title: Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance) (Text with EEA relevance)

text:
                  30.3.2020

                  EN

                  Official Journal of the European Union

                  L 96/1

         COMMISSION IMPLEMENTING REGULATION (EU) 2020/429
         of 14 February 2020
         amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council
         (Text with EEA relevance)
         THE EUROPEAN COMMISSION,
         Having regard to the Treaty on the Functioning of the European Union,
         Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular Article 99(5) thereof,
         Whereas:

                     (1)

                     Commission Implementing Regulation (EU) No 680/2014 (2) lays down uniform requirements for institutions in relation to supervisory reporting to competent authorities for the purposes of Articles 99 and 100, Article 101(4)(a), Article 394(1), and Articles 415 and 430 of Regulation (EU) No 575/2013.

                     (2)

                     Regulation (EU) 2017/2402 of the European Parliament and of the Council (3) set up a new framework for securitisation, including a specific framework for simple, transparent and standardised (STS) securitisations. It established preferential treatment for STS securitisations and certain SME synthetic securitisations and set out a framework for a more risk-sensitive regulatory treatment of exposures to securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions to this new securitisation framework.

                     (3)

                     Commission Regulation (EC) No 1126/2008 (4) was amended by Regulation (EU) 2017/1986 (5) to bring that Regulation in line with the International Financial Reporting Standard (IFRS) 16 Leases that the International Accounting Standards Board (IASB) published on 13 January 2016. Implementing Regulation (EU) No 680/2014 now also needs to be amended to reflect those amendments.

                     (4)

                     Competent authorities’ should be able to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector. A high level of non-performing exposures (NPEs) affects the risk profile, profitability and solvency of institutions, ultimately affecting lending capacity to the overall economy. The reporting requirements should therefore be revised to strengthen the ability of competent authorities to assess and monitor non-performing exposures by collecting more granular information on those exposures on a recurring basis and to close identified data gaps.

                     (5)

                     Moreover, the structure and extent of the expenses of institutions significantly influence the profitability and sustainability of the institutions’ business models. To enable competent authorities to gain deeper insights into those expenses, the reporting framework should be improved.

                     (6)

                     Commission Delegated Regulation (EU) 2015/61 (6) was amended by Delegated Regulation (EU) 2018/1620 (7) to improve alignment with international standards and facilitate more efficient liquidity management by credit institutions. Implementing Regulation (EU) No 680/2014 should likewise be amended to reflect those amendments in the reporting framework of the liquidity coverage requirements for credit institutions.

                     (7)

                     Moreover, templates and instructions of Implementing Regulation (EU) No 680/2014 should also be reviewed to reassess the convenience and appropriateness of the memo items included in the templates and instructions during the early years of implementation of that Regulation as well as to correct typos, erroneous references and formatting inconsistencies which were discovered in the course of its application.

                     (8)

                     Competent authorities should be able to receive information from institutions using templates amended by this Implementing Regulation as soon as possible so that they can exercise their supervisory functions effectively. The new Union securitisation framework becomes fully applicable on 1 January 2020 after transitional provisions expire. Therefore, the revised reporting requirements on own funds and own funds requirements set out in this Implementing Regulation should apply from 30 March 2020. In order to provide institutions and competent authorities with sufficient time to implement the revised reporting requirements on NPEs, debt obligations subject to forbearance measures, the operating and administrative expenses and financial information, which are set out in Annexes III to V of this Implementing Regulation, those revised reporting requirements should apply from 1 June 2020. Finally, taking into account the amendments introduced by Delegated Regulation (EU) 2018/1620 that apply from 30 April 2019, the provisions of this Implementing Regulation concerning liquidity reporting should apply from 1 April 2020.

                     (9)

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

                     (10)

                     EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (8). In accordance with the second subparagraph of Article 15(1) of that Regulation, EBA has not conducted any open public consultation with regard to those parts of the draft implementing technical standards on which this Regulation is based that are either of editorial nature or introduce only a limited number of items in the supervisory reporting framework. Such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

                     (11)

                     Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

               HAS ADOPTED THIS REGULATION:

            Article 1
            Implementing Regulation (EU) No 680/2014 is amended as follows:

                        (1)

                        Article 5 is amended as follows:

                                    (a)

                                    point (a) is amended as follows:

                                                (i)

                                                point (7) is deleted;

                                                (ii)

                                                point (8) is replaced by the following:

                                                            ‘(8)

                                                            the information on securitisation exposures specified in template 13.01 of Annex I, in accordance with the instructions in point 3.7 of Part II of Annex II;’;

                                    (b)

                                    in point (b), point (1) is replaced by the following:

                                                ‘(1)

                                                the information on all securitisation exposures as specified in templates 14 and 14.01 of Annex I, in accordance with the instructions in point 3.9 of Part II of Annex II;
                                                Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements;’;

                        (2)

                        in Article 9, paragraph 2 is amended as follows:

                                    (i)

                                    point (c) is replaced by the following:

                                                ‘(c)

                                                the information specified in Part 4 of Annex III, with the exception of the information specified in template 47, with an annual frequency;’;

                                    (ii)

                                    the following points (h) and (i) are added:

                                                ‘(h)

                                                with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex III where both of the following conditions are fulfilled:

                                                            (i)

                                                            the institution is not a small and non-complex institution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013;

                                                            (ii)

                                                            the ratio between the institution’s gross carrying amount of non-performing loans and advances and the total gross carrying amount of loans and advances falling under the category of non-performing exposures as set out in section 17 of Part 2 of Annex V to this Regulation is equal to or higher than 5 %. For the purposes of this point, the ratio shall exclude loans and advances classified as held for sale, cash balances at central banks and other demand deposits in both the numerator and the denominator.

                                                      The entry and exit criteria referred to in Article 4 shall apply.

                                                (i)

                                                with an annual frequency, the information specified in template 47 in Part 4 of Annex III where both of the conditions referred to in points (i) and (ii) of point (h) of this paragraph are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.’;

                        (3)

                        in Article 11, paragraph 2 is amended as follows:

                                    (i)

                                    point (c) is replaced by the following:

                                                ‘(c)

                                                the information specified in Part 4 of Annex IV, with the exception of the information specified in template 47, with an annual frequency;’;

                                    (ii)

                                    the following points (h) and (i) are added:

                                                ‘(h)

                                                with a quarterly frequency, the information specified in templates 23 to 26 in Part 2 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply;

                                                (i)

                                                with an annual frequency, the information specified in template 47 in Part 4 of Annex IV where the conditions referred to in points (i) and (ii) of point (h) of Article 9(2) are fulfilled. The entry and exit criteria referred to in Article 4 shall apply.’;

                        (4)

                        Annex I is replaced by the text in Annex I to this Regulation;

                        (5)

                        Annex II is replaced by the text in Annex II to this Regulation.

                        (6)

                        Annex III is replaced by the text in Annex III to this Regulation.

                        (7)

                        Annex IV is replaced by the text in Annex IV to this Regulation.

                        (8)

                        Annex V is replaced by the text in Annex V to this Regulation.

                        (9)

                        Annex XVIII is replaced by the text in Annex VI to this Regulation;

                        (10)

                        Annex XIX is replaced by the text in Annex VII to this Regulation.

                        (11)

                        Annex XXIV is replaced by the text in Annex VIII to this Regulation;

                        (12)

                        Annex XXV is replaced by the text in Annex IX to this Regulation.

            Article 2
            This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
            Points (1), (4) and (5) of Article 1 shall apply from 30 March 2020. Points (9) to (12) of Article 1 shall apply from 1 April 2020. Points (2), (3), (6) to (8) of Article 1 shall apply from 1 June 2020.

            This Regulation shall be binding in its entirety and directly applicable in all Member States.
            Done at Brussels, 14 February 2020.

                  For the Commission

                  The President

               Ursula VON DER LEYEN

            (1)  OJ L 176, 27.6.2013, p. 1.

            (2)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

            (3)  Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

            (4)  Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council (OJ L 320, 29.11.2008, p. 1).

            (5)  Commission Regulation (EU) 2017/1986 of 31 October 2017 amending Regulation (EC) No 1126/2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards International Financial Reporting Standard 16 (OJ L 291, 9.11.2017, p. 1).

            (6)  Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

            (7)  Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for credit institutions (OJ L 271, 30.10.2018, p. 10).

