Annex 1

(a)

an overnight time bucket, with the midpoint of 1 day, or approximately 0,0028 years;

(b)

a time bucket exceeding 1 day and up to and including 1 month, with the midpoint of 15 days;

(c)

a time bucket exceeding 1 month and up to and including 3 months, with the midpoint of 60 days;

(d)

a time bucket exceeding 3 months and up to and including 6 months, with the midpoint of 135 days;

(e)

a time bucket exceeding 6 month and up to and including 9 months, with the midpoint of 225 days;

(f)

a time bucket exceeding 9 month and up to and including 12 months, with the midpoint of 315 days;

(g)

a time bucket exceeding 1 year and up to and including 1,5 year, with the midpoint of 1 year and 90 days;

(h)

a time bucket exceeding 1,5 year and up to and including 2 years, with the midpoint of 1 year and 270 days;

(i)

a time bucket exceeding 2 years and up to and including 3 years, with the midpoint of 2 years and 180 days;

(j)

a time bucket exceeding 3 years and up to and including 4 years, with the midpoint of 3 years and 180 days;

(k)

a time bucket exceeding 4 years and up to and including 5 years, with the midpoint of 4 years and 180 days;

(l)

a time bucket exceeding 5 years and up to and including 6 years, with the midpoint of 5 years and 180 days;

(m)

a time bucket exceeding 6 years and up to and including 7 years, with the midpoint of 6 years and 180 days;

(n)

a time bucket exceeding 7 years and up to and including 8 years, with the midpoint of 7 years and 180 days;

(o)

a time bucket exceeding 8 years and up to and including 9 years, with the midpoint of 8 years and 180 days;

(p)

a time bucket exceeding 9 years and up to and including 10 years, with the midpoint of 9 years and 180 days;

(q)

a time bucket exceeding 10 years and up to and including 15 years, with the midpoint of 12 years and 180 days;

(r)

a time bucket exceeding 15 years and up to and including 20 years, with the midpoint of 17 years and 180 days;

(s)

a time bucket exceeding 20 years, with the mid point of 25 years.

(a)

0 years;

(b)

1/12 years;

(c)

2/12 years;

(d)

3/12 years;

(e)

3/12 years;

(f)

3/12 years;

(g)

6/12 years;

(h)

6/12 years;

(i)

1 year;

(j)

1 year;

(k)

1 year;

(l)

1 year;

(m)

1 year;

(n)

1 year;

(o)

1 year;

(p)

1 year;

(q)

5 years;

(r)

5 years;

(s)

10 years.

(a)

a time bucket exceeding overnight up to and including 12 months, with the midpoint of 12 months;

(b)

a time bucket exceeding 1 year and up to and including 1,5 year, with the midpoint of 1 year and 90 days;

(c)

a time bucket exceeding 1,5 year and up to and including 2 years, with the midpoint of 1 year and 270 days;

(d)

a time bucket exceeding 2 years and up to and including 3 years, with the midpoint of 2 years and 180 days;

(e)

a time bucket exceeding 3 years and up to and including 4 years, with the midpoint of 3 years and 180 days;

(f)

a time bucket exceeding 4 years and up to and including 5 years, with the midpoint of 4 years and 180 days;

(g)

a time bucket exceeding 5 years and up to and including 6 years, with the midpoint of 5 years and 180 days;

(h)

a time bucket exceeding 6 years and up to and including 7 years, with the midpoint of 6 years and 180 days;

(i)

a time bucket exceeding 7 years and up to and including 8 years, with the midpoint of 7 years and 180 days;

(j)

a time bucket exceeding 8 years and up to and including 9 years, with the midpoint of 8 years and 180 days;

(k)

a time bucket exceeding 9 years and up to and including 10 years, with the midpoint of 9 years and 180 days;

(l)

a time bucket exceeding 10 years and up to and including 15 years, with the midpoint of 12 years and 180 days;

(m)

a time bucket exceeding 15 years and up to and including 20 years, with the midpoint of 17 years and 180 days;

(n)

a time bucket exceeding 20 years, with the midpoint of 25 years.

(a)

buckets (a) to (f) of point 1 of this Annex in the case of a net interest income time horizon of 1 year;

(b)

buckets (a) to (g) of point 1 of this Annex in the case of a net interest income time horizon of 1,5 years;

(c)

buckets (a) to (h) of point 1 of this Annex in the case of a net interest income time horizon of 2 years;

(d)

buckets (a) to (i) of point 1 of this Annex in the case of a net interest income time horizon of 3 years;

(e)

buckets (a) to (j) of point 1 of this Annex in the case of a net interest income time horizon of 4 years;

(f)

buckets (a) to (k) of point 1 of this Annex in the case of a net interest income time horizon of 5 years;

(g)

buckets (a) to (l) of point 1 of this Annex in the case of a net interest income time horizon of 6 years;

(h)

buckets (a) to (m) of point 1 of this Annex in the case of a net interest income time horizon of 7 years;

(i)

buckets (a) to (n) of point 1 of this Annex in the case of a net interest income time horizon of 8 years;

(j)

buckets (a) to (o) of point 1 of this Annex in the case of a net interest income time horizon of 9 years;

(k)

buckets (a) to (p) of point 1 of this Annex in the case of a net interest income time horizon of 10 years;

(l)

buckets (a) to (q) of point 1 of this Annex in the case of a net interest income time horizon of 15 years;

(m)

buckets (a) to (r) of point 1 of this Annex in the case of a net interest income time horizon of 20 years;

(n)

buckets (a) to (s) of point 1 of this Annex in the case of a net interest income time horizon of 25 years.

(a)

baseline scenario:

(b)

scenario prescribing a decrease of short-term interest rates:

(c)

scenario prescribing an increase of short-term interest rates: