title: Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance)

text:
                  9.11.2018

                  EN

                  Official Journal of the European Union

                  L 281/1

         COMMISSION IMPLEMENTING REGULATION (EU) 2018/1627
         of 9 October 2018
         amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting
         (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 the fourth subparagraph of Article 99(5), the fourth subparagraph of Article 99(6), the third subparagraph of Article 394(4) the fourth subparagraph of Article 415(3) and the third subparagraph of Article 430(2) thereof,
         Whereas:

                     (1)

                     Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. The regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of further regulatory technical standards. Implementing Regulation (EU) No 680/2014 needs to be updated to reflect those changes.

                     (2)

                     Regulation (EU) No 575/2013 is supplemented by the adoption of Commission Delegated Regulation (EU) 2016/101 (3), with regard to prudent valuation and by Regulation (EU) 2017/2401 of the European Parliament and of the Council (4), with regard to securitisation. Implementing Regulation (EU) No 680/2014 should be updated to reflect those changes and to provide further precision in the instructions and definitions used for the purposes of the institutions’ supervisory reporting. Certain references and formatting inconsistencies which were discovered as misleading in the course of the application of Implementing Regulation (EU) No 680/2014 should also be clarified.

                     (3)

                     Delegated Regulation (EU) 2016/101 sets out requirements relating to prudent valuation adjustments of fair-valued positions. It provides two approaches for the implementation of the prudent valuation requirements: a core approach and a simplified approach. To monitor compliance of institutions with those requirements and to assess the impact of that Regulation on valuation adjustments, additional reporting, relating to the prudent valuation requirements, is necessary.

                     (4)

                     Regulation (EU) 2017/2401 amends Regulation (EU) No 575/2013 to make the capital treatment of securitisations more risk-sensitive and able to reflect properly the specific features of simple, transparent and standardised securitisations. Implementing Regulation (EU) No 680/2014 needs to be amended to accommodate the reporting on securitisation positions subject to this revised securitisation framework.

                     (5)

                     Amendments to Implementing Regulation (EU) No 680/2014 are also necessary to improve competent authorities’ ability to effectively monitor and assess the institutions’ risk profile and to obtain a view on the risks posed to the financial sector, which requires minor changes to the reporting requirements on the geographical distribution of exposures.

                     (6)

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

                     (7)

                     EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based that relate to prudent valuation and the total geographical breakdown, 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 (5) in relation to those. 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, as such consultation would be disproportionate in relation to the scope and impact of the draft implementing technical standards concerned.

                     (8)

                     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 (4) is replaced by the following:

                                                            ‘(4)

                                                            the information on the geographical distribution of exposures by country, as well as aggregated at a total level, as specified in template 9 of Annex I, according to the instructions in Part II point 3.4 of Annex II. With regard to the information specified in templates 9.1 and 9.2 in particular, information on the geographical distribution of exposures by country shall be reported where non-domestic original exposures in all “non-domestic” countries in all exposures classes, as reported in row 850 of template 4 of Annex I, are equal or higher than 10 % of total domestic and non-domestic original exposures as reported in row 860 of template 4 of Annex I. For this purpose exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is located. The entry and exit criteria of Article 4 shall apply;’;

                                                (ii)

                                                the following point (12) is added:

                                                            ‘(12)

                                                            the information on prudent valuation specified in template 32 of Annex I in accordance with the instructions in Part II, point 6 of Annex II as follows:

                                                                        (i)

                                                                        all institutions shall report the information specified in template 32.1 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

                                                                        (ii)

                                                                        in addition to the reporting referred to in point (i), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 shall also report the information specified in template 32.2 of Annex I in accordance with the instructions in Part II, point 6 of Annex II;

                                                                        (iii)

                                                                        in addition to the requirements referred to in points (i) and (ii), institutions that apply the core approach pursuant to Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation at their respective reporting level, shall also report the information specified in templates 32.3 and 32.4 of Annex I in accordance with the instructions in Part II, point 6 of Annex II.

                                                                  For the purposes of point (a)(12), the entry and exit criteria of Article 4 shall not apply.’;

                                    (b)

                                    point (b) is amended as follows:
                                    In point (3) points (a), (b) and (c), the words ‘point 6 of Part II of Annex II’ are replaced by the words ‘point 7 of Part II of Annex II’;

                        (2)

                        in Article 9(2), point (d) is replaced by the following:

                                    ‘(d)

                                    the information specified in template 20 in Part 2 of Annex III with a quarterly frequency where the institution exceeds the threshold defined in the second sentence of point (4) of Article 5(a). The entry and exit criteria referred to in Article 4 shall apply;’;

                        (3)

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

                        (4)

                        Annex II is replaced by the text set out in Annex II to this Regulation;

                        (5)

                        Annex V is replaced by the text set out in Annex III to this Regulation;

                        (6)

                        Annex IX is replaced by the text set out in Annex IV to this Regulation;

                        (7)

                        Annex XI is replaced by the text set out in Annex V to this Regulation;

                        (8)

                        Annex XVI is replaced by Annex VI to this Regulation;

                        (9)

                        Annex XIX is replaced by the text set out in Annex VII to this Regulation;

                        (10)

                        Annex XXI is replaced by the text set out in Annex VIII to this Regulation;

                        (11)

                        Annex XXII is replaced by the text set out in Annex IX to this Regulation;

                        (12)

                        Annex XXIII is replaced by the text set out in Annex X to this Regulation.

            Article 2
            This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
            It shall apply from 1 December 2018.

            This Regulation shall be binding in its entirety and directly applicable in all Member States.
            Done at Brussels, 9 October 2018.

                  For the Commission

                  The President

               Jean-Claude JUNCKER

            (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 (OJ L 191, 28.6.2014, p. 1).

            (3)  Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).

            (4)  Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1).

            (5)  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

                                 12

                                 C 12.00

                                 CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS

                                 CR SEC SA

                                 13

                                 C 13.00

                                 CREDIT RISK: SECURITISATIONS - IRB APPROACH TO OWN FUNDS REQUIREMENTS

                                 CR SEC IRB

                                 14

                                 C 14.00

                                 DETAILED INFORMATION ON SECURITISATIONS

                                 CR SEC Details

                                    OPERATIONAL RISK

                                    OPR

                                 16

                                 C 16.00

                                 OPERATIONAL RISK

                                 OPR

                                 OPERATIONAL RISK: LOSSES AND RECOVERIES

                                 17,1

                                 C 17.01

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

                                 OPR DETAILS 1

                                 17,2

                                 C 17.02

                                 OPERATIONAL RISK: LARGE LOSS EVENTS

                                 OPR DETAILS 2

                                    MARKET RISK

                                    MKR

                                 18

                                 C 18.00

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

                                 MKR SA TDI

                                 19

                                 C 19.00

                                 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS

                                 MKR SA SEC

                                 20

                                 C 20.00

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

                                 MKR SA CTP

                                 21

                                 C 21.00

                                 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES

                                 MKR SA EQU

                                 22

                                 C 22.00

                                 MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK

                                 MKR SA FX

                                 23

                                 C 23.00

                                 MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES

                                 MKR SA COM

                                 24

                                 C 24.00

                                 MARKET RISK INTERNAL MODELS

                                 MKR IM

                                 25

                                 C 25.00

                                 CREDIT VALUE ADJUSTMENT RISK

                                 CVA

                                    PRUDENT VALUATION

                                    MKR

                                 32,1

                                 C 32.01

                                 PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES

                                 PRUVAL 1

                                 32,2

                                 C 32.02

                                 PRUDENT VALUATION: CORE APPROACH

                                 PRUVAL 2

                                 32,3

                                 C 32.03

                                 PRUDENT VALUATION: MODEL RISK AVA

                                 PRUVAL 3

                                 32,4

                                 C 32.04

                                 PRUDENT VALUATION: CONCENTRATED POSITIONS AVA

                                 PRUVAL 4

                                    GENERAL GOVERNMENTS EXPOSURES

                                    MKR

                                 33

                                 C 33.00

                                 GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY

                                 GOV

                        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 instrumentsand subordinated loans

                                    780

                                 1.2.1.2*

                                 Memorandum item: Capital instruments and subordinated loans not eligible

                                    790

                                 1.2.1.3

                                 Share premium

                                    800

                                 1.2.1.4

                                 (-) Own T2 instruments

                                    810

                                 1.2.1.4.1

                                 (-) Direct holdings of T2 instruments

                                    840

                                 1.2.1.4.2

                                 (-) Indirect holdings of T2 instruments

                                    841

                                 1.2.1.4.3

                                 (-) Synthetic holdings of T2 instruments

                                    842

                                 1.2.1.5

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

                                    880

                                    1.2.2

                                    Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans

                                    890

                                    1.2.3

                                    Instruments issued by subsidiaries that are given recognition in T2 Capital

                                    900

                                    1.2.4

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

                                    910

                                    1.2.5

                                    IRB Excess of provisions over expected losses eligible

                                    920

                                    1.2.6

                                    SA General credit risk adjustments

                                    930

                                    1.2.7

                                    (-) Reciprocal cross holdings in T2 Capital

                                    940

                                    1.2.8

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

                                    950

                                    1.2.9

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

                                    960

                                    1.2.10

                                    Other transitional adjustments to T2 Capital

                                    970

                                    1.2.11

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

                                    974

                                    1.2.12

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

                                    978

                                    1.2.13

                                    T2 capital elements or deductions - other

                        C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

                                    Rows

                                    Item

                                    Label

                                    Amount

                                    010

                                    1

                                    TOTAL RISK EXPOSURE AMOUNT

                                    020

                                 1*

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

                                    030

                                 1**

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

                                    040

                                    1.1

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

                                    050

                                    1.1.1

                                    Standardised approach (SA)

                                    060

                                 1.1.1.1

                                 SA exposure classes excluding securitisation positions

                                    070

                                 1.1.1.1.01

                                 Central governments or central banks

                                    080

                                 1.1.1.1.02

                                 Regional governments or local authorities

                                    090

                                 1.1.1.1.03

                                 Public sector entities

                                    100

                                 1.1.1.1.04

                                 Multilateral Development Banks

                                    110

                                 1.1.1.1.05

                                 International Organisations

                                    120

                                 1.1.1.1.06

                                 Institutions

                                    130

                                 1.1.1.1.07

                                 Corporates

                                    140

                                 1.1.1.1.08

                                 Retail

                                    150

                                 1.1.1.1.09

                                 Secured by mortgages on immovableproperty

                                    160

                                 1.1.1.1.10

                                 Exposures in default

                                    170

                                 1.1.1.1.11

                                 Items associated with particular high risk

                                    180

                                 1.1.1.1.12

                                 Covered bonds

                                    190

                                 1.1.1.1.13

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

                                    200

                                 1.1.1.1.14

                                 Collective investments undertakings (CIU)

                                    210

                                 1.1.1.1.15

                                 Equity

                                    211

                                 1.1.1.1.16

                                 Other items

                                    220

                                 1.1.1.2

                                 Securitisation positions SA

                                    230

                                 1.1.1.2*

                                    of which: resecuritisation

                                    240

                                    1.1.2

                                    Internal ratings based Approach (IRB)

                                    250

                                 1.1.2.1

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

                                    260

                                 1.1.2.1.01

                                 Central governments and central banks

                                    270

                                 1.1.2.1.02

                                 Institutions

                                    280

                                 1.1.2.1.03

                                 Corporates - SME

                                    290

                                 1.1.2.1.04

                                 Corporates - Specialised Lending

                                    300

                                 1.1.2.1.05

                                 Corporates - Other

                                    310

                                 1.1.2.2

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

                                    320

                                 1.1.2.2.01

                                 Central governments and central banks

                                    330

                                 1.1.2.2.02

                                 Institutions

                                    340

                                 1.1.2.2.03

                                 Corporates - SME

                                    350

                                 1.1.2.2.04

                                 Corporates - Specialised Lending

                                    360

                                 1.1.2.2.05

                                 Corporates - Other

                                    370

                                 1.1.2.2.06

                                 Retail - Secured by real estate SME

                                    380

                                 1.1.2.2.07

                                 Retail - Secured by real estate non-SME

                                    390

                                 1.1.2.2.08

                                 Retail - Qualifying revolving

                                    400

                                 1.1.2.2.09

                                 Retail - Other SME

                                    410

                                 1.1.2.2.10

                                 Retail - Other non-SME

                                    420

                                 1.1.2.3

                                 Equity IRB

                                    430

                                 1.1.2.4

                                 Securitisation positions IRB

                                    440

                                 1.1.2.4*

                                    Of which: resecuritisation

                                    450

                                 1.1.2.5

                                 Other non credit-obligation assets

                                    460

                                    1.1.3

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

                                    490

                                    1.2

                                    TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

                                    500

                                    1.2.1

                                    Settlement/delivery risk in the non-Trading book

                                    510

                                    1.2.2

                                    Settlement/delivery risk in the Trading book

                                    520

                                    1.3

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

                                    530

                                    1.3.1

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

                                    540

                                 1.3.1.1

                                 Traded debt instruments

                                    550

                                 1.3.1.2

                                 Equity

                                    555

                                 1.3.1.3

                                 Particular approach for position risk in CIUs

                                    556

                                 1.3.1.3*

                                 Memo item: CIUs exclusively invested in traded debt instruments

                                    557

                                 1.3.1.3**

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

                                    560

                                 1.3.1.4

                                 Foreign Exchange

                                    570

                                 1.3.1.5

                                 Commodities

                                    580

                                    1.3.2

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

                                    590

                                    1.4

                                    TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )

                                    600

                                    1.4.1

                                    OpR Basic indicator approach (BIA)

                                    610

                                    1.4.2

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

                                    620

                                    1.4.3

                                    OpR Advanced measurement approaches (AMA)

                                    630

                                    1.5

                                    ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

                                    640

                                    1.6

                                    TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

                                    650

                                    1.6.1

                                    Advanced method

                                    660

                                    1.6.2

                                    Standardised method

                                    670

                                    1.6.3

                                    Based on OEM

                                    680

                                    1.7

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

                                    690

                                    1.8

                                    OTHER RISK EXPOSURE AMOUNTS

                                    710

                                    1.8.2

                                    Of which: Additional stricter prudential requirements based on Art 458

                                    720

                                 1.8.2*

                                 Of which: requirements for large exposures

                                    730

                                 1.8.2**

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

                                    740

                                 1.8.2***

                                 Of which: due to intra financial sector exposures

                                    750

                                    1.8.3

                                    Of which: Additional stricter prudential requirements based on Art 459

                                    760

                                    1.8.4

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

                                    770

                                    1.8.5

                                    Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)

                                    780

                                    1.8.5.1

                                    Internal ratings-based approach (SEC-IRBA)

                                    790

                                 1.8.5.1.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    800

                                 1.8.5.1.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    810

                                    1.8.5.2

                                    Standardised approach (SEC-SA)

                                    820

                                 1.8.5.2.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    830

                                 1.8.5.2.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    840

                                    1.8.5.3

                                    External ratings-based approach (SEC-ERBA)

                                    850

                                 1.8.5.3.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    860

                                 1.8.5.3.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    870

                                    1.8.5.4

                                    Internal assessment approach (IAA)

                                    880

                                 1.8.5.4.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    890

                                 1.8.5.4.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    900

                                    1.8.5.5

                                    Other (RW = 1 250  %)

                                    910

                                    1.8.6

                                    Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

                                    920

                                    1.8.6.1

                                    Internal ratings-based approach (SEC-IRBA)

                                    930

                                 1.8.6.1.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    940

                                 1.8.6.1.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    950

                                    1.8.6.2

                                    Standardised approach (SEC-SA)

                                    960

                                 1.8.6.2.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    970

                                 1.8.6.2.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    980

                                    1.8.6.3

                                    External ratings-based approach (SEC-ERBA)

                                    990

                                 1.8.6.3.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    1000

                                 1.8.6.3.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    1010

                                    1.8.6.4

                                    Internal assessment approach (IAA)

                                    1020

                                 1.8.6.4.1

                                 Securitisations not qualifying for differentiated capital treatment

                                    1030

                                 1.8.6.4.2

                                 STS securitisations qualifying for differentiated capital treatment

                                    1040

                                    1.8.6.5

                                    Other (RW = 1 250  %)

                        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 investmenttemporary 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 investmenttemporary waived

                                 720

                                 25

                                    Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investmenttemporary 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 toor 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 itemswithout an incentive to redeem

                                 110

                                 3.2

                                 Grandfathered items with an incentive to redeem

                                 120

                                 3.2.1

                                 Itemswith 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 toor 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

                                    QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED 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

                                    QUALIFYINGTIER 1 INSTRUMENTSINCLUDED 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

                                    QUALIFYINGOWN FUNDS INSTRUMENTSINCLUDED IN CONSOLIDATED TIER 2 CAPITAL

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

                                    OF WHICH: COMMON EQUITY TIER 1

                                    OF WHICH: ADDITIONAL TIER 1

                                    OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

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

                                    CAPITAL CONSERVATION BUFFER

                                    INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER

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

                                    SYSTEMIC RISK BUFFER

                                    GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                                    OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

                                    COMMON EQUITY TIER 1 CAPITAL

                                    ADDITIONAL TIER 1 CAPITAL

                                    MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

                                    QUALIFYINGTIER 1 INSTRUMENTSINCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

                                       OF WHICH: QUALIFYING OWN FUNDS

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

                                       OF WHICH: QUALIFYING TIER 1 CAPITAL

                                       RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS

                                       OF WHICH: MINORITY INTERESTS

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

                                       OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

                                       OF WHICH: QUALIFYING TIER 2 CAPITAL

                                 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

                                 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

                                    1250 %

                                 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 LARGEFINANCIAL 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

                                    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

                                 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 LARGEFINANCIAL 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 Lendingsubject 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 approaches

                                 040

                                 Value of trading book exposures for internal models

                                    Relevant credit exposures – Securitisation

                                 050

                                 Exposure value of securitisation positions in the banking book under the Standardised Approach

                                 060

                                 Exposure value of securitisation positions in the banking book under the IRB Approach

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

                                    TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

                                    SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

                                    SECURITISATION POSITIONS

                                    (-) VALUE ADJUSTMENTS AND PROVISIONS

                                    EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS

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

                                    NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                                    FULLY ADJUSTED EXPOSURE VALUE (E*)

                                    BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS

                                    EXPOSURE VALUE

                                    BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

                                    BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

                                    RISK-WEIGHTED EXPOSURE AMOUNT

                                    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

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

                                    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                                    MEMORANDUM ITEM:

                                    RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE SA SECURITISATION TO OTHER EXPOSURE CLASSES

                                    (-) 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

                                    0%

                                    >0% and <=20%

                                    >20% and <=50%

                                    >50% and <=100%

                                    (-) DEDUCTED FROM OWN FUNDS

                                    SUBJECT TO RISK WEIGHTS

                                    RATED

                                    (CREDIT QUALITY STEPS)

                                    1 250 %

                                    LOOK-THROUGH

                                    INTERNAL ASSESMENT APPROACH

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

                                    (-) TOTAL OUTFLOWS

                                    TOTAL INFLOWS

                                    CQS 1

                                    CQS 2

                                    CQS 3

                                    CQS 4

                                    ALL OTHER CQS

                                    UNRATED

                                    OF WHICH: SECOND LOSS IN ABCP

                                    OF WHICH: AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    OF WHICH: SYNTHETIC SECURITISATIONS

                                    BEFORE CAP

                                    AFTER CAP

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 260

                                 270

                                 280

                                 290

                                 300

                                 310

                                 320

                                 330

                                 340

                                 350

                                 360

                                 370

                                 380

                                 390

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to CA

                                 020

                                 OF WHICH: RE-SECURITISATIONS

                                 Cell linked to CA

                                 030

                                    ORIGINATOR: TOTAL EXPOSURES

                                 040

                                 ON-BALANCE SHEET ITEMS

                                 050

                                 SECURITISATIONS

                                 060

                                 RE-SECURITISATIONS

                                 070

                                 OFF-BALANCESHEET ITEMS AND DERIVATIVES

                                 080

                                 SECURITISATIONS

                                 090

                                 RE-SECURITISATIONS

                                 100

                                 EARLY AMORTISATION

                                 110

                                    INVESTOR: TOTAL EXPOSURES

                                 120

                                 ON-BALANCE SHEET ITEMS

                                 130

                                 SECURITISATIONS

                                 140

                                 RE-SECURITISATIONS

                                 150

                                 OFF-BALANCESHEET ITEMS AND DERIVATIVES

                                 160

                                 SECURITISATIONS

                                 170

                                 RE-SECURITISATIONS

                                 180

                                    SPONSOR: TOTAL EXPOSURES

                                 190

                                 ON-BALANCE SHEET ITEMS

                                 200

                                 SECURITISATIONS

                                 210

                                 RE-SECURITISATIONS

                                 220

                                 OFF-BALANCESHEET ITEMS AND DERIVATIVES

                                 230

                                 SECURITISATIONS

                                 240

                                 RE-SECURITISATIONS

                                    BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

                                 250

                                 CQS 1

                                 260

                                 CQS 2

                                 270

                                 CQS 3

                                 280

                                 CQS 4

                                 290

                                 ALL OTHER CQS AND UNRATED

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

                                    TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED

                                    SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES

                                    SECURITISATION POSITIONS

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

                                    EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

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

                                    FULLY ADJUSTED EXPOSURE VALUE (E*)

                                    BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CREDIT CONVERSION FACTORS

                                    EXPOSURE VALUE

                                    BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS

                                    (-) REDUCTION IN RISK WEIGHTED EXPOSURE AMOUNT DUE TO VALUE ADJUSTMENTS AND PROVISIONS

                                    RISK-WEIGHTED EXPOSURE AMOUNT

                                    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

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

                                    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                                    MEMORANDUM ITEM: RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM THE IRB SECURITISATION TO OTHER EXPOSURE CLASSES

                                    (-) 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

                                    0%

                                    >0% and <=20%

                                    >20% and <=50%

                                    >50% and <=100%

                                    (-) DEDUCTED FROM OWN FUNDS

                                    SUBJECT TO RISK WEIGHTS

                                    RATINGS BASED METHOD(CREDIT QUALITY STEPS)

                                    1 250 %

                                    SUPERVISORY FORMULA METHOD

                                    LOOK-THROUGH

                                    INTERNAL ASSESSMENT APPROACH

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

                                    (-) TOTAL OUTFLOWS

                                    TOTAL INFLOWS

                                    CQS 1 & S/T CQS 1

                                    CQS 2

                                    CQS 3

                                    CQS 4 & S/T CQS 2

                                    CQS 5

                                    CQS 6

                                    CQS 7 & S/T CQS 3

                                    CQS 8

                                    CQS 9

                                    CQS 10

                                    CQS 11

                                    ALL OTHER CQS

                                    UNRATED

                                    AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    OF WHICH: SYNTHETIC SECURITISATIONS

                                    BEFORE CAP

                                    AFTER CAP

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 260

                                 270

                                 280

                                 290

                                 300

                                 310

                                 320

                                 330

                                 340

                                 350

                                 360

                                 370

                                 380

                                 390

                                 400

                                 410

                                 420

                                 430

                                 440

                                 450

                                 460

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to CA

                                 020

                                 OF WHICH: RE-SECURITISATIONS

                                 Cell linked to CA

                                 030

                                    ORIGINATOR: TOTAL EXPOSURES

                                 040

                                 ON-BALANCE SHEET ITEMS

                                 050

                                 SECURITISATIONS

                                 A

                                 060

                                 B

                                 070

                                 C

                                 080

                                 RE-SECURITISATIONS

                                 D

                                 090

                                 E

                                 100

                                 OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                 110

                                 SECURITISATIONS

                                 A

                                 120

                                 B

                                 130

                                 C

                                 140

                                 RE-SECURITISATIONS

                                 D

                                 150

                                 E

                                 160

                                 EARLY AMORTISATION

                                 170

                                    INVESTOR: TOTAL EXPOSURES

                                 180

                                 ON-BALANCE SHEET ITEMS

                                 190

                                 SECURITISATIONS

                                 A

                                 200

                                 B

                                 210

                                 C

                                 220

                                 RE-SECURITISATIONS

                                 D

                                 230

                                 E

                                 240

                                 OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                 250

                                 SECURITISATIONS

                                 A

                                 260

                                 B

                                 270

                                 C

                                 280

                                 RE-SECURITISATIONS

                                 D

                                 290

                                 E

                                 300

                                    SPONSOR: TOTAL EXPOSURES

                                 310

                                 ON-BALANCE SHEET ITEMS

                                 320

                                 SECURITISATIONS

                                 A

                                 330

                                 B

                                 340

                                 C

                                 350

                                 RE-SECURITISATIONS

                                 D

                                 360

                                 E

                                 370

                                 OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                 380

                                 SECURITISATIONS

                                 A

                                 390

                                 B

                                 400

                                 C

                                 410

                                 RE-SECURITISATIONS

                                 D

                                 420

                                 E

                                    BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION:

                                 430

                                 CQS 1 & S/T CQS 1

                                 440

                                 CQS 2

                                 450

                                 CQS 3

                                 460

                                 CQS 4 & S/T CQS 2

                                 470

                                 CQS 5

                                 480

                                 CQS 6

                                 490

                                 CQS 7 & S/T CQS 3

                                 500

                                 CQS 8

                                 510

                                 CQS 9

                                 520

                                 CQS 10

                                 530

                                 CQS 11

                                 540

                                 ALL OTHER CQS AND UNRATED

                        C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)

                                    ROW NUMBER

                                    INTERNAL CODE

                                    IDENTIFIER OF THE SECURITISATION

                                    IDENTIFIER OF THE ORIGINATOR

                                    SECURITISATION TYPE: (TRADITIONAL / SYNTHETIC)

                                    ACCOUNTING TREATMENT: Securitised exposures are kept or removed from the balance sheet?