            (8)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

            ANNEX I

                     ‘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

                                 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

                                    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 LOSS 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

                        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

                                    978

                                    1.2.13

                                    T2 capital elements or deductions – other

                        C 02.00 – OWN FUNDS REQUIREMENTS (CA2)

                                    Rows

                                    Item

                                    Label

                                    Amount

                                    010

                                    1

                                       TOTAL RISK EXPOSURE AMOUNT

                                    020

                                 1*

                                    Of which: Investment firms under Article 95 paragraph 2 and Article 98 of CRR

                                    030

                                 1**

                                    Of which : Investment firms under Article 96 paragraph 2 and Article 97 of CRR

                                    040

                                    1.1

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

                                    050

                                    1.1.1

                                    Standardised Approach (SA)

                                    051

                                 1.1.1*

                                 Of which: Additional stricter prudential requirements based on Article 124 CRR

                                    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

                                    240

                                    1.1.2

                                    Internal ratings based Approach (IRB)

                                    241

                                 1.1.2*

                                 Of which: Additional stricter prudential requirements based on Article 164 CRR

                                    242

                                 1.1.2**

                                 Of which: Additional stricter prudential requirements based on Article 124 CRR

                                    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

                                    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

                                    470

                                    1.1.4

                                    Securitisation positions

                                    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 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 Article 458 CRR

                                    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 Article 459 CRR

                                    760

                                    1.8.4

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

                        C 03.00 – CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

                                    Rows

                                    ID

                                    Item

                                    Amount

                                 010

                                    1

                                    CET1 Capital ratio

                                 020

                                    2

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

                                 030

                                    3

                                    T1 Capital ratio

                                 040

                                    4

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

                                 050

                                    5

                                    Total capital ratio

                                 060

                                    6

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

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

                                 130

                                    13

                                    Total SREP capital requirement (TSCR) ratio

                                 140

                                    13*

                                    TSCR: to be made up of CET1 capital

                                 150

                                    13**

                                    TSCR: to be made up of Tier 1 capital

                                 160

                                    14

                                    Overall capital requirement (OCR) ratio

                                 170

                                    14*

                                    OCR: to be made up of CET1 capital

                                 180

                                    14**

                                    OCR: to be made up of Tier 1 capital

                                 190

                                    15

                                    OCR and Pillar 2 Guidance (P2G)

                                 200

                                    15*

                                    OCR and P2G: to be made up of CET1 capital

                                 210

                                    15**

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

                        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 % CET1 threshold

                                 210

                                 10

                                    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

                                 710

                                 24

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

                                 720

                                 25

                                    Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived

                                 730

                                 26

                                    Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived

                                    Capital buffers

                                 740

                                 27

                                    Combined buffer requirement

                                 750

                                    Capital conservation buffer

                                 760

                                    Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State

                                 770

                                    Institution specific countercyclical capital buffer

                                 780

                                    Systemic risk buffer

                                 800

                                    Global Systemically Important Institution buffer

                                 810

                                    Other Systemically Important Institution buffer

                                    Pillar II requirements

                                 820

                                 28

                                    Own funds requirements related to Pillar II adjustments

                                    Additional information for investment firms

                                 830

                                 29

                                    Initial capital

                                 840

                                 30

                                    Own funds based on Fixed Overheads

                                    Additional information for calculation of reporting thresholds

                                 850

                                 31

                                    Non-domestic original exposures

                                 860

                                 32

                                    Total original exposures

                                    Basel I floor

                                 870

                                    Adjustments to total own funds

                                 880

                                    Own funds fully adjusted for Basel I floor

                                 890

                                    Own funds requirements for Basel I floor

                                 900

                                    Own funds requirements for Basel I floor – SA alternative

                                 910

                                    Deficit of total capital as regards the minimum own funds requirements of the Basel I floor

                        C 05.01 – TRANSITIONAL PROVISIONS (CA5.1)

                                    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

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 010

                                 1

                                       TOTAL ADJUSTMENTS

                                 020

                                 1.1

                                    GRANDFATHERED INSTRUMENTS

                                 link to {CA1;r220}

                                 link to {CA1;r660}

                                 link to {CA1;r880}

                                 030

                                 1.1.1

                                    Grandfathered instruments: Instruments constituting state aid

                                 040

                                 1.1.1.1

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

                                 050

                                 1.1.1.2

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

                                 060

                                 1.1.2

                                    Instruments not constituting state aid

                                 link to {CA5.2; r010;c060}

                                 link to {CA5.2; r020;c060}

                                 link to {CA5.2; r090;c060}

                                 070

                                 1.2

                                    MINORITY INTERESTS AND EQUIVALENTS

                                 link to {CA1;r240}

                                 link to {CA1;r680}

                                 link to {CA1;r900}

                                 080

                                 1.2.1

                                    Capital instruments and items that do not qualify as minority interests

                                 090

                                 1.2.2

                                    Transitional recognition in consolidated own funds of minority interests

                                 091

                                 1.2.3

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

                                 092

                                 1.2.4

                                 Transitional recognition in consolidated own funds of qualifying Tier 2 capital

                                 100

                                 1.3

                                    OTHER TRANSITIONAL ADJUSTMENTS

                                 link to {CA1;r520}

                                 link to {CA1;r730}

                                 link to {CA1;r960}

                                 110

                                 1.3.1

                                    Unrealised gains and losses

                                 120

                                 1.3.1.1

                                 Unrealised gains

                                 130

                                 1.3.1.2

                                 Unrealised losses

                                 133

                                 1.3.1.3.

                                 Unrealised gains on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

                                 136

                                 1.3.1.4.

                                 Unrealised loss on exposures to central governments classified in the “Available for sale” category of EU-endorsed IAS39

                                 138

                                 1.3.1.5.

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

                                 140

                                 1.3.2

                                    Deductions

                                 150

                                 1.3.2.1

                                 Losses for the current financial year

                                 160

                                 1.3.2.2

                                 Intangible assets

                                 170

                                 1.3.2.3

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

                                 180

                                 1.3.2.4

                                 IRB shortfall of provisions to expected losses

                                 190

                                 1.3.2.5

                                 Defined benefit pension fund assets

                                 194

                                 1.3.2.5*

                                 of which: Introduction of amendments to IAS 19 – positive item

                                 198

                                 1.3.2.5**

                                 of which: Introduction of amendments to IAS 19 – negative item

                                 200

                                 1.3.2.6

                                 Own instruments

                                 210

                                 1.3.2.6.1

                                 Own CET1 instruments

                                 211

                                 1.3.2.6.1**

                                 of which: Direct holdings

                                 212

                                 1.3.2.6.1*

                                 of which: Indirect holdings

                                 220

                                 1.3.2.6.2

                                 Own AT1 instruments

                                 221

                                 1.3.2.6.2**

                                 of which: Direct holdings

                                 222

                                 1.3.2.6.2*

                                 of which: Indirect holdings

                                 230

                                 1.3.2.6.3

                                 Own T2 instruments

                                 231

                                 1.3.2.6.3*

                                 of which: Direct holdings

                                 232

                                 1.3.2.6.3**

                                 of which: Indirect holdings

                                 240

                                 1.3.2.7

                                 Reciprocal cross holdings

                                 250

                                 1.3.2.7.1

                                 Reciprocal cross holdings in CET1 Capital

                                 260

                                 1.3.2.7.1.1

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

                                 270

                                 1.3.2.7.1.2

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

                                 280

                                 1.3.2.7.2

                                 Reciprocal cross holdings in AT1 Capital

                                 290

                                 1.3.2.7.2.1

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

                                 300

                                 1.3.2.7.2.2

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

                                 310

                                 1.3.2.7.3

                                 Reciprocal cross holdings in T2 Capital

                                 320

                                 1.3.2.7.3.1

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

                                 330

                                 1.3.2.7.3.2

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

                                 340

                                 1.3.2.8

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

                                 350

                                 1.3.2.8.1

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

                                 360

                                 1.3.2.8.2

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

                                 370

                                 1.3.2.8.3

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

                                 380

                                 1.3.2.9

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

                                 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)

                                    CA 5.2 Grandfathered instruments: Instruments not constituting State aid

                                    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

                                 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 52 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 52 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 52 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

                                    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

                                 250

                                 260

                                 270

                                 280

                                 290

                                 300

                                 310

                                 320

                                 330

                                 340

                                 350

                                 360

                                 370

                                 380

                                 390

                                 400

                                 410

                                 420

                                 430

                                 440

                                 450

                                 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

                                    NAME

                                    CODE

                                    LEI 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

                                       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

                                    MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

                                    QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

                                 010

                                 020

                                 025

                                 030

                                 035

                                 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

                                    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

                                 010

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 215

                                 220

                                 230

                                 240

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to CA

                                 015

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

                                 020

                                    of which: SME

                                 030

                                    of which: Exposures subject to SME-supporting factor

                                 040

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

                                 050

                                    of which: Exposures under the permanent partial use of the Standardised Approach

                                 060

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

                                    BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

                                 070

                                    On balance sheet exposures subject to credit risk

                                 080

                                    Off balance sheet exposures subject to credit risk

                                    Exposures / Transactions subject to counterparty credit risk

                                 090

                                    Securities Financing Transactions

                                 100

                                    of which: centrally cleared through a QCCP

                                 110

                                    Derivatives & Long Settlement Transactions

                                 120

                                    of which: centrally cleared through a QCCP

                                 130

                                    From Contractual Cross Product Netting

                                    BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:

                                 140

                                    0 %

                                 150

                                    2 %

                                 160

                                    4 %

                                 170

                                    10 %

                                 180

                                    20 %

                                 190

                                    35 %

                                 200

                                    50 %

                                 210

                                    70 %

                                 220

                                    75 %

                                 230

                                    100 %

                                 240

                                    150 %

                                 250

                                    250 %

                                 260

                                    370 %

                                 270

                                    1 250  %

                                 280

                                    Other risk weights

                                    MEMORANDUM ITEMS

                                 290

                                    Exposures secured by mortgages on commercial immovable property

                                 300

                                    Exposures in default subject to a risk weight of 100 %

                                 310

                                    Exposures secured by mortgages on residential property

                                 320

                                    Exposures in default subject to a risk weight of 150 %

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

                        IRB Exposure class:

                        Own estimates of LGD and/or conversion factors:

                                    INTERNAL RATING SYSTEM

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                                    EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

                                    EXPOSURE VALUE

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

                                    SUBJECT TO DOUBLE DEFAULT TREATMENT

                                    EXPOSURE WEIGHTED AVERAGE LGD (%)

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

                                    EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

                                    RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                                    RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                                    MEMORANDUM ITEMS:

                                    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

                                    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

                                    EXPECTED LOSS AMOUNT

                                    (-) VALUE ADJUSTMENTS AND PROVISIONS

                                    NUMBER OF OBLIGORS

                                    REAL ESTATE

                                    OTHER PHYSICAL COLLATERAL

                                    RECEIVABLES

                                    OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 255

                                 260

                                 270

                                 280

                                 290

                                 300

                                 010

                                    TOTAL EXPOSURES

                                    Cell linked to CA

                                 015

                                    of which: Exposures subject to SME-supporting factor

                                    BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

                                 020

                                    On balance sheet items subject to credit risk

                                 030

                                    Off balance sheet items subject to credit risk

                                    Exposures / Transactions subject to counterparty credit risk

                                 040

                                    Securities Financing Transactions

                                 050

                                    Derivatives & Long Settlement Transactions

                                 060

                                    From Contractual Cross Product Netting

                                 070

                                    EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

                                 080

                                    SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

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

                                 090

                                    RISK WEIGHT: 0 %

                                 100

                                    50 %

                                 110

                                    70 %

                                 120

                                    Of which: in category 1

                                 130

                                    90 %

                                 140

                                    115 %

                                 150

                                    250 %

                                 160

                                    ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

                                 170

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

                                 180

                                    DILUTION RISK: TOTAL PURCHASED RECEIVABLES

                        C 08.02 – CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY OBLIGOR GRADES OR POOLS (CR IRB 2)

                        IRB Exposure class:

                        Own estimates of LGD and/or conversion factors:

                                    OBLIGOR GRADE (ROW IDENTIFIER)

                                    INTERNAL RATING SYSTEM

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                                    EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

                                    EXPOSURE VALUE

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

                                    SUBJECT TO DOUBLE DEFAULT TREATMENT

                                    EXPOSURE WEIGHTED AVERAGE LGD (%)

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

                                    EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

                                    RISK WEIGHTED EXPOSURE AMOUNT PRE SME-FACTOR

                                    RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-FACTOR

                                    MEMORANDUM ITEMS:

                                    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

                                    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

                                    REAL ESTATE

                                    OTHER PHYSICAL COLLATERAL

                                    RECEIVABLES

                                 005

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 255

                                 260

                                 270

                                 280

                                 290

                                 300

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

                        Country:

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                                    Observed new defaults for the period

                                    General credit risk adjustments

                                    Specific credit risk adjustments

                                    Write offs

                                    Credit risk adjustments/write-offs for observed new defaults

                                    EXPOSURE VALUE

                                    RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                                    RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                                    Defaulted exposures

                                 010

                                 020

                                 040

                                 050

                                 055

                                 060

                                 070

                                 075

                                 080

                                 090

                                 010

                                 Central governments or central banks

                                 020

                                 Regional governments or local authorities

                                 030

                                 Public sector entities

                                 040

                                 Multilateral Development Banks

                                 050

                                 International Organisations

                                 060

                                 Institutions

                                 070

                                 Corporates

                                 075

                                 of which: SME

                                 080

                                 Retail

                                 085

                                 of which: SME

                                 090

                                 Secured by mortgages on immovable property

                                 095

                                 of which: SME

                                 100

                                 Exposures in default

                                 110

                                 Items associated with particularly high risk

                                 120

                                 Covered bonds

                                 130

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

                                 140

                                 Collective investments undertakings (CIU)

                                 150

                                 Equity exposures

                                 160

                                 Other exposures

                                 170

                                    Total exposures

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

                        Country:

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                                    Observed new defaults for the period

                                    General credit risk adjustments

                                    Specific credit risk adjustments

                                    Write off

                                    Credit risk adjustments/write-offs for observed new defaults

                                    PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

                                    EXPOSURE WEIGHTED AVERAGE LGD (%)

                                    EXPOSURE VALUE

                                    RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

                                    RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

                                    EXPECTED LOSS AMOUNT

                                    Of which: defaulted

                                    Of which: defaulted

                                    Of which: defaulted

                                 010

                                 030

                                 040

                                 050

                                 055

                                 060

                                 070

                                 080

                                 090

                                 100

                                 105

                                 110

                                 120

                                 125

                                 130

                                 010

                                 Central governments or central banks

                                 020

                                 Institutions

                                 030

                                 Corporates

                                 042

                                 Of Which: Specialised Lending
                                 (excl. SL subject to slotting criteria)

                                 045

                                 Of Which: Specialised Lending
                                 subject to slotting criteria

                                 050

                                 Of Which: SME

                                 060

                                 Retail

                                 070

                                 Secured by real estate property

                                 080

                                 SME

                                 090

                                 Non-SME

                                 100

                                 Qualifying Revolving

                                 110

                                 Other Retail

                                 120

                                 SME

                                 130

                                 Non-SME

                                 140

                                 Equity

                                 150

                                    Total exposures

                        C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)

                        Country:

                                    Amount

                                    Percentage

                                    Qualitative information

                                 010

                                 020

                                 030

                                    Relevant credit exposures – Credit Risk

                                 010

                                 Exposure value under the Standardised Approach

                                 020

                                 Exposure value under the IRB Approach

                                    Relevant credit exposures – Market risk

                                 030

                                 Sum of long and short positions of trading book exposures for Standardised Approach

                                 040

                                 Value of trading book exposures for internal models

                                    Relevant credit exposures – Securitisation

                                 055

                                 Exposure value of securitisation positions in the banking book

                                    Own funds requirements and weights

                                 070

                                 Total own funds requirements for CCB

                                 080

                                 Own funds requirements for relevant credit exposures – Credit risk

                                 090

                                 Own funds requirements for relevant credit exposures – Market risk

                                 100

                                 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book

                                 110

                                 Own funds requirements weights

                                    Countercyclical capital buffer rates

                                 120

                                 Countercyclical capital buffer rate set by the Designated Authority

                                 130

                                 Countercyclical capital buffer rate applicable for the country of the institution

                                 140

                                 Institution-specific countercyclical capital buffer rate

                                    Use of 2 % threshold

                                 150

                                 Use of 2 % threshold for general credit exposure

                                 160

                                 Use of 2 % threshold for trading book exposure

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

                                    INTERNAL RATING SYSTEM

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                                    EXPOSURE VALUE

                                    EXPOSURE WEIGHTED AVERAGE LGD (%)

                                    RISK WEIGHTED EXPOSURE AMOUNT

                                    MEMORANDUM ITEM:

                                    UNFUNDED CREDIT PROTECTION

                                    SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                                    EXPECTED LOSS AMOUNT

                                    PD ASSIGNED TO THE OBLIGOR GRADE (%)

                                    (-) GUARANTEES

                                    (-) CREDIT DERIVATIVES

                                    (-) TOTAL OUTFLOWS

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 010

                                    TOTAL IRB EQUITY EXPOSURES

                                 Cell linked to CA

                                 020

                                    PD/LGD APRROACH: TOTAL

                                 050

                                    SIMPLE RISK WEIGHT APPROACH: TOTAL

                                 060

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

                                 070

                                 RISK WEIGHT: 190 %

                                 080

                                 290 %

                                 090

                                 370 %

                                 100

                                    INTERNAL MODELS APPROACH

                                 110

                                    EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS

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

                                    OBLIGOR GRADE

                                    (ROW IDENTIFIER)

                                    INTERNAL RATING SYSTEM

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

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

                                    EXPOSURE VALUE

                                    EXPOSURE WEIGHTED AVERAGE LGD (%)

                                    RISK WEIGHTED EXPOSURE AMOUNT

                                    MEMORANDUM ITEM:

                                    UNFUNDED CREDIT PROTECTION

                                    SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                                    EXPECTED LOSS AMOUNT

                                    PD ASSIGNED TO THE OBLIGOR GRADE (%)

                                    (-) GUARANTEES

                                    (-) CREDIT DERIVATIVES

                                    (-) TOTAL OUTFLOWS

                                 005

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                        C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

                                    UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE

                                    PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS

                                    OWN FUNDS REQUIREMENTS

                                    TOTAL SETTLEMENT RISK EXPOSURE AMOUNT

                                 010

                                 020

                                 030

                                 040

                                 010

                                    Total unsettled transactions in the Non-trading Book

                                 Cell linked to CA

                                 020

                                 Transactions unsettled up to 4 days (Factor 0 %)

                                 030

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

                                 040

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

                                 050

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

                                 060

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

                                 070

                                    Total unsettled transactions in the Trading Book

                                 Cell linked to CA

                                 080

                                 Transactions unsettled up to 4 days (Factor 0 %)

                                 090

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

                                 100

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

                                 110

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

                                 120

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

                        C 13.01 – CREDIT RISK: SECURITISATIONS (CR SEC)

                                    TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

                                    SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

                                    SECURITISATION POSITIONS

                                    (-) VALUE ADJUSTMENTS AND PROVISIONS

                                    EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

                                    NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

                                    (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam)

                                    FULLY ADJUSTED EXPOSURE VALUE (E*)

                                    (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT

                                    (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES

                                    EXPOSURE VALUE

                                    BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

                                    RISK-WEIGHTED EXPOSURE AMOUNT

                                    ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES

                                    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

                                    BEFORE CAP

                                    (-) REDUCTION DUE TO RISK WEIGHT CAP

                                    (-) REDUCTION DUE TO OVERALL CAP

                                    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                                    MEMORANDUM ITEM:

                                    RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES

                                    (-) FUNDED CREDIT PROTECTION (Cva)

                                    (-) TOTAL OUTFLOWS

                                    NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

                                    ORIGINAL EXPOSURE PRE CONVERSION FACTORS

                                    (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)

                                    (-) FUNDED CREDIT PROTECTION

                                    SUBSTITUTION OF THE EXPOSURE DUE TO CRM

                                    OF WHICH: SUBJECT TO A CCF OF 0 %

                                    (-) DEDUCTED FROM OWN FUNDS

                                    SUBJECT TO RISK WEIGHTS

                                    SEC-IRBA

                                    SEC-SA

                                    SEC-ERBA

                                    INTERNAL ASSESSMENT APPROACH

                                    OTHER (RW=1 250  %)

                                    SEC-IRBA

                                    SEC-SA

                                    SEC-ERBA

                                    INTERNAL ASSESSMENT APPROACH

                                    OTHER (RW=1 250  %)

                                    OF WHICH: SYNTHETIC SECURITISATIONS

                                    BREAKDOWN BY RW BANDS

                                    OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

                                    BREAKDOWN BY RW BANDS

                                    BREAKDOWN BY CREDIT QUALITY STEPS

                                    BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA

                                    BREAKDOWN BY RW BANDS

                                    OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

                                    OF WHICH: RW=1 250  % (W UNKNOWN)

                                    AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

                                    SEC-ERBA OPTION

                                    POSITIONS SUBJECT TO ART. 254(2)(a) CRR

                                    POSITIONS SUBJECT TO ART. 254(2)(b) CRR

                                    POSITIONS SUBJECT TO ART. 254 (4) OR 258 (2) CRR

                                    FOLLOWING THE HIERARCHY OF APPROACHES

                                    AVERAGE RISK WEIGHT (%)

                                    (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)

                                    (-) TOTAL OUTFLOWS

                                    TOTAL INFLOWS

                                    =< 20 % RW

                                    >20 % TO 50 % RW

                                    >50 % TO 100 % RW

                                    >100 % TO < 1 250  % RW

                                    1 250  % RW

                                    =< 20 % RW

                                    >20 % TO 50 % RW

                                    >50 % TO 100 % RW

                                    >100 % TO < 1 250  % RW

                                    1 250  % RW (W UNKNOWN)

                                    1 250  % RW (OTHER)

                                    SHORT TERM CREDIT QUALITY STEPS

                                    LONG TERM CREDIT QUALITY STEPS

                                    AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES

                                    SEC-ERBA OPTION

                                    POSITIONS SUBJECT TO POINT (a) OF ARTICLE 254(2) CRR

                                    POSITIONS SUBJECT TO POINT (b) OF ARTICLE 254(2) CRR

                                    POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) CRR

                                    FOLLOWING THE HIERARCHY OF APPROACHES

                                    =< 20 % RW

                                    >20 % TO 50 % RW

                                    >50 % TO 100 % RW

                                    >100 % TO < 1 250  % RW

                                    1 250  % RW

                                    CQS 1

                                    CQS 2

                                    CQS 3

                                    ALL OTHER CQS

                                    CQS 1

                                    CQS 2

                                    CQS 3

                                    CQS 4

                                    CQS 5

                                    CQS 6

                                    CQS 7

                                    CQS 8

                                    CQS 9

                                    CQS 10

                                    CQS 11

                                    CQS 12

                                    CQS 13

                                    CQS 14

                                    CQS 15

                                    CQS 16

                                    CQS 17

                                    ALL OTHER CQS

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0100

                                 0110

                                 0120

                                 0130

                                 0140

                                 0150

                                 0160

                                 0170

                                 0180

                                 0190

                                 0200

                                 0210

                                 0220

                                 0230

                                 0240

                                 0250

                                 0260

                                 0270

                                 0280

                                 0290

                                 0300

                                 0310

                                 0320

                                 0330

                                 0340

                                 0350

                                 0360

                                 0370

                                 0380

                                 0390

                                 0400

                                 0410

                                 0420

                                 0430

                                 0440

                                 0450

                                 0460

                                 0470

                                 0480

                                 0490

                                 0500

                                 0510

                                 0520

                                 0530

                                 0540

                                 0550

                                 0560

                                 0570

                                 0580

                                 0590

                                 0600

                                 0610

                                 0620

                                 0630

                                 0640

                                 0650

                                 0660

                                 0670

                                 0680

                                 0690

                                 0700

                                 0710

                                 0720

                                 0730

                                 0740

                                 0750

                                 0760

                                 0770

                                 0780

                                 0790

                                 0800

                                 0810

                                 0820

                                 0830

                                 0840

                                 0850

                                 0860

                                 0870

                                 0880

                                 0890

                                 0900

                                 0910

                                 0920

                                 0930

                                 0010

                                    TOTAL EXPOSURES

                                 Cell linked to CA

                                 0020

                                 SECURITISATION POSITIONS

                                 0030

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0040

                                 STS EXPOSURES

                                 0050

                                 SENIOR POSITION IN SMEs SECURITISATIONS

                                 0060

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0070

                                 RE-SECURITISATION POSITIONS

                                 0080

                                    ORIGINATOR: TOTAL EXPOSURES

                                 0090

                                 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

                                 0100

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0110

                                 OF WHICH: SENIOR EXPOSURES

                                 0120

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0130

                                 OF WHICH: SENIOR EXPOSURES

                                 0140

                                 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                 0150

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0160

                                 OF WHICH: SENIOR EXPOSURES

                                 0170

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0180

                                 OF WHICH: SENIOR EXPOSURES

                                 0190

                                 RE-SECURITISATION POSITIONS

                                 0200

                                    INVESTOR: TOTAL EXPOSURES

                                 0210

                                 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

                                 0220

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0230

                                 OF WHICH: SENIOR EXPOSURES

                                 0240

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0250

                                 OF WHICH: SENIOR EXPOSURES

                                 0260

                                 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                 0270

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0280

                                 OF WHICH: SENIOR EXPOSURES

                                 0290

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0300

                                 OF WHICH: SENIOR EXPOSURES

                                 0310

                                 RE-SECURITISATION POSITIONS

                                 0320

                                    SPONSOR: TOTAL EXPOSURES

                                 0330

                                 SECURITISATION POSITIONS: ON-BALANCE SHEET ITEMS

                                 0340

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0350

                                 OF WHICH: SENIOR EXPOSURES

                                 0360

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0370

                                 OF WHICH: SENIOR EXPOSURES

                                 0380

                                 SECURITISATION POSITIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                 0390

                                 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0400

                                 OF WHICH: SENIOR EXPOSURES

                                 0410

                                 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 0420

                                 OF WHICH: SENIOR EXPOSURES

                                 0430

                                 RE-SECURITISATION POSITIONS

                                 0440

                                    BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Short term

                                 0450

                                 CQS 1

                                 0460

                                 CQS 2

                                 0470

                                 CQS 3

                                 0480

                                 ALL OTHER CQS AND UNRATED

                                 0490

                                    BREAKDOWN OF OUTSTANDING POSITIONS BY CQS AT INCEPTION: Long term

                                 0500

                                 CQS 1

                                 0510

                                 CQS 2

                                 0520

                                 CQS 3

                                 0530

                                 CQS 4

                                 0540

                                 CQS 5

                                 0550

                                 CQS 6

                                 0560

                                 CQS 7

                                 0570

                                 CQS 8

                                 0580

                                 CQS 9

                                 0590

                                 CQS 10

                                 0600

                                 CQS 11

                                 0610

                                 CQS 12

                                 0620

                                 CQS 13

                                 0630

                                 CQS 14

                                 0640

                                 CQS 15

                                 0650

                                 CQS 16

                                 0660

                                 CQS 17

                                 0670

                                 ALL OTHER CQS AND UNRATED

                        C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

                                    ROW NUMBER

                                    INTERNAL CODE

                                    IDENTIFIER OF THE SECURITISATION

                                    INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION?

                                    ROLE OF THE INSTITUTION:

                                    (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

                                    IDENTIFIER OF THE ORIGINATOR

                                    SECURITISATION TYPE:

                                    (TRADITIONAL / SYNTHETIC / ABCP PROGRAMME / ABCP TRANSACTION)

                                    ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET?

                                    SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?

                                    SIGNIFICANT RISK TRANSFER

                                    SECURITISATION OR RE-SECURITISATION?

                                    STS OR NON-STS SECURITISATION?

                                    SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT?

                                    RETENTION

                                    NON ABCP PROGRAMMES

                                    SECURITISED EXPOSURES

                                    SECURITISATION STRUCTURE

                                    TYPE OF RETENTION APPLIED

                                    % OF RETENTION AT REPORTING DATE

                                    COMPLIANCE WITH THE RETENTION REQUIREMENT?

                                    ORIGINATION DATE

                                    (mm/yyyy)

                                    DATE OF LATEST ISSUANCE

                                    (mm/yyyy)

                                    TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

                                    TOTAL AMOUNT

                                    INSTITUTION’S SHARE (%)

                                    TYPE

                                    % of IRB IN APPROACH APPLIED

                                    NUMBER OF EXPOSURES

                                    EXPOSURES IN DEFAULT W (%)

                                    COUNTRY

                                    LGD (%)

                                    EL%

                                    UL%

                                    EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS

                                    (-) VALUE ADJUSTMENTS AND PROVISIONS

                                    OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb

                                    % OF RETAIL EXPOSURES IN IRB POOLS

                                    OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa

                                    MEMORANDUM ITEMS

                                    ON-BALANCE SHEET ITEMS

                                    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                    MATURITY

                                    MEMORANDUM ITEMS

                                    CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    FIRST FORESEEABLE TERMINATION DATE

                                    ORIGINATOR’S CALL OPTIONS INCLUDED IN TRANSACTION

                                    LEGAL FINAL MATURITY DATE

                                    ATTACHMENT POINT OF RISK SOLD (%)

                                    DETACHMENT POINT OF RISK SOLD (%)

                                    RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)

                                    AMOUNT

                                    ATTACHMENT POINT (%)

                                    CQS

                                    AMOUNT

                                    NUMBER OF TRANCHES

                                    CQS OF THE MOST SUBORDINATED ONE

                                    AMOUNT

                                    DETACHMENT POINT (%)

                                    CQS

                                 005

                                 010

                                 020

                                 021

                                 110

                                 030

                                 040

                                 051

                                 060

                                 061

                                 070

                                 075

                                 446

                                 080

                                 090

                                 100

                                 120

                                 121

                                 130

                                 140

                                 150

                                 160

                                 171

                                 180

                                 181

                                 190

                                 201

                                 202

                                 203

                                 204

                                 210

                                 221

                                 222

                                 223

                                 225

                                 230

                                 231

                                 232

                                 240

                                 241

                                 242

                                 250

                                 251

                                 252

                                 260

                                 270

                                 280

                                 290

                                 291

                                 300

                                 302

                                 303

                                 304

                        C 14.01 – DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach)

                        Approach:

                                    ROW NUMBER

                                    INTERNAL CODE

                                    IDENTIFIER OF THE SECURITISATION

                                    SECURITISATION POSITIONS

                                    EXPOSURE VALUE

                                    (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

                                    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                                    MEMORANDUM ITEMS

                                    SECURITISATION POSITIONS - TRADING BOOK

                                    ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

                                    MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS

                                    RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA

                                    RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA

                                    CTP OR NON-CTP?

                                    NET POSITIONS

                                    ON-BALANCE SHEET ITEMS

                                    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                    DIRECT CREDIT SUBSTITUTES

                                    IRS / CRS

                                    LIQUIDITY FACILITIES

                                    OTHER

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    BEFORE CAP

                                    (-) REDUCTION DUE TO RISK WEIGHT CAP

                                    (-) REDUCTION DUE TO OVERALL CAP

                                    AFTER CAP

                                    RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

                                    RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT

                                    LONG

                                    SHORT

                                 005

                                 010

                                 020

                                 310

                                 320

                                 330

                                 340

                                 350

                                 351

                                 360

                                 361

                                 370

                                 380

                                 390

                                 400

                                 411

                                 420

                                 430

                                 431

                                 432

                                 440

                                 447

                                 448

                                 450

                                 460

                                 470

                        C 16.00 – OPERATIONAL RISK (OPR)

                                    BANKING ACTIVITIES

                                    RELEVANT INDICATOR

                                    LOANS AND ADVANCES

                                    (IN CASE OF ASA APPLICATION)

                                    OWN FUNDS

                                    REQUIREMENT

                                    Total operational risk exposure amount

                                    AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE

                                    YEAR-3

                                    YEAR-2

                                    LAST YEAR

                                    YEAR-3

                                    YEAR-2

                                    LAST YEAR

                                    OF WHICH:

                                    DUE TO AN ALLOCATION MECHANISM

                                    OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES

                                    (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES

                                    (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION

                                    (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS)

                                    010

                                    020

                                    030

                                    040

                                    050

                                    060

                                    070

                                    071

                                    080

                                    090

                                    100

                                    110

                                    120

                                 010

                                             1.

                                             BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)

                                 Cell linked to CA2

                                 020

                                             2.

                                             BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES

                                 Cell linked to CA2

                                          SUBJECT TO TSA:

                                 030

                                 CORPORATE FINANCE (CF)

                                 040

                                 TRADING AND SALES (TS)

                                 050

                                 RETAIL BROKERAGE (RBr)

                                 060

                                 COMMERCIAL BANKING (CB)

                                 070

                                 RETAIL BANKING (RB)

                                 080

                                 PAYMENT AND SETTLEMENT (PS)

                                 090

                                 AGENCY SERVICES (AS)

                                 100

                                 ASSET MANAGEMENT (AM)

                                          SUBJECT TO ASA:

                                 110

                                 COMMERCIAL BANKING (CB)

                                 120

                                 RETAIL BANKING (RB)

                                 130

                                             3.

                                             BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA

                                 Cell linked to CA2

                        C 17.01 – OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND LOSS EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

                                    MAPPING OF LOSSES TO BUSINESS LINES

                                    LOSS EVENT TYPES

                                    TOTAL LOSS EVENT TYPES

                                    MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION

                                    INTERNAL FRAUD

                                    EXTERNAL FRAUD

                                    EMPLOYMENT PRACTICES AND WORKPLACE SAFETY

                                    CLIENTS, PRODUCTS & BUSINESS PRACTICES

                                    DAMAGE TO PHYSICAL ASSETS

                                    BUSINESS DISRUPTION AND SYSTEM FAILURES

                                    EXECUTION, DELIVERY & PROCESS MANAGEMENT

                                    LOWEST

                                    HIGHEST

                                 Rows

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0100

                                 0010

                                    CORPORATE FINANCE [CF]

                                 Number of loss events (new loss events)

                                 0020

                                 Gross loss amount (new loss events)

                                 0030

                                 Number of loss events subject to loss adjustments

                                 0040

                                 Loss adjustments relating to previous reporting periods

                                 0050

                                 Maximum single loss

                                 0060

                                 Sum of the five largest losses

                                 0070

                                 Total direct loss recovery

                                 0080

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0110

                                    TRADING AND SALES [TS]

                                 Number of loss events (new loss events)

                                 0120

                                 Gross loss amount (new loss events)

                                 0130

                                 Number of loss events subject to loss adjustments

                                 0140

                                 Loss adjustments relating to previous reporting periods

                                 0150

                                 Maximum single loss

                                 0160

                                 Sum of the five largest losses

                                 0170

                                 Total direct loss recovery

                                 0180

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0210

                                    RETAIL BROKERAGE [RBr]

                                 Number of loss events (new loss events)

                                 0220

                                 Gross loss amount (new loss events)

                                 0230

                                 Number of loss events subject to loss adjustments

                                 0240

                                 Loss adjustments relating to previous reporting periods

                                 0250

                                 Maximum single loss

                                 0260

                                 Sum of the five largest losses

                                 0270

                                 Total direct loss recovery

                                 0280

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0310

                                    COMMERCIAL BANKING [CB]

                                 Number of events (new loss events)

                                 0320

                                 Gross loss amount (new loss events)

                                 0330

                                 Number of loss events subject to loss adjustments

                                 0340

                                 Loss adjustments relating to previous reporting periods

                                 0350

                                 Maximum single loss

                                 0360

                                 Sum of the five largest losses

                                 0370

                                 Total direct loss recovery

                                 0380

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0410

                                    RETAIL BANKING [RB]

                                 Number of loss events (new loss events)

                                 0420

                                 Gross loss amount (new loss events)

                                 0430

                                 Number of loss events subject to loss adjustments

                                 0440

                                 Loss adjustments relating to previous reporting periods

                                 0450

                                 Maximum single loss

                                 0460

                                 Sum of the five largest losses

                                 0470

                                 Total direct loss recovery

                                 0480

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0510

                                    PAYMENT AND SETTLEMENT [PS]

                                 Number of loss events (new loss events)

                                 0520

                                 Gross loss amount (new loss events)

                                 0530

                                 Number of loss events subject to loss adjustments

                                 0540

                                 Loss adjustments relating to previous reporting periods

                                 0550

                                 Maximum single loss

                                 0560

                                 Sum of the five largest losses

                                 0570

                                 Total direct loss recovery

                                 0580

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0610

                                    AGENCY SERVICES [AS]

                                 Number of loss events (new loss events)

                                 0620

                                 Gross loss amount (new loss events)

                                 0630

                                 Number of loss events subject to loss adjustments

                                 0640

                                 Loss adjustments relating to previous reporting periods

                                 0650

                                 Maximum single loss

                                 0660

                                 Sum of the five largest losses

                                 0670

                                 Total direct loss recovery

                                 0680

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0710

                                    ASSET MANAGEMENT [AM]

                                 Number of loss events (new loss events)

                                 0720

                                 Gross loss amount (new loss events)

                                 0730

                                 Number of loss events subject to loss adjustments

                                 0740

                                 Loss adjustments relating to previous reporting periods

                                 0750

                                 Maximum single loss

                                 0760

                                 Sum of the five largest losses

                                 0770

                                 Total direct loss recovery

                                 0780

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0810

                                    CORPORATE ITEMS [CI]

                                 Number of loss events (new loss events)

                                 0820

                                 Gross loss amount (new loss events)

