPECIALIZED LENDING SLOTTING APPROACH: TOTAL

0160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

0170

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

0180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

OBLIGOR GRADE (ROW IDENTIFIER)

INTERNAL RATING SCALE

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

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

SUBJECT TO DOUBLE DEFAULT TREATMENT

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

MEMORANDUM ITEMS:

UNFUNDED CREDIT PROTECTION

(-) OTHER FUNDED CREDIT PROTECTION

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

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

FUNDED CREDIT PROTECTION

UNFUNDED CREDIT PROTECTION

EXPECTED LOSS AMOUNT

(-) VALUE ADJUSTMENTS AND PROVISIONS

NUMBER OF OBLIGORS

PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT

PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

(-) GUARANTEES

(-) CREDIT DERIVATIVES

(-) TOTAL OUTFLOWS

TOTAL INFLOWS (+)

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

GUARANTEES

CREDIT DERIVATIVES

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

ELIGIBLE FINANCIAL COLLATERAL

OTHER ELIGIBLE COLLATERAL

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

CASH ON DEPOSIT

LIFE INSURANCE POLICIES

INSTRUMENTS HELD BY A THIRD PARTY

REAL ESTATE

OTHER PHYSICAL COLLATERAL

0005

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0171

0172

0173

0180

0190

0200

0220

0230

0240

0250

0255

0256

0257

0260

0270

0280

0290

0300

0310

PD RANGE

ON-BALANCE SHEET EXPOSURES

OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS

EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS

EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM

EXPOSURE WEIGHTED AVERAGE PD (%)

NUMBER OF OBLIGORS

EXPOSURE WEIGHTED AVERAGE LGD (%)

EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS)

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

EXPECTED LOSS AMOUNT

(-) VALUE ADJUST-MENTS AND PROVISIONS

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0010

0.00 to <0.15

0020

0.00 to <0.10

0030

0.10 to <0.15

0040

0.15 to <0.25

0050

0.25 to <0.50

0060

0.50 to <0.75

0070

0.75 to <2.5

0080

0.75 to <1.75

0090

1.75 to <2.5

0100

2.5 to <10

0110

2.5 to <5

0120

5 to <10

0130

10 to <100

0140

10 to <20

0150

20 to <30

0160

30 to <100

0170

100 (Default)

RISK WEIGHTED EXPOSURE AMOUNT

0010

0010

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD

0020

ASSET SIZE (+/-)

0030

ASSET QUALITY (+/-)

0040

MODEL UPDATES (+/-)

0050

METHODOLOGY AND POLICY (+/-)

0060

ACQUISITIONS AND DISPOSALS (+/-)

0070

FOREIGN EXCHANGE MOVEMENTS (+/-)

0080

OTHER (+/-)

0090

RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD

PD RANGE

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

OBSERVED AVERAGE DEFAULT RATE (%)

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0010

0020

0030

0040

0050

0010

0.00 to <0.15

0020

0.00 to <0.10

0030

0.10 to <0.15

0040

0.15 to <0.25

0050

0.25 to <0.50

0060

0.50 to <0.75

0070

0.75 to <2.5

0080

0.75 to <1.75

0090

1.75 to <2.5

0100

2.5 to <10

0110

2.5 to <5

0120

5 to <10

0130

10 to <100

0140

10 to <20

0150

20 to <30

0160

30 to <100

0170

100 (Default)

PD RANGE

EXTERNAL RATING EQUIVALENT

ARITHMETIC AVERAGE PD (%)

NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR

AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%)

OF WHICH: DEFAULTED DURING THE YEAR

0005

0006

0010

0020

0030

0050

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

EXPOSURE VALUE

RISK WEIGHT

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

(-) VALUE ADJUSTMENTS AND PROVISIONS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: OFF BALANCE SHEET ITEMS

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK

0010

0020

0030

0040

0050

0060

0070

0080

0100

0010

CATEGORY 1

LESS THAN 2.5 YEARS

50 %

0020

EQUAL TO OR MORE THAN 2.5 YEARS

70 %

0030

CATEGORY 2

LESS THAN 2.5 YEARS

70 %

0040

EQUAL TO OR MORE THAN 2.5 YEARS

90 %

0050

CATEGORY 3

LESS THAN 2.5 YEARS

115 %

0060

EQUAL TO OR MORE THAN 2.5 YEARS

115 %

0070

CATEGORY 4

LESS THAN 2.5 YEARS

250 %

0080

EQUAL TO OR MORE THAN 2.5 YEARS

250 %

0090

CATEGORY 5

LESS THAN 2.5 YEARS

—

0100

EQUAL TO OR MORE THAN 2.5 YEARS

—

0110

TOTAL

LESS THAN 2.5 YEARS

0120

EQUAL TO OR MORE THAN 2.5 YEARS

TOTAL EXPOSURE VALUE AS DEFINED IN ARTICLE 166 OF REGULATION (EU) No 575/2013

TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%)

PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%)

0010

0020

0030

0040

0050

0010

CENTRAL GOVERNMENTS OR CENTRAL BANKS

0020

OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES

0030

OF WHICH: PUBLIC SECTOR ENTITIES

0040

INSTITUTIONS

0050

CORPORATES

0060

OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH

0070

OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH

0080

OF WHICH: CORPORATES - SMES

0090

RETAIL

0100

OF WHICH RETAIL – SECURED BY REAL ESTATE SMES

0110

OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES

0120

OF WHICH RETAIL – QUALIFYING REVOLVING

0130

OF WHICH RETAIL – OTHER SMES

0140

OF WHICH RETAIL – OTHER NON-SMES

0150

EQUITY

0160

OTHER NON-CREDIT OBLIGATION ASSETS

0170

TOTAL

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Observed new defaults for the period

General credit risk adjustments

Specific credit risk adjustments

Write offs

Additional value adjustments and other own funds reductions

Credit risk adjustments/write-offs for observed new defaults

EXPOSURE VALUE

RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR

(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR

RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS

Defaulted exposures

0010

0020

0040

0050

0055

0060

0061

0070

0075

0080

0081

0082

0090

0010

Central governments or central banks

0020

Regional governments or local authorities

0030

Public sector entities

0040

Multilateral Development Banks

0050

International Organisations

0060

Institutions

0070

Corporates

0075

of which: SME

0080

Retail

0085

of which: SME

0090

Secured by mortgages on immovable property

0095

of which: SME

0100

Exposures in default

0110

Items associated with particularly high risk

0120

Covered bonds

0130

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

0140

Collective investments undertakings (CIU)

0141

Look-through approach

0142

Mandate-based approach

0143

Fall-back approach

0150

Equity exposures