                                    SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements ?

                                    SECURITISATION OR RE-SECURITISATION?

                                    STS SECURITISATION

                                    RETENTION

                                    ROLE OF THE INSTITUTION: (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR)

                                    NON ABCP PROGRAMMES

                                    SECURITISED EXPOSURES

                                    SECURITISATION STRUCTURE

                                    SECURITISATION POSITIONS

                                    (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS

                                    TOTAL RISK-WEIGHTED EXPOSURE AMOUNT

                                    APPROACH

                                    STS SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

                                    SECURITISATION POSITIONS - TRADING BOOK

                                    TYPE OF RETENTION APPLIED

                                    % OF RETENTION AT REPORTING DATE

                                    COMPLIANCE WITH THE RETENTION REQUIREMENT?

                                    ORIGINATION DATE

                                    TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE

                                    TOTAL AMOUNT

                                    INSTITUTION'S SHARE (%)

                                    TYPE

                                    APPROACH APPLIED (SA/IRB/MIX)

                                    NUMBER OF EXPOSURES

                                    COUNTRY

                                    ELGD (%)

                                    (-) VALUE ADJUSTMENTS AND PROVISIONS

                                    OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%)

                                    ON-BALANCE SHEET ITEMS

                                    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                    MATURITY

                                    ORIGINAL EXPOSURE PRE-CONVERSION FACTORS

                                    MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                    EARLY AMORTISATION

                                    CTP OR NON-CTP?

                                    NET POSITIONS

                                    TOTAL OWN FUNDS REQUIREMENTS (SA)

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    FIRST FORESEEABLE TERMINATION DATE

                                    LEGAL FINAL MATURITY DATE

                                    ON-BALANCE SHEET ITEMS

                                    OFF-BALANCE SHEET ITEMS AND DERIVATIVES

                                    DIRECT CREDIT SUBSTITUTES

                                    IRS / CRS

                                    ELIGIBLE LIQUIDITY FACILITIES

                                    OTHER (including non-eligible LF)

                                    CONVERSION FACTOR APPLIED

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    SENIOR

                                    MEZZANINE

                                    FIRST LOSS

                                    BEFORE CAP

                                    AFTER CAP

                                    LONG

                                    SHORT

                                    SPECIFIC RISK

                                 005

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 075

                                 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

                                 445

                                 446

                                 450

                                 460

                                 470

                                 480

                        C 16.00 - OPERATIONAL RISK (OPR)

                                    BANKING ACTIVITIES

                                    RELEVANT INDICATOR

                                    LOANS AND ADVANCES (IN CASE OF ASA APPLICATION)

                                    OWN FUNDSREQUIREMENT

                                    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 EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)

                                    MAPPING OF LOSSES TO BUSINESS LINES

                                    EVENT TYPES

                                    TOTAL 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

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 0010

                                    CORPORATE FINANCE[CF]

                                 Number of events (new events)

                                 0020

                                 Gross loss amount (new events)

                                 0030

                                 Number of 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

                                    TRADINGAND SALES[TS]

                                 Number of events (new events)

                                 0120

                                 Gross loss amount (new events)

                                 0130

                                 Number of 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 events (new events)

                                 0220

                                 Gross loss amount (new events)

                                 0230

                                 Number of 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 events)

                                 0320

                                 Gross loss amount (new events)

                                 0330

                                 Number of 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

                                    RETAILBANKING[RB]

                                 Number of events (new events)

                                 0420

                                 Gross loss amount (new events)

                                 0430

                                 Number of 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 events (new events)

                                 0520

                                 Gross loss amount (new events)

                                 0530

                                 Number of 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

                                    AGENCYSERVICES[AS]

                                 Number of events (new events)

                                 0620

                                 Gross loss amount (new events)

                                 0630

                                 Number of 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 events (new events)

                                 0720

                                 Gross loss amount (new events)

                                 0730

                                 Number of 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 events (new events)

                                 0820

                                 Gross loss amount (new events)

                                 0830

                                 Number of 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

                                    TOTALBUSINESSLINES

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

                                 0935

                                 of which: number of events with a positive loss adjustment

                                 0936

                                 of which: number of 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

                                    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) ACCORDING TO SA AND IRB RISK WEIGHTS

                                    BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS

                                    OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF THE DUE DILIGENCE PROVISIONS

                                    BEFORE CAP

                                    AFTER CAP

                                    TOTAL OWN FUNDS REQUIREMENTS

                                    RISK WEIGHTS < 1 250  %

                                    1 250  %

                                    SUPERVISORY FORMULA METHOD

                                    LOOK-THROUGH

                                    INTERNAL ASSESMENT APPROACH

                                    RISK WEIGHTS < 1 250  %

                                    1 250  %

                                    SUPERVISORY FORMULA METHOD

                                    LOOK-THROUGH

                                    INTERNAL ASSESMENT APPROACH

                                    LONG

                                    SHORT

                                    (-) LONG

                                    (-) SHORT

                                    LONG

                                    SHORT

                                    7 - 10 %

                                    12 - 18 %

                                    20 - 35 %

                                    40 - 75 %

                                    100 %

                                    150 %

                                    200 %

                                    225 %

                                    250 %

                                    300 %

                                    350 %

                                    425 %

                                    500 %

                                    650 %

                                    750 %

                                    850 %

                                    RATED

                                    UNRATED

                                    AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    7 - 10 %

                                    12 - 18 %

                                    20 - 35 %

                                    40 - 75 %

                                    100 %

                                    150 %

                                    200 %

                                    225 %

                                    250 %

                                    300 %

                                    350 %

                                    425 %

                                    500 %

                                    650 %

                                    750 %

                                    850 %

                                    RATED

                                    UNRATED

                                    AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                    SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                    SUM OF WEIGHTED NET LONG AND SHORT POSITIONS

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 260

                                 270

                                 280

                                 290

                                 300

                                 310

                                 320

                                 330

                                 340

                                 350

                                 360

                                 370

                                 380

                                 390

                                 400

                                 410

                                 420

                                 430

                                 440

                                 450

                                 460

                                 470

                                 480

                                 490

                                 500

                                 510

                                 520

                                 530

                                 540

                                 550

                                 560

                                 570

                                 580

                                 590

                                 600

                                 610

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to MKR SA TDI {325:060}

                                 020

                                 Of which: RE-SECURITISATIONS

                                 030

                                    ORIGINATOR: TOTAL EXPOSURES

                                 040

                                 SECURITISATIONS

                                 050

                                 RE-SECURITISATIONS

                                 060

                                    INVESTOR: TOTAL EXPOSURES

                                 070

                                 SECURITISATIONS

                                 080

                                 RE-SECURITISATIONS

                                 090

                                    SPONSOR: TOTAL EXPOSURES

                                 100

                                 SECURITISATIONS

                                 110

                                 RE-SECURITISATIONS

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

                                 120

                                             1.

                                             Residential mortgages

                                 130

                                             2.

                                             Commercial mortgages

                                 140

                                             3.

                                             Credit card receivables

                                 150

                                             4.

                                             Leasing

                                 160

                                             5.

                                             Loans to corporates or SMEs

                                 170

                                             6.

                                             Consumer loans

                                 180

                                             7.

                                             Trade receivables

                                 190

                                             8.

                                             Other assets

                                 200

                                             9.

                                             Covered Bondes

                                 210

                                             10.

                                             Other liabilities

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

                                    ALL POSITIONS

                                    (-) POSITIONS DEDUCTED FROM OWN FUNDS

                                    NET POSITIONS

                                    BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO SA AND IRB RISK WEIGHTS

                                    BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTS

                                    BEFORE CAP

                                    AFTER CAP

                                    TOTAL OWN FUNDS REQUIREMENTS

                                    RISK WEIGHTS < 1 250  %

                                    1 250  %

                                    SUPERVISORY FORMULA METHOD

                                    LOOK-THROUGH

                                    INTERNAL ASSESMENT APPROACH

                                    RISK WEIGHTS < 1 250  %

                                    1 250  %

                                    SUPERVISORY FORMULA METHOD

                                    LOOK-THROUGH

                                    INTERNAL ASSESMENT APPROACH

                                    LONG

                                    SHORT

                                    (-) LONG

                                    (-) SHORT

                                    LONG

                                    SHORT

                                    7 - 10 %

                                    12 - 18 %

                                    20 - 35 %

                                    40- 75 %

                                    100 %

                                    250 %

                                    350 %

                                    425 %

                                    650 %

                                    Other

                                    RATED

                                    UNRATED

                                    AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    7 - 10 %

                                    12 - 18 %

                                    20 - 35 %

                                    40 - 75 %

                                    100 %

                                    250 %

                                    350 %

                                    425 %

                                    650 %

                                    Other

                                    RATED

                                    UNRATED

                                    AVERAGE RISK WEIGHT (%)

                                    AVERAGE RISK WEIGHT (%)

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                    WEIGHTED NET LONG POSITIONS

                                    WEIGHTED NET SHORT POSITIONS

                                 010

                                 020

                                 030

                                 040

                                 050

                                 060

                                 070

                                 080

                                 090

                                 100

                                 110

                                 120

                                 130

                                 140

                                 150

                                 160

                                 170

                                 180

                                 190

                                 200

                                 210

                                 220

                                 230

                                 240

                                 250

                                 260

                                 270

                                 280

                                 290

                                 300

                                 310

                                 320

                                 330

                                 340

                                 350

                                 360

                                 370

                                 380

                                 390

                                 400

                                 410

                                 420

                                 430

                                 440

                                 450

                                 010

                                    TOTAL EXPOSURES

                                 Cell linked to MKR SA TDI {330:060}

                                    SECURITISATION POSITIONS:

                                 020

                                    ORIGINATOR: TOTAL EXPOSURES

                                 030

                                 SECURITISATIONS

                                 040

                                 OTHER CTP POSITIONS

                                 050

                                    INVESTOR: TOTAL EXPOSURES

                                 060

                                 SECURITISATIONS

                                 070

                                 OTHER CTP POSITIONS

                                 080

                                    SPONSOR: TOTAL EXPOSURES

                                 090

                                 SECURITISATIONS

                                 100

                                 OTHER CTP POSITIONS

                                    N-TH-TO-DEFAULT CREDIT 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)

                                    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 overshootingsduring 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

                                    According to Advanced method

                                 Link to {CA2;r650;c010}

                                 030

                                    According to Standardised method

                                 Link to {CA2;r660;c010}

                                 040

                                    Based on OEM

                                 Link to {CA2;r670;c010}

                        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 ART. 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

                                    MARKETPRICEUNCER-TAINTY

                                    CLOSE-OUT COSTS

                                    MODELRISK

                                    CONCEN-TRATEDPOSITIONS

                                    UNEARNED CREDIT SPREADS

                                    INVESTING ANDFUNDING COSTS

                                    FUTURE ADMINIS-TRATIVE COSTS

                                    EARLY TERMI-NATION

                                    OPERA- TIONALRISK

                                    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 - 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)

                                 0080

                                 1.1.1****

                                    OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2)&10(3)

                                 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: AGGRE-GATED 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

                                    CONCEN-TRATED POSITIONSIZE

                                    SIZE MEASURE

                                    MARKET VALUE

                                    PRUDENT EXIT PERIOD

                                    CONCEN-TRATED POSITIONS AVA

                                    CONCEN-TRATED POSITIONFAIR 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’

            ANNEX II

                     ‘ANNEX II

                        REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

                     Table of Contents

                                 PART I: GENERAL INSTRUCTIONS

                              162

                                 1.