                                 0830

                                 Number of loss events subject to loss adjustments

                                 0840

                                 Loss adjustments relating to previous reporting periods

                                 0850

                                 Maximum single loss

                                 0860

                                 Sum of the five largest losses

                                 0870

                                 Total direct loss recovery

                                 0880

                                 Total recovery from insurance and other risk transfer mechanisms

                                 0910

                                    TOTAL BUSINESS LINES

                                 Number of loss events (new loss events). Of which:

                                 0911

                                 related to losses ≥ 10 000  and < 20 000

                                 0912

                                 related to losses ≥ 20 000  and < 100 000

                                 0913

                                 related to losses ≥ 100 000  and < 1 000 000

                                 0914

                                 related to losses ≥ 1 000 000

                                 0920

                                 Gross loss amount (new loss events). Of which:

                                 0921

                                 related to losses ≥ 10 000  and < 20 000

                                 0922

                                 related to losses ≥ 20 000  and < 100 000

                                 0923

                                 related to losses ≥ 100 000  and < 1 000 000

                                 0924

                                 related to losses ≥ 1 000 000

                                 0930

                                 Number of loss events subject to loss adjustments. Of which:

                                 0935

                                 of which: number of loss events with a positive loss adjustment

                                 0936

                                 of which: number of loss events with a negative loss adjustment

                                 0940

                                 Loss adjustments relating to previous reporting periods

                                 0945

                                 of which: positive loss adjustment amounts (+)

                                 0946

                                 of which: negative loss adjustment amounts (-)

                                 0950

                                 Maximum single loss

                                 0960

                                 Sum of the five largest losses

                                 0970

                                 Total direct loss recovery

                                 0980

                                 Total recovery from insurance and other risk transfer mechanisms

                        C 17.02 – OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)

                                    Event ID

                                    Date of accounting

                                    Date of occurrence

                                    Date of discovery

                                    Loss event type

                                    Gross loss

                                    Gross loss net of direct recoveries

                                    GROSS LOSS BY BUSINESS LINE

                                    Legal Entity name

                                    Legal Entity ID

                                    Business Unit

                                    Description

                                    Corporate Finance [CF]

                                    Trading and Sales [TS]

                                    Retail Brokerage [RBr]

                                    Commercial Banking [CB]

                                    Retail Banking [RB]

                                    Payment and Settlement [PS]

                                    Agency Services [AS]

                                    Asset Management [AM]

                                    Corporate Items [CI]

                                 Rows

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0100

                                 0110

                                 0120

                                 0130

                                 0140

                                 0150

                                 0160

                                 0170

                                 0180

                                 0190

                                 0200

                                 …

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

                        Currency:

                                    POSITIONS

                                    OWN FUNDS REQUIREMENTS

                                    TOTAL RISK EXPOSURE AMOUNT

                                    ALL POSITIONS

                                    NET POSITIONS

                                    POSITIONS SUBJECT TO CAPITAL CHARGE

                                    LONG

                                    SHORT

                                    LONG

                                    SHORT

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 010

                                    TRADED DEBT INSTRUMENTS IN TRADING BOOK

                                 Cell linked to CA2

                                 011

                                    General risk

                                 012

                                 Derivatives

                                 013

                                 Other assets and liabilities

                                 020

                                 Maturity-based approach

                                 030

                                 Zone 1

                                 040

                                 0 ≤ 1 month

                                 050

                                 > 1 ≤ 3 months

                                 060

                                 > 3 ≤ 6 months

                                 070

                                 > 6 ≤ 12 months

                                 080

                                 Zone 2

                                 090

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

                                 100

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

                                 110

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

                                 120

                                 Zone 3

                                 130

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

                                 140

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

                                 150

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

                                 160

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

                                 170

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

                                 180

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

                                 190

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

                                 200

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

                                 210

                                 Duration-based approach

                                 220

                                 Zone 1

                                 230

                                 Zone 2

                                 240

                                 Zone 3

                                 250

                                    Specific risk

                                 251

                                 Own funds requirement for non-securitisation debt instruments

                                 260

                                 Debt securities under the first category in Table 1

                                 270

                                 Debt securities under the second category in Table 1

                                 280

                                 With residual term ≤ 6 months

                                 290

                                 With a residual term > 6 months and ≤ 24 months

                                 300

                                 With a residual term > 24 months

                                 310

                                 Debt securities under the third category in Table 1

                                 320

                                 Debt securities under the fourth category in Table 1

                                 321

                                 Rated nth-to default credit derivatives

                                 325

                                 Own funds requirement for securitisation instruments

                                 330

                                 Own funds requirement for the correlation trading portfolio

                                 350

                                 Additional requirements for options (non-delta risks)

                                 360

                                 Simplified method

                                 370

                                 Delta plus approach – additional requirements for gamma risk

                                 380

                                 Delta plus approach – additional requirements for vega risk

                                 385

                                 Delta plus approach – non-continuous options and warrants

                                 390

                                 Scenario matrix approach

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

                                    ALL POSITIONS

                                    (-) POSITIONS DEDUCTED FROM OWN FUNDS

                                    NET POSITIONS

                                    BREAKDOWN OF THE NET POSITIONS (LONG) BY RISK WEIGHTS

                                    BREAKDOWN OF THE NET POSITIONS (SHORT) BY RISK WEIGHTS

                                    BREAKDOWN OF THE NET POSITION BY APPROACHES

                                    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402

                                    BEFORE CAP

                                    AFTER CAP / TOTAL OWN FUND REQUIREMENTS

                                    LONG

                                    SHORT

                                    (-) LONG

                                    (-) SHORT

                                    LONG

                                    SHORT

                                    [0 – 10 %[

                                    [10 – 12 %[

                                    [12 – 20 %[

                                    [20 – 40 %[

                                    [40 – 100 %[

                                    [100 – 150 %[

                                    [150 – 200 %[

                                    [200 – 225 %[

                                    [225 – 250 %[

                                    [250 – 300 %[

                                    [300 – 350 %[

                                    [350 – 425 %[

                                    [425 – 500 %[

                                    [500 – 650 %[

                                    [650 – 750 %[

                                    [750 – 850 %[

                                    [850 – 1 250  %[

                                    1 250  %

                                    [0 – 10 %[

                                    [10 – 12 %[

                                    [12 – 20 %[

                                    [20 – 40 %[

                                    [40 – 100 %[

                                    [100 – 150 %[

                                    [150 – 200 %[

                                    [200 – 225 %[

                                    [225 – 250 %[

                                    [250 – 300 %[

                                    [300 – 350 %[

                                    [350 – 425 %[

                                    [425 – 500 %[

                                    [500 – 650 %[

                                    [650 – 750 %[

                                    [750 – 850 %[

                                    [850 – 1 250  %[

                                    1 250  %

                                    SEC-IRBA

                                    SEC-SA

                                    SEC-ERBA

                                    INTERNAL ASSESSMENT APPROACH

                                    OTHER (RW=1 250  %)

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 061

                                 062

                                 063

                                 064

                                 065

                                 066

                                 071

                                 072

                                 073

                                 074

                                 075

                                 076

                                 077

                                 078

                                 079

                                 081

                                 082

                                 083

                                 085

                                 086

                                 087

                                 088

                                 089

                                 091

                                 092

                                 093

                                 094

                                 095

                                 096

                                 097

                                 098

                                 099

                                 101

                                 102

                                 103

                                 0104

                                 402

                                 403

                                 404

                                 405

                                 406

                                 530

                                 540

                                 570

                                 601

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to MKR SA TDI {325:060}

                                 020

                                 Of which: RE-SECURITISATIONS

                                 030

                                    ORIGINATOR: TOTAL EXPOSURES

                                 040

                                 SECURITISATION POSITIONS

                                 041

                                 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 050

                                 RE-SECURITISATION POSITONS

                                 060

                                    INVESTOR: TOTAL EXPOSURES

                                 070

                                 SECURITISATION POSITIONS

                                 071

                                 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 080

                                 RE-SECURITISATION POSITONS

                                 090

                                    SPONSOR: TOTAL EXPOSURES

                                 100

                                 SECURITISATION POSITIONS

                                 101

                                 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                 110

                                 RE-SECURITISATION POSITONS

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

                                    ALL POSITIONS

                                    (-) POSITIONS DEDUCTED FROM OWN FUNDS

                                    NET POSITIONS

                                    BREAKDOWN OF THE NET POSITION (LONG) BY RISK WEIGHTS

                                    BREAKDOWN OF THE NET POSITION (SHORT) BY RISK WEIGHTS

                                    BREAKDOWN OF THE NET POSITION BY APPROACHES

                                    BEFORE CAP

                                    AFTER CAP

                                    TOTAL OWN FUNDS REQUIREMENTS

                                    LONG

                                    SHORT

                                    (-) LONG

                                    (-) SHORT

                                    LONG

                                    SHORT

                                    [0 – 10 %[

                                    [10 – 12 %[

                                    [12 – 20 %[

                                    [20 – 40 %[

                                    [40 – 100 %[

                                    [100 – 250 %[

                                    [250 – 350 %[

                                    [350 – 425 %[

                                    [425 – 650 %[

                                    [650 – 1 250  %[

                                    1 250  %

                                    [0 – 10 %[

                                    [10 – 12 %[

                                    [12 – 20 %[

                                    [20 – 40 %[

                                    [40 – 100 %[

                                    [100 – 250 %[

                                    [250 – 350 %[

                                    [350 – 425 %[

                                    [425 – 650 %[

                                    [650 – 1 250  %[

                                    1 250  %

                                    SEC-IRBA

                                    SEC-SA

                                    SEC-ERBA

                                    INTERNAL ASSESSMENT APPROACH

                                    OTHER (RW=1 250  %)

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 071

                                 072

                                 073

                                 074

                                 075

                                 076

                                 077

                                 078

                                 079

                                 081

                                 082

                                 086

                                 087

                                 088

                                 089

                                 091

                                 092

                                 093

                                 094

                                 095

                                 096

                                 097

                                 402

                                 403

                                 404

                                 405

                                 406

                                 410

                                 420

                                 430

                                 440

                                 450

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to MKR SA TDI {330:060}

                                    SECURITISATION POSITIONS:

                                 020

                                    ORIGINATOR: TOTAL EXPOSURES

                                 030

                                 SECURITISATION POSITIONS

                                 040

                                 OTHER CTP POSITIONS

                                 050

                                    INVESTOR: TOTAL EXPOSURES

                                 060

                                 SECURITISATION POSITIONS

                                 070

                                 OTHER CTP POSITIONS

                                 080

                                    SPONSOR: TOTAL EXPOSURES

                                 090

                                 SECURITISATION POSITIONS

                                 100

                                 OTHER CTP POSITIONS

                                    N-TH-TO-DEFAULT CREDIT DERIVATIVES:

                                 110

                                 N-TH-TO-DEFAULT CREDIT DERIVATIVES

                                 120

                                 OTHER CTP POSITIONS

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

                        National market:

                                    POSITIONS

                                    OWN FUNDS REQUIREMENTS

                                    TOTAL RISK EXPOSURE AMOUNT

                                    ALL POSITIONS

                                    NET POSITIONS

                                    POSITIONS SUBJECT TO CAPITAL CHARGE

                                    LONG

                                    SHORT

                                    LONG

                                    SHORT

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 010

                                    EQUITIES IN TRADING BOOK

                                 Cell linked to CA

                                 020

                                 General risk

                                 021

                                 Derivatives

                                 022

                                 Other assets and liabilities

                                 030

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

                                 040

                                 Other equities than exchange traded stock-index futures broadly diversified

                                 050

                                 Specific risk

                                 090

                                 Additional requirements for options (non-delta risks)

                                 100

                                 Simplified method

                                 110

                                 Delta plus approach – additional requirements for gamma risk

                                 120

                                 Delta plus approach – additional requirements for vega risk

                                 125

                                 Delta plus approach – non-continuous options and warrants

                                 130

                                 Scenario matrix approach

                        C 22.00 – MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)

                                    ALL POSITIONS

                                    NET POSITIONS

                                    POSITIONS SUBJECT TO CAPITAL CHARGE

                                    (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions)

                                    OWN FUNDS REQUIREMENTS

                                    TOTAL RISK EXPOSURE AMOUNT

                                    LONG

                                    SHORT

                                    LONG

                                    SHORT

                                    LONG

                                    SHORT

                                    MATCHED

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 010

                                    TOTAL POSITIONS

                                 Cell linked to CA

                                 020

                                 Currencies closely correlated

                                 025

                                 of which: reporting currency

                                 030

                                 All other currencies (including CIUs treated as different currencies)

                                 040

                                 Gold

                                 050

                                 Additional requirements for options (non-delta risks)

                                 060

                                 Simplified method

                                 070

                                 Delta plus approach – additional requirements for gamma risk

                                 080

                                 Delta plus approach – additional requirements for vega risk

                                 085

                                 Delta plus approach – non-continuous options and warrants

                                 090

                                 Scenario matrix approach

                                    BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES

                                 100

                                 Other assets and liabilities other than off-balance sheet items and derivatives

                                 110

                                 Off-balance sheet items

                                 120

                                 Derivatives

                                    Memorandum items: CURRENCY POSITIONS

                                 130

                                 Euro

                                 140

                                 Lek

                                 150

                                 Argentine Peso

                                 160

                                 Australian Dollar

                                 170

                                 Brazilian Real

                                 180

                                 Bulgarian Lev

                                 190

                                 Canadian Dollar

                                 200

                                 Czech Koruna

                                 210

                                 Danish Krone

                                 220

                                 Egyptian Pound

                                 230

                                 Pound Sterling

                                 240

                                 Forint

                                 250

                                 Yen

                                 270

                                 Lithuanian Litas

                                 280

                                 Denar

                                 290

                                 Mexican Peso

                                 300

                                 Zloty

                                 310

                                 Rumanian Leu

                                 320

                                 Russian Ruble

                                 330

                                 Serbian Dinar

                                 340

                                 Swedish Krona

                                 350

                                 Swiss Franc

                                 360

                                 Turkish Lira

                                 370

                                 Hryvnia

                                 380

                                 US Dollar

                                 390

                                 Iceland Krona

                                 400

                                 Norwegian Krone

                                 410

                                 Hong Kong Dollar

                                 420

                                 New Taiwan Dollar

                                 430

                                 New Zealand Dollar

                                 440

                                 Singapore Dollar

                                 450

                                 Won

                                 460

                                 Yuan Renminbi

                                 470

                                 Other

                                 480

                                 Croatian Kuna

                        C 23.00 – MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)

                                    ALL POSITIONS

                                    NET POSITIONS

                                    POSITIONS SUBJECT TO CAPITAL CHARGE

                                    OWN FUNDS REQUIREMENTS

                                    TOTAL RISK EXPOSURE AMOUNT

                                    LONG

                                    SHORT

                                    LONG

                                    SHORT

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 010

                                    TOTAL POSITIONS IN COMMODITIES

                                 Cell linked to CA

                                 020

                                 Precious metals (except gold)

                                 030

                                 Base metals

                                 040

                                 Agricultural products (softs)

                                 050

                                 Others

                                 060

                                 Of which energy products (oil, gas)

                                 070

                                 Maturity ladder approach

                                 080

                                 Extended maturity ladder approach

                                 090

                                 Simplified approach: All positions

                                 100

                                 Additional requirements for options (non-delta risks)

                                 110

                                 Simplified method

                                 120

                                 Delta plus approach – additional requirements for gamma risk

                                 130

                                 Delta plus approach – additional requirements for vega risk

                                 135

                                 Delta plus approach – non-continuous options and warrants

                                 140

                                 Scenario matrix approach

                        C 24.00 – MARKET RISK INTERNAL MODELS (MKR IM)

                                    Value at Risk (VaR)

                                    STRESSED VaR

                                    INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

                                    ALL PRICE RISKS CAPITAL CHARGE FOR CTP

                                    OWN FUNDS REQUIREMENTS

                                    TOTAL RISK EXPOSURE AMOUNT

                                    Number of overshootings

                                    during previous 250 working days

                                    VaR Multiplication Factor (mc)

                                    SVaR Multiplication Factor (ms)

                                    ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET LONG POSITIONS AFTER CAP

                                    ASSUMED CHARGE FOR CTP FLOOR – WEIGHTED NET SHORT POSITIONS AFTER CAP

                                    MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

                                    PREVIOUS DAY (VaRt-1)

                                    MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

                                    LATEST AVAILABLE (SVaRt-1)

                                    12 WEEKS AVERAGE MEASURE

                                    LAST MEASURE

                                    FLOOR

                                    12 WEEKS AVERAGE MEASURE

                                    LAST MEASURE

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 010

                                    TOTAL POSITIONS

                                 Cell linked to CA

                                    Memorandum items: BREAKDOWN OF MARKET RISK

                                 020

                                    Traded debt instruments

                                 030

                                    TDI – General risk

                                 040

                                    TDI – Specific Risk

                                 050

                                    Equities

                                 060

                                    Equities – General risk

                                 070

                                    Equities – Specific Risk

                                 080

                                    Foreign Exchange risk

                                 090

                                    Commodities risk

                                 100

                                    Total amount for general risk

                                 110

                                    Total amount for specific risk

                        C 25.00 – CREDIT VALUE ADJUSTMENT RISK (CVA)

                                    EXPOSURE VALUE

                                    VaR

                                    STRESSED VaR

                                    OWN FUNDS

                                    REQUIREMENTS

                                    TOTAL RISK

                                    EXPOSURE AMOUNT

                                    MEMORANDUM ITEMS

                                    CVA RISK HEDGE NOTIONALS

                                    of which:

                                    OTC Derivatives

                                    of which:

                                    SFT

                                    MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg)

                                    PREVIOUS DAY

                                    (VaRt-1)

                                    MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg)

                                    LATEST AVAILABLE (SVaRt-1)

                                    Number of counterparties

                                    of which: proxy was used to determine credit spread

                                    INCURRED CVA

                                    SINGLE NAME CDS

                                    INDEX CDS

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 010

                                    CVA risk total

                                 Link to {CA2;r640;c010}

                                 020

                                    Advanced method

                                 Link to {CA2;r650;c010}

                                 030

                                    Standardised method

                                 Link to {CA2;r660;c010}

                                 040

                                    Based on OEM

                                 Link to {CA2;r670;c010}

                        C 32.01 – PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)

                                    FAIR-VALUED ASSETS AND LIABILITIES

                                    FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1

                                    FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ARTICLE 4(1) THRESHOLD

                                    OF WHICH: TRADING BOOK

                                    EXACTLY MATCHING

                                    HEDGE ACCOUNTING

                                    PRUDENTIAL FILTERS

                                    OTHER

                                    COMMENTS FOR OTHER

                                    OF WHICH:

                                    TRADING BOOK

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0010

                                    1

                                    TOTAL FAIR-VALUED ASSETS AND LIABILITIES

                                 0020

                                    1.1

                                    TOTAL FAIR-VALUED ASSETS

                                 0030

                                 1.1.1

                                 FINANCIAL ASSETS HELD FOR TRADING

                                 0040

                                 1.1.2

                                 TRADING FINANCIAL ASSETS

                                 0050

                                 1.1.3

                                 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS

                                 0060

                                 1.1.4

                                 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

                                 0070

                                 1.1.5

                                 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME

                                 0080

                                 1.1.6

                                 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

                                 0090

                                 1.1.7

                                 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY

                                 0100

                                 1.1.8

                                 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS

                                 0110

                                 1.1.9

                                 DERIVATIVES – HEDGE ACCOUNTING

                                 0120

                                 1.1.10

                                 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

                                 0130

                                 1.1.11

                                 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES

                                 0140

                                 1.1.12

                                 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE

                                 0150

                                    1.2

                                    TOTAL FAIR-VALUED LIABILITIES

                                 0160

                                 1.2.1

                                 FINANCIAL LIABILITIES HELD FOR TRADING

                                 0170

                                 1.2.2

                                 TRADING FINANCIAL LIABILITIES

                                 0180

                                 1.2.3

                                 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

                                 0190

                                 1.2.4

                                 DERIVATIVES – HEDGE ACCOUNTING

                                 0200

                                 1.2.5

                                 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK

                                 0210

                                 1.2.6

                                 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE

                        C 32.02 – PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)

                                    CATEGORY LEVEL AVA

                                    TOTAL AVA

                                    UPSIDE UNCERTAINTY

                                    FAIR-VALUED ASSETS AND LIABILITIES

                                    QTD

                                    REVENUE

                                    IPV

                                    DIFFERENCE

                                    FAIR VALUE ADJUSTMENTS

                                    DAY 1 P&L

                                    EXPLANATION DESCRIPTION

                                    MARKET PRICE UNCERTAINTY

                                    CLOSE-OUT COSTS

                                    MODEL RISK

                                    CONCENTRATED POSITIONS

                                    FUTURE ADMINISTRATIVE COSTS

                                    EARLY TERMINATION

                                    OPERATIONAL RISK

                                    FAIR-VALUED ASSETS

                                    FAIR-VALUED LIABILITIES

                                    MARKET PRICE UNCERTAINTY

                                    CLOSE-OUT COSTS

                                    MODEL RISK

                                    CONCENTRATED

                                    POSITIONS

                                    UNEARNED CREDIT SPREADS

                                    INVESTING AND FUNDING COSTS

                                    FUTURE ADMINIS-TRATIVE COSTS

                                    EARLY TERMINATION

                                    OPERA- TIONAL RISK

                                    OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

                                    OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

                                    OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0100

                                 0110

                                 0120

                                 0130

                                 0140

                                 0150

                                 0160

                                 0170

                                 0180

                                 0190

                                 0200

                                 0210

                                 0220

                                 0230

                                 0240

                                 0250

                                 0260

                                 0270

                                 0010

                                    1

                                    TOTAL CORE APPROACH

                                 0020

                                    OF WHICH: TRADING BOOK

                                 0030

                                    1.1

                                    PORTFOLIOS UNDER ARTICLES 9 TO 17 OF COMMISION DELEGATED REGULATION (EU) 2016/101 – TOTAL CATEGORY LEVEL POST-DIVERSIFICATION

                                 0040

                                    1.1.1

                                    TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION

                                 0050

                                 1.1.1*

                                    OF WHICH: UNEARNED CREDIT SPREADS AVA

                                 0060

                                 1.1.1**

                                    OF WHICH: INVESTMENT AND FUNDING COSTS AVA

                                 0070

                                 1.1.1***

                                    OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101

                                 0080

                                 1.1.1****

                                    OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER PARAGRAPHS 2 AND 3 OF ARTICLE 10 OF DELEGATED REGULATION (EU) 2016/101

                                 0090

                                 1.1.1.1

                                 INTEREST RATES

                                 0100

                                 1.1.1.2

                                 FOREIGN EXCHANGE

                                 0110

                                 1.1.1.3

                                 CREDIT

                                 0120

                                 1.1.1.4

                                 EQUITIES

                                 0130

                                 1.1.1.5

                                 COMMODITIES

                                 0140

                                    1.1.2

                                    (-) DIVERSIFICATION BENEFITS

                                 0150

                                 1.1.2.1

                                 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1

                                 0160

                                 1.1.2.2

                                 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2

                                 0170

                                 1.1.2.2*

                                 MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90 % BY DIVERSIFICATION UNDER METHOD 2

                                 0180

                                    1.2

                                    PORTFOLIOS UNDER THE FALL-BACK APPROACH

                                 0190

                                 1.2.1

                                 100 % OF NET UNREALISED PROFIT

                                 0200

                                 1.2.2

                                 10 % OF NOTIONAL VALUE

                                 0210

                                 1.2.3

                                 25 % OF INCEPTION VALUE

                        C 32.03 – PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)

                                    RANK

                                    MODEL

                                    RISK CATEGORY

                                    PRODUCT

                                    OBSER-VABILITY

                                    MODEL RISK AVA

                                    AGGREGATED AVA CALCULATED UNDER METHOD 2

                                    FAIR-VALUED ASSETS AND LIABILITIES

                                    IPV DIFFERENCE (OUTPUT TESTING)

                                    IPV COVERAGE (OUTPUT TESTING)

                                    FAIR VALUE ADJUSTMENTS

                                    DAY1 P&L

                                    OF WHICH:

                                    USING EXPERT APPROACH

                                    OF WHICH: AGGREGATED USING METHOD 2

                                    FV ASSETS

                                    FV LIABILITIES

                                    MODEL RISK

                                    EARLY TERMINATION

                                 0005

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0100

                                 0110

                                 0120

                                 0130

                                 0140

                                 0150

                        C 32.04 – PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)

                                    RANK

                                    RISK CATEGORY

                                    PRODUCT

                                    UNDERLYING

                                    CONCENTRATED POSITION SIZE

                                    SIZE MEASURE

                                    MARKET VALUE

                                    PRUDENT EXIT PERIOD

                                    CONCENTRATED POSITIONS AVA

                                    CONCENTRATED POSITION FAIR VALUE ADJUSTMENT

                                    IPV DIFFERENCE

                                 0005

                                 0010

                                 0020

                                 0030

                                 0040

                                 0050

                                 0060

                                 0070

                                 0080

                                 0090

                                 0100

                        C 33.00 – GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV)

                        Country:

                                    Direct exposures

                                    Memorandum item: credit derivatives sold on general government exposures

                                    Exposure value

                                    Risk weighted exposure amount

                                    On-balance sheet exposures

                                    Accumulated impairment

                                    Accumulated negative changes in fair value due to credit risk

                                    Derivatives

                                    Off-balance sheet exposures

                                    Total gross carrying amount of non-derivative financial assets

                                    Total carrying amount of non-derivative financial assets (net of short positions)

                                    Non-derivative financial assets by accounting portfolios

                                    Short positions

                                    Derivatives with positive fair value

                                    Derivatives with negative fair value

                                    Nominal amount

                                    Provisions

                                    Accumulated negative changes in fair value due to credit risk

                                    Derivatives with positive fair value – Carrying amount

                                    Derivatives with negative fair value – Carrying amount

                                    Financial assets held for trading

                                    Trading financial assets

                                    Non-trading financial assets mandatorily at fair value through profit or loss

                                    Financial assets designated at fair value through profit or loss

                                    Non-trading non-derivative financial assets measured at fair value through profit or loss

                                    Financial assets at fair value through other comprehensive income

                                    Non-trading non-derivative financial assets measured at fair value to equity

                                    Financial assets at amortised cost

                                    Non-trading non-derivative financial assets measured at a cost-based method

                                    Other non-trading non-derivative financial assets

                                    Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets

                                    of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

                                    of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss

                                    of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity

                                    Carrying amount

                                    Notional amount

                                    Carrying amount

                                    Notional amount

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 260

                                 270

                                 280

                                 290

                                 300

                                 010

                                 Total exposures

                                    BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES:

                                 020

                                 Exposures under the credit risk framework

                                 030

                                 Standardised Approach

                                 040

                                 Central governments

                                 050

                                 Regional governments or local authorities

                                 060

                                 Public sector entities

                                 070

                                 International Organisations

                                 075

                                 Other general government exposures subject to Standardised Approach

                                 080

                                 IRB Approach

                                 090

                                 Central governments

                                 100

                                 Regional governments or local authorities [Central governments]

                                 110

                                 Regional governments or local authorities [Institutions]

                                 120

                                 Public sector entities [Central governments]

                                 130

                                 Public sector entities [Institutions]

                                 140

                                 International Organisations [Central governments]

                                 155

                                 Other general government exposures subject to IRB Approach

                                 160

                                 Exposures under the market risk framework

                                    BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY:

                                 170

                                 [ 0 – 3M [

                                 180

                                 [ 3M – 1Y [

                                 190

                                 [ 1Y – 2Y [

                                 200

                                 [ 2Y – 3Y [

                                 210

                                 [3Y – 5Y [

                                 220

                                 [5Y – 10Y [

                                 230

                                 [10Y – more
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