                              STRUCTURE AND CONVENTIONS
                              162

                                 1.1.

                              STRUCTURE
                              162

                                 1.2.

                              NUMBERING CONVENTION
                              162

                                 1.3.

                              SIGN CONVENTION
                              162

                                 1.4.

                              ABBREVIATIONS
                              162

                                 PART II: TEMPLATE RELATED INSTRUCTIONS

                              162

                                 1.

                              CAPITAL ADEQUACY OVERVIEW (CA)
                              162

                                 1.1.

                              GENERAL REMARKS
                              162

                                 1.2.

                              C 01.00 — OWN FUNDS (CA1)
                              163

                                 1.2.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              163

                                 1.3.

                              C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
                              177

                                 1.3.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              177

                                 1.4.

                              C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
                              186

                                 1.4.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              186

                                 1.5.

                              C 04.00 — MEMORANDUM ITEMS (CA4)
                              188

                                 1.5.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              188

                                 1.6.

                              TRANSITIONAL PROVISIONS AND GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUTING STATE AID (CA 5)
                              203

                                 1.6.1.

                              GENERAL REMARKS
                              203

                                 1.6.2.

                              C 05.01 — TRANSITIONAL PROVISIONS (CA5.1)
                              203

                                 1.6.2.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              204

                                 1.6.3.

                              C 05.02 — GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)
                              211

                                 1.6.3.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              211

                                 2.

                              GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
                              213

                                 2.1.

                              GENERAL REMARKS
                              213

                                 2.2.

                              DETAILED GROUP SOLVENCY INFORMATION
                              213

                                 2.3.

                              INFORMATION ON THE CONTRIBUTIONS OF INDIVIDUAL ENTITIES TO GROUP SOLVENCY
                              214

                                 2.4.

                              C 06.01 – GROUP SOLVENCY: INFORMATION ON AFFILIATES – TOTAL (GS TOTAL)
                              214

                                 2.5.

                              C 06.02 – GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)
                              214

                                 3.

                              CREDIT RISK TEMPLATES
                              222

                                 3.1.

                              GENERAL REMARKS
                              222

                                 3.1.1.

                              REPORTING OF CRM TECHNIQUES WITH SUBSTITUTION EFFECT
                              222

                                 3.1.2.

                              REPORTING OF COUNTERPARTY CREDIT RISK
                              222

                                 3.2.

                              C 07.00 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS (CR SA)
                              222

                                 3.2.1.

                              GENERAL REMARKS
                              222

                                 3.2.2.

                              SCOPE OF THE CR SA TEMPLATE
                              222

                                 3.2.3.

                              ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES UNDER THE STANDARDISED APPROACH
                              224

                                 3.2.4.

                              CLARIFICATIONS ON THE SCOPE OF SOME SPECIFIC EXPOSURE CLASSES REFERRED TO IN ARTICLE 112 OF CRR
                              227

                                 3.2.4.1.

                              EXPOSURE CLASS “INSTITUTIONS”
                              227

                                 3.2.4.2.

                              EXPOSURE CLASS “COVERED BONDS”
                              227

                                 3.2.4.3.

                              EXPOSURE CLASS “COLLECTIVE INVESTMENT UNDERTAKINGS”
                              227

                                 3.2.5.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              227

                                 3.3.

                              CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)
                              234

                                 3.3.1.

                              SCOPE OF THE CR IRB TEMPLATE
                              234

                                 3.3.2.

                              BREAKDOWN OF THE CR IRB TEMPLATE
                              235

                                 3.3.3.

                              C 08.01 — CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1)
                              236

                                 3.3.3.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              236

                                 3.3.4.

                              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 TEMPLATE)
                              243

                                 3.4.

                              CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN
                              244

                                 3.4.1.

                              C 09.01 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: SA EXPOSURES (CR GB 1)
                              244

                                 3.4.1.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              244

                                 3.4.2.

                              C 09.02 – GEOGRAPHICAL BREAKDOWN OF EXPOSURES BY RESIDENCE OF THE OBLIGOR: IRB EXPOSURES (CR GB 2)
                              246

                                 3.4.2.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              246

                                 3.4.3.

                              C 09.04 – BREAKDOWN OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER BY COUNTRY AND INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER RATE (CCB)
                              249

                                 3.4.3.1.

                              GENERAL REMARKS
                              249

                                 3.4.3.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              249

                                 3.5.

                              C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)
                              253

                                 3.5.1.

                              GENERAL REMARKS
                              253

                                 3.5.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS (APPLICABLE TO BOTH CR EQU IRB 1 AND CR EQU IRB 2)
                              254

                                 3.6.

                              C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)
                              256

                                 3.6.1.

                              GENERAL REMARKS
                              256

                                 3.6.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              257

                                 3.7.

                              C 12.00 – CREDIT RISK: SECURITISATION — STANDARDISED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC SA)
                              259

                                 3.7.1.

                              GENERAL REMARKS
                              259

                                 3.7.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              259

                                 3.8.

                              C 13.00 — CREDIT RISK – SECURITISATIONS: INTERNAL RATINGS BASED APPROACH TO OWN FUNDS REQUIREMENTS (CR SEC IRB)
                              265

                                 3.8.1.

                              GENERAL REMARKS
                              265

                                 3.8.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              266

                                 3.9.

                              C 14.00 – DETAILED INFORMATION ON SECURITISATIONS (SEC DETAILS)
                              272

                                 3.9.1.

                              GENERAL REMARKS
                              272

                                 3.9.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              273

                                 4.

                              OPERATIONAL RISK TEMPLATES
                              283

                                 4.1.

                              C 16.00 – OPERATIONAL RISK (OPR)
                              283

                                 4.1.1.

                              GENERAL REMARKS
                              283

                                 4.1.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              283

                                 4.2.

                              OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS)
                              285

                                 4.2.1.

                              GENERAL REMARKS
                              285

                                 4.2.2.

                              C 17.01: OPERATIONAL RISK LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1)
                              286

                                 4.2.2.1.

                              GENERAL REMARKS
                              286

                                 4.2.2.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              287

                                 4.2.3.

                              C 17.02: OPERATIONAL RISK: DETAILED INFORMATION ON THE LARGEST LOSS EVENTS IN THE LAST YEAR (OPR DETAILS 2)
                              292

                                 4.2.3.1.

                              GENERAL REMARKS
                              292

                                 4.2.3.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              292

                                 5.

                              MARKET RISK TEMPLATES
                              293

                                 5.1.

                              C 18.00 – MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI)
                              293

                                 5.1.1.

                              GENERAL REMARKS
                              293

                                 5.1.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              294

                                 5.2.

                              C 19.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)
                              296

                                 5.2.1.

                              GENERAL REMARKS
                              296

                                 5.2.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              296

                                 5.3.

                              C 20.00 — MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK FOR POSITIONS ASSIGNED TO THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)
                              298

                                 5.3.1.

                              GENERAL REMARKS
                              298

                                 5.3.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              299

                                 5.4.

                              C 21.00 — MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU)
                              300

                                 5.4.1.

                              GENERAL REMARKS
                              300

                                 5.4.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              301

                                 5.5.

                              C 22.00 — MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)
                              302

                                 5.5.1.

                              GENERAL REMARKS
                              302

                                 5.5.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              302

                                 5.6.

                              C 23.00 — MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)
                              304

                                 5.6.1.

                              GENERAL REMARKS
                              304

                                 5.6.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              304

                                 5.7.

                              C 24.00 — MARKET RISK INTERNAL MODEL (MKR IM)
                              305

                                 5.7.1.

                              GENERAL REMARKS
                              305

                                 5.7.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              306

                                 5.8.

                              C 25.00 — CREDIT VALUATION ADJUSTMENT RISK (CVA)
                              308

                                 5.8.1.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              308

                                 6.

                              PRUDENT VALUATION (PRUVAL)
                              310

                                 6.1.

                              C 32.01 — PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES (PRUVAL 1)
                              310

                                 6.1.1.

                              GENERAL REMARKS
                              310

                                 6.1.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              310

                                 6.2.

                              C 32.02 — PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)
                              314

                                 6.2.1.

                              GENERAL REMARKS
                              314

                                 6.2.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              314

                                 6.3.

                              C 32.03 — PRUDENT VALUATION: MODEL RISK AVA (PRUVAL 3)
                              322

                                 6.3.1.

                              GENERAL REMARKS
                              322

                                 6.3.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              322

                                 6.4

                              C 32.04 — PRUDENT VALUATION: CONCENTRATED POSITIONS AVA (PRUVAL 4)
                              324

                                 6.4.1.

                              GENERAL REMARKS
                              324

                                 6.4.2.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              325

                                 7.

                              C 33.00 — EXPOSURES TO GENERAL GOVERNMENTS (GOV)
                              326

                                 7.1.

                              GENERAL REMARKS
                              326

                                 7.2.

                              SCOPE OF THE TEMPLATE ON EXPOSURES TO “GENERAL GOVERNMENTS”
                              326

                                 7.3.

                              INSTRUCTIONS CONCERNING SPECIFIC POSITIONS
                              327

                        PART I: GENERAL INSTRUCTIONS

                     1.   STRUCTURE AND CONVENTIONS
                     1.1.   STRUCTURE

                                 1.

                                 Overall, the framework consists of five blocks of templates:

                                             (a)

                                             capital adequacy, an overview of regulatory capital; total risk exposure amount;

                                             (b)

                                             group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity

                                             (c)

                                             credit risk (including counterparty, dilution and settlement risks);

                                             (d)

                                             market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

                                             (e)

                                             operational risk.

                                 2.

                                 For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of the Implementing Technical Standard..

                                 3.

                                 Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.

                           1.2.   NUMBERING CONVENTION

                                 4.

                                 The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

                                 5.

                                 The following general notation is followed in the instructions: {Template;Row;Column}.

                                 6.

                                 In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.

                                 7.

                                 In the case of templates with only one column, only rows are referred to. {Template;Row}

                                 8.

                                 An asterisk sign is used to express that the validation is done for the rows or columns specified before.

                           1.3.   SIGN CONVENTION

                                 9.

                                 Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

                           1.4.   ABBREVIATIONS

                                 9a.

                                 For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as “CRR”, and Directive 2013/36/EU of the European Parliament and of the Council is referred to as “CRD”.

                        PART II: TEMPLATE RELATED INSTRUCTIONS

                     1.   CAPITAL ADEQUACY OVERVIEW (CA)
                     1.1.   GENERAL REMARKS

                                 10.

                                 CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:

                                             (a)

                                             CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

                                             (b)

                                             CA2 template summarizes the total risk exposures amounts as defined in Article 92(3) of CRR

                                             (c)

                                             CA3 template contains the ratios for which CRR state a minimum level, and some other related data

                                             (d)

                                             CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.

                                             (e)

                                             CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will cease to exist once the transitional provisions will expire.

                                 11.

                                 The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.

                                 12.

                                 The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

                                 13.

                                 Transitional provisions are treated as follows in CA templates:

                                             (a)

                                             The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included.

                                             (b)

                                             Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in Articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.

                                             (c)

                                             Template CA5 is exclusively used for reporting the transitional provisions.

                                 14.

                                 The treatment of Pillar II requirements can be different within the Union (Article 104(2) CRD has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.

                                             a)

                                             The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

                                             b)

                                             The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

                                             c)

                                             The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104(2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

                           1.2.   C 01.00 — OWN FUNDS (CA1)
                     1.2.1.   Instructions concerning specific positions

                                 Row

                                 Legal references and instructions

                                 010

                                 1.   Own funds

                                 Articles 4(1)(118) and 72 of CRR
                                 The own funds of an institution shall consist of the sum of its Tier 1 capital and Tier 2 capital.

                                 015

                                 1.1.   Tier 1 capital

                                 Article 25 of CRR
                                 The Tier 1 capital is the sum of Common Equity Tier 1 Capital and Additional Tier 1 capital

                                 020

                                 1.1.1.   Common Equity Tier 1 capital

                                 Article 50 of CRR

                                 030

                                 1.1.1.1.   Capital instruments eligible as CET1 capital

                                 Articles 26(1) points (a) and (b), 27 to 30, 36(1) point (f) and 42 of CRR

                                 040

                                 1.1.1.1.1.   Paid up capital instruments

                                 Articles 26(1) point (a) and 27 to 31 of CRR
                                 Capital instruments of mutual, cooperative societies or similar institutions (Articles 27 and 29 of CRR) shall be included.
                                 The share premium related to the instruments shall not be included.
                                 Capital instruments subscribed by public authorities in emergency situations shall be included if all conditions of Article 31 CRR are fulfilled.

                                 045

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

                                 Article 31 of CRR
                                 Capital instruments subscribed by public authorities in emergency situations shall be included in CET1 capital if all conditions of Article 31 CRR are fulfilled.

                                 050

                                 1.1.1.1.2*   Memorandum item: Capital instruments not eligible

                                 Article 28(1) points (b), (l) and (m) of CRR
                                 Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
                                 The amount to be reported shall not include the share premium related to the instruments

                                 060

                                 1.1.1.1.3.   Share premium

                                 Articles 4(1)(124), 26(1) point (b) of CRR
                                 Share premium has the same meaning as under the applicable accounting standard.
                                 The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

                                 070

                                 1.1.1.1.4.   (-) Own CET1 instruments

                                 Articles 36(1) point (f) and 42 of CRR
                                 Own CET1 held by the reporting institution or group at the reporting date. Subject to exceptions in Article 42 of CRR.
                                 Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.
                                 The amount to be reported shall include the share premium related to the own shares.
                                 Items 1.1.1.1.4 to 1.1.1.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own CET1 instruments are reported separately in item 1.1.1.1.5.

                                 080

                                 1.1.1.1.4.1.   (-) Direct holdings of CET1 instruments

                                 Articles 36(1) point (f) and 42 of CRR
                                 Common Equity Tier 1 instruments included in item 1.1.1.1 held by institutions of the consolidated group.
                                 The amount to be reported shall include holdings in the trading book calculated on the basis of the net long position, as stated in Article 42 point (a) of CRR.

                                 090

                                 1.1.1.1.4.2.   (-) Indirect holdings of CET1 instruments

                                 Articles 4(1)(114), 36(1) point (f) and 42 of CRR

                                 091

                                 1.1.1.1.4.3.   (-) Synthetic holdings of CET1 instruments

                                 Articles 4(1)(126), 36(1) point (f) and 42 of CRR

                                 092

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

                                 Articles 36(1) point (f) and 42 of CRR
                                 According to Article 36(1) point (f) of CRR, “own Common Equity Tier 1 instruments that an institution is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation” shall be deducted.

                                 130

                                 1.1.1.2.   Retained earnings

                                 Articles 26(1) point (c) and 26(2) of CRR
                                 Retained earnings includes the previous year retained earnings plus the eligible interim or year-end profits

                                 140

                                 1.1.1.2.1.   Previous years retained earnings

                                 Articles 4(1)(123) and 26(1) c) of CRR
                                 Article 4(1)(123) of CRR defines retained earnings as “Profit and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework”.

                                 150

                                 1.1.1.2.2.   Profit or loss eligible

                                 Articles 4(1)(121), 26(2) and 36(1) point (a) of CRR
                                 Article 26(2) of CRR allows including as retained earnings interim or year-end profits, with the prior consent of the competent authorities, if some conditions are met.
                                 On the other hand, losses shall be deducted from CET1, as stated in article 36(1) point (a) of CRR.

                                 160

                                 1.1.1.2.2.1.   Profit or loss attributable to owners of the parent

                                 Articles 26(2) and 36(1) point (a) of CRR
                                 The amount to be reported shall be the profit or loss reported in the accounting income statement.

                                 170

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

                                 Article 26(2) of CRR
                                 This row shall not present any figure if, for the reference period, the institution has reported losses. This is because the losses shall be completely deducted from CET1.
                                 If the institution reports profits, it shall be reported the part which is not eligible according to article 26(2) of CRR (i.e. profits not audited and foreseeable charges or dividends)
                                 Note that, in case of profits, the amount to be deduced shall be, at least, the interim dividends.

                                 180

                                 1.1.1.3.   Accumulated other comprehensive income

                                 Articles 4(1)(100) and 26(1) point (d) of CRR
                                 The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation, and prior to the application of prudential filters. The amount to be reported shall be determined in accordance with Article 13(4) of Commission Delegated Regulation (EU) No 241/2014.

                                 200

                                 1.1.1.4.   Other reserves

                                 Articles 4(1)(117) and 26(1) point (e) of CRR
                                 Other reserves are defined in CRR as “Reserves within the meaning of the applicable accounting framework that are required to be disclosed under that applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings”.
                                 The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

                                 210

                                 1.1.1.5.   Funds for general banking risk

                                 Articles 4(1)(112) and 26(1) point (f) of CRR
                                 Funds for general banking risk are defined in article 38 of Directive 86/635/EEC as “Amounts which a credit institution decides to put aside to cover such risks where that is required by the particular risks associated with banking”
                                 The amount to be reported shall be net of any tax charge foreseeable at the moment of the calculation.

                                 220

                                 1.1.1.6.   Transitional adjustments due to grandfathered CET1 Capital instruments

                                 Articles 483(1) to (3), and 484 to 487 of CRR
                                 Amount of capital instruments transitionally grandfathered as CET1. The amount to be reported is directly obtained from CA5.

                                 230

                                 1.1.1.7.   Minority interest given recognition in CET1 capital

                                 Article 4(120) and 84 of CRR
                                 Sum of all the amounts of minority interests of subsidiaries that is included in consolidated CET1.

                                 240

                                 1.1.1.8.   Transitional adjustments due to additional minority interests

                                 Articles 479 and 480 of CRR
                                 Adjustments to the minority interests due to transitional provisions. This item is obtained directly from CA5.

                                 250

                                 1.1.1.9.   Adjustments to CET1 due to prudential filters

                                 Articles 32 to 35 of CRR

                                 260

                                 1.1.1.9.1.   (-) Increases in equity resulting from securitised assets

                                 Article 32(1) of CRR
                                 The amount to be reported is the increase in the equity of the institution resulting from securitised assets, according to the applicable accounting standard.
                                 For example, this item includes the future margin income that results in a gain on sale for the institution, or, for originators, the net gains that arise from the capitalisation of future income from the securitised assets that provide credit enhancement to positions in the securitisation.

                                 270

                                 1.1.1.9.2.   Cash flow hedge reserve

                                 Article 33(1) point (a) of CRR
                                 The amount to be reported could either be positive or negative. It shall be positive if cash flow hedges result in a loss (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
                                 The amount shall be net of any tax charge foreseeable at the moment of the calculation.

                                 280

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

                                 Article 33(1) point (b) of CRR
                                 The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk (i.e. if it reduces accounting equity) and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
                                 Unaudited profit shall not be included in this item.

                                 285

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

                                 Article 33(1) point (c) and 33(2) of CRR
                                 The amount to be reported could either be positive or negative. It shall be positive if there is a loss due to changes in own credit risk and vice versa. Thus, the sign shall be contrary to the one used in accounting statements.
                                 Unaudited profit shall not be included in this item.

                                 290

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

                                 Articles 34 and 105 of CRR
                                 Adjustments to the fair value of exposures included in the trading book or non-trading book due to stricter standards for prudent valuation set in Article 105 of CRR

                                 300

                                 1.1.1.10.   (-) Goodwill

                                 Articles 4(1)(113), 36(1) point (b) and 37 of CRR

                                 310

                                 1.1.1.10.1.   (-) Goodwill accounted for as intangible asset

                                 Articles 4(1)(113) and 36(1) point (b) of CRR
                                 Goodwill has the same meaning as under the applicable accounting standard.
                                 The amount to be reported here shall be the same that is reported in the balance sheet.

                                 320

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

                                 Article 37 point (b) and 43 of CRR

                                 330

                                 1.1.1.10.3.   Deferred tax liabilities associated to goodwill

                                 Article 37 point (a) of CRR
                                 Amount of deferred tax liabilities that would be extinguished if the goodwill became impaired or was derecognised under the relevant accounting standard

                                 340

                                 1.1.1.11.   (-) Other intangible assets

                                 Articles 4(1)(115), 36(1) point (b) and 37 point (a) of CRR
                                 Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.

                                 350

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

                                 Articles 4(1)(115) and 36(1) point (b) of CRR
                                 Other intangible assets are the intangibles assets under the applicable accounting standard, minus the goodwill, also according to the applicable accounting standard.
                                 The amount to be reported here shall correspond to the amount reported in the balance sheet of intangible assets others than goodwill.

                                 360

                                 1.1.1.11.2.   Deferred tax liabilities associated to other intangible assets

                                 Article 37 point (a) of CRR
                                 Amount of deferred tax liabilities that would be extinguished if the intangibles assets other than goodwill became impaired or was derecognised under the relevant accounting standard

                                 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

                                 Articles 36(1) point (c) and 38 of CRR

                                 380

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

                                 Articles 36(1) point (d), 40, 158 and 159 of CRR
                                 The amount to be reported shall not be reduced by a rise in the level of deferred tax assets that rely on future profitability, or other additional tax effect, that could occur if provisions were to rise to the level of expected losses’ (Article 40 of CRR)

                                 390

                                 1.1.1.14.   (-) Defined benefit pension fund assets

                                 Articles 4(1)(109), 36(1) point (e) and 41 of CRR

                                 400

                                 1.1.1.14.1.   (-) Defined benefit pension fund assets

                                 Articles 4(1)(109), 36(1) point (e) of CRR
                                 Defined benefit pension fund assets are defined as “the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan”
                                 The amount to be reported here shall correspond to the amount reported in the balance sheet (if reported separately).

                                 410

                                 1.1.1.14.2.   Deferred tax liabilities associated to defined benefit pension fund assets

                                 Articles 4(1)(108) and (109), and 41(1) point (a) of CRR
                                 Amount of deferred tax liabilities that would be extinguished if the defined benefit pension fund assets became impaired or were derecognised under the relevant accounting standard.

                                 420

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

                                 Articles 4(1)(109) and 41(1) point (b) of CRR
                                 This item shall only present any amount if there is a prior consent of the competent authority to reduce the amount of defined benefit pension fund assets to be deducted.
                                 The assets included in this row shall receive a risk weight for credit risk requirements.

                                 430

                                 1.1.1.15.   (-) Reciprocal cross holdings in CET1 Capital

                                 Articles 4(1)(122), 36(1) point (g) and 44 of CRR
                                 Holdings in CET1 instruments of financial sector entities (as defined in Article 4(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution
                                 The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 1 own-fund insurance items.

                                 440

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

                                 Article 36(1) point (j) of CRR
                                 The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from AT1 items over AT1 Capital. The amount has to be deducted from CET1.

                                 450

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

                                 Articles 4(1)(36), 36(1) point (k) (i) and 89 to 91 of CRR
                                 Qualifying holdings are defined as “direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking”.
                                 According to Article 36(1) point (k) (i) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

                                 460

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

                                 Articles 36(1) point (k) (ii), 243(1) point (b), 244(1) point (b), 258 and 266(3) of CRR in the version applicable on 31 December 2018 or Articles 244(1) point (b), 245(1) point (b), 253 (1) and 268(4) of CRR, as applicable.
                                 Securitisation positions, which are subject to a 1 250  % risk weight, but alternatively are allowed to be deducted from CET1 (Article 36(1) point (k) (ii) of CRR, shall be reported in this item.

                                 470

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

                                 Articles 36(1) point (k) (iii) and 379(3) of CRR
                                 Free deliveries are subject to a 1 250  % risk weight after 5 days post second contractual payment or delivery leg until the extinction of the transaction, according to the own funds requirements for settlement risk. Alternatively, they are allowed to be deducted from CET1 (Article 36(1) point (k) (iii) of CRR). In the latter case, they shall be reported in this item.

                                 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

                                 Articles 36(1) point (k) (iv) and 153(8) of CRR
                                 According to Article 36(1) point (k) (iv) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

                                 472

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

                                 Articles 36(1) point (k) (v) and 155(4) of CRR
                                 According to Article 36(1) point (k) (v) of CRR they can, alternatively, be deducted from CET1 (using this item), or subject to a risk weight of 1 250  %.

                                 480

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

                                 Articles 4(1)(27), 36(1) point (h); 43 to 46, 49 (2) and (3) and 79 of CRR
                                 Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from CET1
                                 See alternatives to deduction when consolidation is applied (Article 49(2) and (3))

                                 490

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

                                 Articles 36(1) point (c); 38 and 48(1) point (a) of CRR
                                 Part of deferred tax assets that rely in future profitability and arise from temporary differences (net of the part of associated deferred tax liabilities allocated to deferred tax assets that arise from temporary differences, according to article 38(5) point (b) of CRR) which has to be deducted, applying the 10 % threshold in article 48(1) point (a) of CRR.

                                 500

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

                                 Articles 4(1)(27); 36(1) point (i); 43, 45; 47; 48(1) point (b); 49(1) to (3) and 79 of CRR
                                 Part of holdings by the institution of CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 10 % threshold in Article 48(1) point (b) of CRR.
                                 See alternatives to deduction when consolidation is applied (article 49(1), (2) and (3)).

                                 510

                                 1.1.1.25.   (-) Amount exceeding the 17,65 % threshold

                                 Article 48(1) of CRR
                                 Part of deferred tax assets that rely in future profitability and arise from temporary differences, and direct and indirect holdings by the institution of the CET1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment that has to be deducted, applying the 17,65 % threshold in Article 48(1) of CRR.

                                 520

                                 1.1.1.26.   Other transitional adjustments to CET1 Capital

                                 Articles 469 to 472, 478 and 481 of CRR
                                 Adjustments to deductions due to transitional provisions. The amount to be reported is directly obtained from CA5.

                                 524

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

                                 Article 3 CRR

                                 529

                                 1.1.1.28.   CET1 capital elements or deductions — other

                                 This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a CET1 capital element respective a deduction of a CET1 element cannot be assigned to one of the rows 020 to 524.
                                 This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR).

                                 530

                                 1.1.2.   ADDITIONAL TIER 1 CAPITAL

                                 Article 61 of CRR

                                 540

                                 1.1.2.1.   Capital instruments eligible as AT1 Capital

                                 Articles 51 point (a), 52 to 54, 56 point (a) and 57 of CRR

                                 550

                                 1.1.2.1.1.   Paid up capital instruments

                                 Articles 51 point (a) and 52 to 54 of CRR
                                 The amount to be reported shall not include the share premium related to the instruments

                                 560

                                 1.1.2.1.2 (*)   Memorandum item: Capital instruments not eligible

                                 Article 52(1) points (c), (e) and (f) of CRR
                                 Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
                                 The amount to be reported shall not include the share premium related to the instruments

                                 570

                                 1.1.2.1.3.   Share premium

                                 Article 51 point (b) of CRR
                                 Share premium has the same meaning as under the applicable accounting standard.
                                 The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

                                 580

                                 1.1.2.1.4.   (-) Own AT1 instruments

                                 Articles 52(1) point (b), 56 point (a) and 57 of CRR
                                 Own AT1 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 57 of CRR.
                                 Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.
                                 The amount to be reported shall include the share premium related to the own shares.
                                 Items 1.1.2.1.4 to 1.1.2.1.4.3 do not include actual or contingent obligations to purchase own CET1 instruments. Actual or contingent obligations to purchase own AT1 instruments are reported separately in item 1.1.2.1.5.

                                 590

                                 1.1.2.1.4.1.   (-) Direct holdings of AT1 instruments

                                 Articles 4(1)(114) 52 (1) point (b), 56 point (a) and 57 of CRR
                                 Additional Tier 1 instruments included in item 1.1.2.1.1 held by institutions of the consolidated group.

                                 620

                                 1.1.2.1.4.2.   (-) Indirect holdings of AT1 instruments

                                 Articles 52(1) point (b) (ii), 56 point (a) and 57of CRR

                                 621

                                 1.1.2.1.4.3.   (-) Synthetic holdings of AT1 instruments

                                 Articles 4(1)(126), 52(1) point (b), 56 point (a) and 57 of CRR

                                 622

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

                                 Articles 56 point (a) and 57 of CRR
                                 According to Article 56 point (a) of CRR, “own Additional Tier 1 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.

                                 660

                                 1.1.2.2.   Transitional adjustments due to grandfathered AT1 Capital instruments

                                 Articles 483(4) and (5), 484 to 487, 489 and 491 of CRR
                                 Amount of capital instruments transitionally grandfathered as AT1. The amount to be reported is directly obtained from CA5.

                                 670

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

                                 Articles 83, 85 and 86 of CRR
                                 Sum of all the amounts of qualifying T1 capital of subsidiaries that is included in consolidated AT1.
                                 Qualifying AT1 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

                                 680

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

                                 Article 480 of CRR
                                 Adjustments to the qualifying T1 capital included in consolidated AT1 capital due to transitional provisions. This item is obtained directly from CA5.

                                 690

                                 1.1.2.5.   (-) Reciprocal cross holdings in AT1 Capital

                                 Articles 4(1)(122), 56 point (b) and 58 of CRR
                                 Holdings in AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution
                                 The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Additional Tier 1 own-fund insurance items.

                                 700

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

                                 Articles 4(1)(27), 56 point (c); 59, 60 and 79 of CRR
                                 Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from AT1

                                 710

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

                                 Articles 4(1)(27), 56 point (d), 59 and 79 of CRR
                                 Holdings by the institution of AT1 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment are completely deducted

                                 720

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

                                 Article 56 point (e) of CRR
                                 The amount to be reported is directly taken from CA 1 item ‘Excess of deduction from T2 items over T2 Capital (deducted in AT1).

                                 730

                                 1.1.2.9.   Other transitional adjustments to AT1 Capital

                                 Articles 474, 475, 478 and 481 of CRR
                                 Adjustments due to transitional provisions. The amount to be reported is directly obtained from CA5.

                                 740

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

                                 Article 36(1) point (j) of CRR
                                 Additional Tier 1 cannot be negative, but it is possible that AT1 deductions are greater than AT1 Capital plus related share premium. When this happens, AT1 has to be equal to zero, and the excess of AT1 deductions has to be deducted from CET1.
                                 With this item, it is achieved that the sum of items 1.1.2.1 to 1.1.2.12 is never lower than zero. Then, if this item shows a positive figure, item 1.1.1.16 shall be the inverse of that figure.

                                 744

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

                                 Article 3 CRR

                                 748

                                 1.1.2.12.   AT1 capital elements or deductions — other

                                 This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if an AT1 capital element respective a deduction of an AT1 element cannot be assigned to one of the rows 530 to 744.
                                 This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR).

                                 750

                                 1.2.   TIER 2 CAPITAL

                                 Article 71 of CRR

                                 760

                                 1.2.1.   Capital instruments and subordinated loans eligible as T2 Capital

                                 Articles 62 point (a), 63 to 65, 66 point (a), and 67 of CRR

                                 770

                                 1.2.1.1.   Paid up capital instruments and subordinated loans

                                 Articles 62 point (a), 63 and 65 of CRR
                                 The amount to be reported shall not include the share premium related to the instruments

                                 780

                                 1.2.1.2 (*)   Memorandum item: Capital instruments and subordinated loans not eligible

                                 Article 63 points (c), (e) and (f); and article 64 of CRR
                                 Conditions in those points reflect different situations of the capital which are reversible, and thus the amount reported here can be eligible in subsequent periods.
                                 The amount to be reported shall not include the share premium related to the instruments

                                 790

                                 1.2.1.3.   Share premium

                                 Articles 62 point (b) and 65 of CRR
                                 Share premium has the same meaning as under the applicable accounting standard.
                                 The amount to be reported in this item shall be the part related to the “Paid up capital instruments”.

                                 800

                                 1.2.1.4.   (-) Own T2 instruments

                                 Article 63 point (b) (i), 66 point (a), and 67 of CRR
                                 Own T2 instruments held by the reporting institution or group at the reporting date. Subject to exceptions in article 67 of CRR.
                                 Holdings on shares included as “Capital instruments not eligible” shall not be reported in this row.
                                 The amount to be reported shall include the share premium related to the own shares.
                                 Items 1.2.1.4 to 1.2.1.4.3 do not include actual or contingent obligations to purchase own T2 instruments. Actual or contingent obligations to purchase own T2 instruments are reported separately in item 1.2.1.5.

                                 810

                                 1.2.1.4.1.   (-) Direct holdings of T2 instruments

                                 Articles 63 point (b), 66 point (a) and 67 of CRR
                                 Tier 2 instruments included in item 1.2.1.1 held by institutions of the consolidated group.

                                 840

                                 1.2.1.4.2.   (-) Indirect holdings of T2 instruments

                                 Articles 4(1)(114), 63 point (b), 66 point (a) and 67 of CRR

                                 841

                                 1.2.1.4.3.   (-) Synthetic holdings of T2 instruments

                                 Articles 4(1)(126), 63 point (b), 66 point (a) and 67 of CRR

                                 842

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

                                 Articles 66 point (a) and 67 of CRR
                                 According to Article 66 point (a) of CRR, “own Tier 2 instruments that an institution could be obliged to purchase as a result of existing contractual obligations” shall be deducted.

                                 880

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

                                 Articles 483(6) and (7), 484, 486, 488, 490 and 491 of CRR
                                 Amount of capital instruments transitionally grandfathered as T2. The amount to be reported is directly obtained from CA5.

                                 890

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

                                 Articles 83, 87 and 88 of CRR
                                 Sum of all the amounts of qualifying own funds of subsidiaries that is included in consolidated T2.
                                 Qualifying Tier 2 capital issued by a special purpose entity (Article 83 of CRR) shall be included.

                                 900

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

                                 Article 480 of CRR
                                 Adjustments to the qualifying own funds included in consolidated T2 capital due to transitional provisions. This item is obtained directly from CA5.

                                 910

                                 1.2.5.   IRB Excess of provisions over expected losses eligible

                                 Article 62 point (d) of CRR
                                 For institutions calculating risk-weighted exposure amounts in accordance with IRB approach, this item contains the positive amounts resulting from comparing the provisions and expected losses which are eligible as T2 capital.

                                 920

                                 1.2.6.   SA General credit risk adjustments

                                 Article 62 point (c) of CRR
                                 For institutions calculating risk-weighted exposure amounts in accordance with standard approach, this item contains the general credit risk adjustments eligible as T2 capital.

                                 930

                                 1.2.7.   (-) Reciprocal cross holdings in T2 Capital

                                 Articles 4(1)(122), 66 point (b) and 68 of CRR
                                 Holdings in T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where there is a reciprocal cross holding that the competent authority considers to have been designed to inflate artificially the own funds of the institution.
                                 The amount to be reported shall be calculated on the basis of the gross long positions, and shall include Tier 2 and Tier 3 own-fund insurance items.

                                 940

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

                                 Articles 4(1)(27), 66 point (c), 68 to 70 and 79 of CRR
                                 Part of holdings by the institution of instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution does not have a significant investment that has to be deducted from T2.

                                 950

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

                                 Articles 4(1)(27), 66 point (d), 68, 69 and 79 of CRR
                                 Holdings by the institution of T2 instruments of financial sector entities (as defined in Article 4(1)(27) of CRR) where the institution has a significant investment shall be completely deducted.

                                 960

                                 1.2.10.   Other transitional adjustments to T2 Capital

                                 Articles 476 to 478 and 481 of CRR
                                 Adjustments due to transitional provisions. The amount to be reported shall be directly obtained from CA5.

                                 970

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

                                 Article 56 point (e) of CRR
                                 Tier 2 cannot be negative, but it is possible that T2 deductions are greater than T2 Capital plus related share premium. When this happens, T2 shall be equal to zero, and the excess of T2 deductions shall be deducted from AT1.
                                 With this item, the sum of items 1.2.1 to 1.2.13 is never lower than zero. If this item shows a positive figure, item 1.1.2.8 shall be the inverse of that figure.

                                 974

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

                                 Article 3 CRR

                                 978

                                 1.2.13.   T2 capital elements or deductions — other

                                 This row is invented to provide flexibility solely for reporting purposes. It shall only be populated in the rare cases that there is no final decision on the reporting of specific capital items/deductions in the current CA1 template. As a consequence, this row shall only be populated if a T2 capital element respective a deduction of a T2 element cannot be assigned to one of the rows 750 to 974.
                                 This cell shall not be used to assign capital items/deductions which are not covered by CRR into the calculation of solvency ratios (e.g. an assignment of national capital items/deductions which are outside the scope of CRR).

                           1.3.   C 02.00 — OWN FUNDS REQUIREMENTS (CA2)
                     1.3.1.   Instructions concerning specific positions

                                 Row

                                 Legal references and instructions

                                 010

                                 1.   TOTAL RISK EXPOSURE AMOUNT

                                 Articles 92(3), 95, 96 and 98 of CRR

                                 020

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

                                 For investment firms under Article 95(2) and Article 98 of CRR

                                 030

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

                                 For investment firms under Article 96(2) and Article 97 of CRR

                                 040

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

                                 Article 92(3) points (a) and (f) of CRR

                                 050

                                 1.1.1.   Standardised approach (SA)

                                 CR SA and SEC SA templates at the level of total exposures

                                 060

                                 1.1.1.1.   SA exposure classes excluding securitisations positions

                                 CR SA template at the level of total exposures. The SA exposure classes are those mentioned in Article 112 of CRR excluding securitisation positions.

                                 070

                                 1.1.1.1.01.   Central governments or central banks

                                 See CR SA template

                                 080

                                 1.1.1.1.02.   Regional governments or local authorities

                                 See CR SA template

                                 090

                                 1.1.1.1.03.   Public sector entities

                                 See CR SA template

                                 100

                                 1.1.1.1.04.   Multilateral Development Banks

                                 See CR SA template

                                 110

                                 1.1.1.1.05.   International Organisations

                                 See CR SA template

                                 120

                                 1.1.1.1.06.   Institutions

                                 See CR SA template

                                 130

                                 1.1.1.1.07.   Corporates

                                 See CR SA template

                                 140

                                 1.1.1.1.08.   Retail

                                 See CR SA template

                                 150

                                 1.1.1.1.09.   Secured by mortgages on immovable property

                                 See CR SA template

                                 160

                                 1.1.1.1.10.   Exposures in default

                                 See CR SA template

                                 170

                                 1.1.1.1.11.   Items associated with particular high risk

                                 See CR SA template

                                 180

                                 1.1.1.1.12.   Covered bonds

                                 See CR SA template

                                 190

                                 1.1.1.1.13.   Claims on institutions and corporate with a short-term credit assessment

                                 See CR SA template

                                 200

                                 1.1.1.1.14.   Collective investments undertakings (CIU)

                                 See CR SA template

                                 210

                                 1.1.1.1.15.   Equity

                                 See CR SA template

                                 211

                                 1.1.1.1.16.   Other items

                                 See CR SA template

                                 220

                                 1.1.1.2.   Securitisations positions SA

                                 CR SEC SA template at the level of total securitisation types

                                 230

                                 1.1.1.2.*   Of which: resecuritisation

                                 CR SEC SA template at the level of total securitisation types

                                 240

                                 1.1.2.   Internal ratings based Approach (IRB)

                                 250

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

                                 CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are not used)

                                 260

                                 1.1.2.1.01.   Central governments and central banks

                                 See CR IRB template

                                 270

                                 1.1.2.1.02.   Institutions

                                 See CR IRB template

                                 280

                                 1.1.2.1.03.   Corporates — SME

                                 See CR IRB template

                                 290

                                 1.1.2.1.04.   Corporates – Specialised Lending

                                 See CR IRB template

                                 300

                                 1.1.2.1.05.   Corporates – Other

                                 See CR IRB template

                                 310

                                 1.1.2.2.   IRB approaches when own estimates of LGD and/or Conversion Factor are used

                                 CR IRB template at the level of total exposures (when own estimates of LGD and/or CCF are used)

                                 320

                                 1.1.2.2.01.   Central governments and central banks

                                 See CR IRB template

                                 330

                                 1.1.2.2.02.   Institutions

                                 See CR IRB template

                                 340

                                 1.1.2.2.03.   Corporates — SME

                                 See CR IRB template

                                 350

                                 1.1.2.2.04.   Corporates – Specialised Lending

                                 See CR IRB template

                                 360

                                 1.1.2.2.05.   Corporates – Other

                                 See CR IRB template

                                 370

                                 1.1.2.2.06.   Retail – secure by real estate SME

                                 See CR IRB template

                                 380

                                 1.1.2.2.07.   Retail – secure by real estate non-SME

                                 See CR IRB template

                                 390

                                 1.1.2.2.08.   Retail – Qualifying revolving

                                 See CR IRB template

                                 400

                                 1.1.2.2.09.   Retail – Other SME

                                 See CR IRB template

                                 410

                                 1.1.2.2.10.   Retail – Other non-SME

                                 See CR IRB template

                                 420

                                 1.1.2.3.   Equity IRB

                                 See CR EQU IRB template

                                 430

                                 1.1.2.4.   Securitisations positions IRB

                                 CR SEC IRB template at the level of total securitisation types

                                 440

                                 1.1.2.4*   Of which: resecuritisation

                                 CR SEC IRB template at the level of total securitisation types

                                 450

                                 1.1.2.5.   Other non credit-obligation assets

                                 The amount to be reported is the risk weighted exposure amount as calculated according to Article 156 of CRR.

                                 460

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

                                 Articles 307 to 309 of CRR

                                 490

                                 1.2.   TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY

                                 Articles 92(3) point (c) (ii) and 92(4) point (b) of CRR

                                 500

                                 1.2.1.   Settlement/delivery risk in the non-Trading book

                                 See CR SETT template

                                 510

                                 1.2.2.   Settlement/delivery risk in the Trading book

                                 See CR SETT template

                                 520

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

                                 Articles 92(3) points (b) (i) and (c) (i) and (iii), and 92(4) point (b) of CRR

                                 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

                                 MKR SA TDI template at the level of total currencies.

                                 550

                                 1.3.1.2.   Equity

                                 MKR SA EQU template at the level of total national markets.

                                 555

                                 1.3.1.3.   Particular approach for position risk in CIUs

                                 Articles 348(1), 350 (3) c) and 364 (2) a) CRR
                                 Total risk exposure amount for positions in CIUs if capital requirements are calculated according to Article 348(1) CRR either immediately or as a consequence of the cap defined in Article 350(3)(c) CRR. CRR does not explicitly assign those positions to either the interest rate risk or the equity risk.
                                 If the particular approach according to the first sentence of Article 348(1) of CRR is applied, the amount to be reported is 32 % of the net position of the CIU exposure in question, multiplied by 12,5.
                                 If the particular approach according to Article 348(1) sentence 2 of CRR is applied, the amount to be reported is the lower of 32 % of the net position of the relevant CIU exposure and the difference between 40 % of this net position and the own funds requirements that arise from the foreign exchange risk associated with this CIU exposure, multiplied by 12,5 respectively.

                                 556

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

                                 Total risk exposure amount for positions in CIUs if the CIU is invested exclusively in instruments subject to interest rate risk.

                                 557

                                 1.3.1.3.**   CIUs invested exclusively in equity instruments or in mixed instruments

                                 Total risk exposure amount for positions in CIUs if the CIU is invested either exclusively in instruments subject to equity risk or in mixed instruments or if the constituents of the CIU are unknown.

                                 560

                                 1.3.1.4.   Foreign Exchange

                                 See MKR SA FX template

                                 570

                                 1.3.1.5.   Commodities

                                 See MKR SA COM template

                                 580

                                 1.3.2.   Risk exposure amount for positions, foreign exchange and commodity risks under internal models (IM)

                                 See MKR IM template

                                 590

                                 1.4.   TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR)

                                 Article 92(3) point (e) and 92(4) point (b) of CRR
                                 For investment firms under Article 95(2), Article 96(2) and Article 98 of CRR this element shall be zero.

                                 600

                                 1.4.1.   OpR Basic Indicator approach (BIA)

                                 See OPR template

                                 610

                                 1.4.2.   OpR Standardised (TSA)/Alternative Standardised (ASA) approaches

                                 See OPR template

                                 620

                                 1.4.3.   OpR Advanced measurement approaches (AMA)

                                 See OPR template

                                 630

                                 1.5.   ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS

                                 Articles 95(2), 96(2), 97 and 98(1) point (a) of CRR
                                 Only for investment firms under Article 95(2), Article 96(2) and Article 98 of CRR. See also Article 97 of CRR
                                 Investment firms under Article 96 of CRR shall report the amount referred to in Article 97 multiplied by 12.5.
                                 Investment firms under Article 95 of CRR shall report:

                                             —

                                             If the amount referred to in article 95(2) point (a) of CRR is greater than the amount referred to in article 95(2) point (b) of CRR, the amount to be reported is zero.

                                             —

                                             If the amount referred to in article 95(2) point (b) of CRR is greater than the amount referred to in article 95(2) point (a) of CRR, the amount to be reported is the result of subtracting the latter amount from the former.

                                 640

                                 1.6.   TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT

                                 Article 92(3) point (d) of CRR See CVA template.

                                 650

                                 1.6.1.   Advanced method

                                 Own funds requirements for credit valuation adjustment risk according to Article 383 of CRR. See CVA template.

                                 660

                                 1.6.2.   Standardised method

                                 Own funds requirements for credit valuation adjustment risk according to Article 384 of CRR. See CVA template.

                                 670

                                 1.6.3.   Based on OEM

                                 Own funds requirements for credit valuation adjustment risk according to Article 385 of CRR. See CVA template.

                                 680

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

                                 Articles 92(3) point (b) (ii) and 395 to 401 of CRR

                                 690

                                 1.8.   OTHER RISK EXPOSURE AMOUNTS

                                 Articles 3, 458 and 459 of CRR and risk exposure amounts which cannot be assigned to one of the items from 1.1 to 1.7.
                                 Institutions shall report the amounts needed to comply with the following:
                                 Stricter prudential requirements imposed by the Commission, in accordance with Article 458 and 459 of CRR
                                 Additional risk exposure amounts due to Article 3 CRR
                                 This item does not have a link to a details template.

                                 710

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

                                 Article 458 of CRR

                                 720

                                 1.8.2*   Of which: requirements for large exposures

                                 Article 458 of CRR

                                 730

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

                                 Article 458 of CRR

                                 740

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

                                 Article 458 of CRR

                                 750

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

                                 Article 459 of CRR

                                 760

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

                                 Article 3 CRR
                                 The additional risk exposure amount has to be reported. It shall only include the additional amounts (e.g. if an exposure of 100 has a risk-weight of 20 % and the institutions applies a risk weight of 50 % based on article 3 CRR, the amount to be reported is 30).

                                 770 – 900

                                 1.8.5   Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework

                                 Institutions shall fill in information in rows 770 – 900 on reporting reference dates that are after 1 January 2019.
                                 Rows 770 – 900 present the risk weighted exposure amounts for credit risk for those securitisation positions, the risk weighted exposure amount of which shall be calculated according to the provisions of CRR.
                                 The amounts reported shall correspond to the total risk-weighted exposure amount calculated according to Part Three, Title II, Chapter 5 of CRR, taking into account the total risk weight imposed in accordance with Article 247(6) CRR and the caps referred to in Part Three, Title II, Chapter 5, section 3, subsection 4 of CRR.

                                 770

                                 1.8.5.   Of which: Risk weighted exposure amounts for credit risk: securitisation positions (revised securitisation framework)

                                 Articles 92(3)(a) and Part Three, Title II, Chapter 5 of CRR.

                                 780

                                 1.8.5.1.   Internal ratings-based approach (SEC-IRBA)

                                 Articles 254(1)(a), 259, 260 of CRR.

                                 790

                                 1.8.5.1.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(1)(a), 259 of CRR.

                                 800

                                 1.8.5.1.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(1)(a), 259, 260 of CRR.
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

                                 810

                                 1.8.5.2   Standardised approach (SEC-SA)

                                 Articles 254(1)(b), (6), 261, 262, 269 of CRR.

                                 820

                                 1.8.5.2.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(1)(b), (6), 261, 269 of CRR.

                                 830

                                 1.8.5.2.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(1)(b), 261, 262 of CRR.
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

                                 840

                                 1.8.5.3.   External ratings-based approach (SEC-ERBA)

                                 Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR

                                 850

                                 1.8.5.3.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(1)(c), (2), (3), (4), 263 of CRR

                                 860

                                 1.8.5.3.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(1)(c), (2), (3), (4), 263, 264 of CRR
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

                                 870

                                 1.8.5.4.   Internal assessment approach (IAA)

                                 Articles 254(5), 265, 266 of CRR

                                 880

                                 1.8.5.4.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(5), 265, 266 of CRR

                                 890

                                 1.8.5.4.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(5), 265, 266 of CRR
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

                                 900

                                 1.8.5.5.   Other (RW = 1 250  %)

                                 Article 254(7) of CRR

                                 910 – 1040

                                 1.8.6   Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

                                 Institutions shall fill in information in rows 910 – 1040 on reporting reference dates that are after 1 January 2019.
                                 Rows 910 – 1040 shall include the risk weighted exposure amounts for those securitisation positions in the trading book, the total risk exposure amounts of which shall be calculated in accordance with the provisions of CRR. However, securitisation positions subject to own funds requirements for the correlation trading portfolio in accordance with Article 338 of the amended CRR shall not be reported in these rows, but in template MKR SA CTP.
                                 The amounts reported shall correspond to the total risk exposure amount, being the result of the multiplication of the own funds requirements calculated in accordance with Article 337 of CRR by 12.5. The amount reported shall take into account the applicable total risk weight according to Article 337(3) of CRR as well as the cap of the own funds requirement for a net position in accordance with Article 335 of CRR.
                                 In line with the determination of risk weights according to Article 337 of CRR, the approach applied for the calculation of the own funds requirements for instruments in the trading book that are securitisation positions shall be determined as the approach the institution would apply to the position in its non-trading book.

                                 910

                                 1.8.6.   Of which: Total risk exposure amount for position risk: Traded debt instruments – specific risk of securitisation instruments (revised securitisation framework)

                                 Articles 92(3)(b)(i), (4), 335, 337 of CRR

                                 920

                                 1.8.6.1.   Internal ratings-based approach (SEC-IRBA)

                                 Articles 254(1)(a), 259, 260, 337 of CRR

                                 930

                                 1.8.6.1.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(1)(a), 259, 337 of CRR

                                 940

                                 1.8.6.1.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(1)(a), 259, 260, 337 of CRR
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row.

                                 950

                                 1.8.6.2.   Standardised approach (SEC-SA)

                                 Articles 254(1)(b), (6), 261, 262, 269, 337 of CRR

                                 960

                                 1.8.6.2.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(1)(b), (6), 261, 269, 337 of CRR

                                 970

                                 1.8.6.2.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(1)(b), 261, 262, 337 of CRR
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 CRR shall be reported in this row.

                                 980

                                 1.8.6.3.   External ratings-based approach (SEC-ERBA)

                                 Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR

                                 990

                                 1.8.6.3.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(1)(c), (2), (3), (4), 263, 337 of CRR

                                 1000

                                 1.8.6.3.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(1)(c), (2), (3), (4), 263, 264, 337 of CRR
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

                                 1010

                                 1.8.6.4.   Internal assessment approach (IAA)

                                 Articles 254(5), 265, 266, 337 of CRR

                                 1020

                                 1.8.6.4.1.   Securitisations not qualifying for differentiated capital treatment

                                 Articles 254(5), 265, 266, 337 of CRR

                                 1030

                                 1.8.6.4.2.   STS securitisations qualifying for differentiated capital treatment

                                 Articles 254(5), 265, 266, 337 of CRR
                                 Both STS securitisations qualifying for differentiated capital treatment according to Article 243 of CRR and senior positions in SME securitisations qualifying for the differentiated capital treatment in accordance with Article 270 of CRR shall be reported in this row.

                                 1040

                                 1.8.6.5.   Other (RW = 1 250  %)

                                 Articles 254(7), 337 of CRR

                           1.4.   C 03.00 — CAPITAL RATIOS AND CAPITAL LEVELS (CA3)
                     1.4.1.   Instructions concerning specific positions

                                 Rows

                                 010

                                 1   CET1 Capital ratio

                                 Article 92(2) point (a) of CRR
                                 The CET1 capital ratio is the CET1 capital of the institution expressed as a percentage of the total risk exposure amount.

                                 020

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

                                 This item shows, in absolute figures, the amount of CET1 capital surplus or deficit relating to the requirement set in Article 92(1) point (a) of CRR (4,5 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

                                 030

                                 3   T1 Capital ratio

                                 Article 92(2) point (b) of CRR
                                 The T1 capital ratio is the T1 capital of the institution expressed as a percentage of the total risk exposure amount.

                                 040

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

                                 This item shows, in absolute figures, the amount of T1 capital surplus or deficit relating to the requirement set in Article 92(1) point (b) of CRR (6 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

                                 050

                                 5   Total capital ratio

                                 Article 92(2) point (c) of CRR
                                 The total capital ratio is the own funds of the institution expressed as a percentage of the total risk exposure amount.

                                 060

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

                                 This item shows, in absolute figures, the amount of own funds surplus or deficit relating to the requirement set in Article 92(1) point (c) of CRR (8 %), i.e. without taking into account the capital buffers and transitional provisions on the ratio.

                                 130

                                 13   Total SREP capital requirement (TSCR) ratio

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the total capital ratio (8 %) as specified in Article 92(1)(c) of CRR;

                                             (ii)

                                             the additional own funds requirements (Pillar 2 Requirements – P2R) ratio determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (EBA SREP GL).

                                       This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 of the EBA SREP GL.
                                 If no additional own funds requirements were communicated by the competent authority, then only point (i) should be reported.

                                 140

                                 13*   TSCR: to be made up of CET1 capital

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the CET1 capital ratio (4,5 %) as per Article 92(1)(a) of CRR;

                                             (ii)

                                             the part of the P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of CET1 capital.

                                       If no additional own funds requirements, to be held in the form of CET1 capital, were communicated by the competent authority, then only point (i) should be reported.

                                 150

                                 13**   TSCR: to be made up of Tier 1 capital

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the Tier 1 capital ratio (6 %) as per Article 92(1)(b) of CRR;

                                             (ii)

                                             the part of P2R ratio, referred to in point (ii) of row 130, which is required by the competent authority to be held in the form of Tier 1 capital.

                                       If no additional own funds requirements, to be held in the form of Tier 1 capital, were communicated by the competent authority, then only point (i) should be reported.

                                 160

                                 14   Overall capital requirement (OCR) ratio

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the TSCR ratio referred to in row 130;

                                             (ii)

                                             to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.

                                       This item shall reflect the Overall capital requirement (OCR) ratio as defined in Section 1.2 of the EBA SREP GL.
                                 If no buffer requirement is applicable, only point (i) shall be reported.

                                 170

                                 14*   OCR: to be made up of CET1 capital

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the TSCR ratio to be made up of CET1 capital referred to in row 140;

                                             (ii)

                                             to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.

                                       If no buffer requirement is applicable, only point (i) shall be reported.

                                 180

                                 14**   OCR: to be made up of Tier 1 capital

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the TSCR ratio to be made up of Tier 1 capital referred to in row 150;

                                             (ii)

                                             to the extent it is legally applicable, the combined buffer requirement ratio referred to in Article 128 point (6) of CRD.

                                       If no buffer requirement is applicable, only point (i) shall be reported.

                                 190

                                 15   Overall capital requirement (OCR) and Pillar 2 Guidance (P2G) ratio

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the OCR ratio referred to in row 160;

                                             (ii)

                                             where applicable, the Pillar 2 Guidance (P2G) as defined in the EBA SREP GL. P2G shall be included only if communicated to the institution by the competent authority.

                                       If no P2G is communicated by the competent authority, then only point (i) should be reported.

                                 200

                                 15*   OCR and P2G: to be made up of CET1 capital

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the OCR ratio to be made up of CET1 capital referred to in row 170;

                                             (ii)

                                             where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of CET1 capital. P2G shall be included only if communicated to the institution by the competent authority.

                                       If no P2G is communicated by the competent authority, then only point (i) should be reported.

                                 210

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

                                 The sum of (i) and (ii) as follows:

                                             (i)

                                             the OCR ratio to be made up of Tier 1 capital referred to in row 180;

                                             (ii)

                                             where applicable, the part of P2G, referred to in point (ii) in row 190, which is required by the competent authority to be held in the form of Tier 1 capital. P2G shall be included only if communicated to the institution by the competent authority.

                                       If no P2G is communicated by the competent authority, then only point (i) should be reported.

                           1.5.   C 04.00 — MEMORANDUM ITEMS (CA4)
                     1.5.1.   Instructions concerning specific positions

                                 Rows

                                 010

                                 1.   Total deferred tax assets

                                 The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.

                                 020

                                 1.1.   Deferred tax assets that do not rely on future profitability

                                 Article 39(2) of CRR
                                 Deferred tax assets that do not rely on future profitability, and thus are subject to the application of a risk weight.

                                 030

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

                                 Articles 36(1) point (c) and 38 of CRR
                                 Deferred tax assets that rely on future profitability, but do not arise from temporary differences, and thus are not subject to any threshold (i.e. are completely deducted from CET1).

                                 040

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

                                 Articles 36(1) point (c); 38 and 48(1) point (a) of CRR
                                 Deferred tax assets that rely on future profitability and arise from temporary differences, and thus, their deduction from CET1 is subject to 10 % and 17,65 % thresholds in Article 48 of CRR.

                                 050

                                 2   Total deferred tax liabilities

                                 The amount reported in this item shall be equal to the amount reported in the latest verified/audited accounting balance sheet.

                                 060

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

                                 Article 38(3) and (4) of CRR
                                 Deferred tax liabilities for which conditions in Article 38(3) and (4) of CRR are not met. Hence, this item shall include the deferred tax liabilities that reduce the amount of goodwill, other intangible assets or defined benefit pension fund assets required to be deducted, which are reported, respectively, in CA1 items 1.1.1.10.3, 1.1.1.11.2 and 1.1.1.14.2.

                                 070

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

                                 Article 38 of CRR

                                 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

                                 Article 38(3), (4) and (5) of CRR
                                 Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are not allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

                                 090

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

                                 Article 38(3), (4) and (5) of CRR
                                 Deferred tax liabilities which may reduce the amount of deferred tax assets that rely on future profitability, according to Article 38(3) and (4) of CRR, and are allocated to deferred tax assets that rely on future profitability and arise from temporary differences, according to Article 38(5) of CRR

                                 093

                                 2A   Tax overpayments and tax loss carry backs

                                 Article 39(1) CRR
                                 The amount of tax overpayments and tax loss carry backs which is not deducted from own funds in accordance with Article 39(1) CRR; the amount reported shall be the amount before the application of risk weights.

                                 096

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

                                 Article 48(4) CRR
                                 The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Article 48(1) CRR, but subject to a risk weight of 250 % in accordance with Article 48(4) CRR, taking into account the effect of Article 470 CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

                                 097

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

                                 Article 469(1) lit. d, 470, 472 (5) and 478 CRR
                                 The amount of deferred tax assets that are dependent on future profitability and arise from temporary differences that are not deducted pursuant to Articles 469(1) lit. d and 470 CRR, but subject to a risk weight of 0 % in accordance with Article 472(5) CRR. The amount reported shall be the amount of DTAs before the application of the risk weight.

                                 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

                                 Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 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

                                 Article 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 120

                                 3.1.1.   General credit risk adjustments

                                 Article 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 130

                                 3.1.2.   Specific credit risk adjustments

                                 Article 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 131

                                 3.1.3.   Additional value adjustments and other own funds reductions

                                 Articles 34, 110 and 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 140

                                 3.2.   Total expected losses eligible

                                 Articles 158(5), (6) and (10), and 159 of CRR
                                 This item shall only be reported by IRB institutions. Only the expected loss related to non-defaulted exposures shall be reported.

                                 145

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

                                 Articles 36(1) point (d), 62 point (d), 158 and 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 150

                                 4.1.   Specific credit risk adjustments and positions treated similarily

                                 Article 159 of CRR
                                 This item shall only be reported by IRB institutions.

                                 155

                                 4.2.   Total expected losses eligible

                                 Articles 158(5), (6) and (10), and 159 of CRR
                                 This item shall only be reported by IRB institutions. Only the expected loss related to defaulted exposures shall be reported.

                                 160

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

                                 Article 62 point (d) of CRR
                                 For IRB institutions, according to Article 62 point (d) of CRR, the excess amount of provisions (to expected losses) eligible for inclusion in Tier 2 capital is capped at 0,6 % of risk-weighted exposure amounts calculated with the IRB approach.
                                 The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 0,6 %) which is the base for calculating the cap.

                                 170

                                 6   Total gross provisions eligible for inclusion in T2 capital

                                 Article 62 point (c) of CRR
                                 This item includes the general credit risk adjustments that are eligible for inclusion in T2 capital, before cap.
                                 The amount to be reported shall be gross of tax effects.

                                 180

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

                                 Article 62 point (c) of CRR
                                 According to Article 62 point (c) of CRR, the credit risk adjustments eligible for inclusion in Tier 2 capital is capped at 1,25 % of risk-weighted exposure amounts.
                                 The amount to be reported in this item is the risk weighted exposure amounts (i.e. not multiplied by 1,25 %) which is the base for calculating the cap.

                                 190

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

                                 Article 46(1) point (a) of CRR
                                 This item contains the threshold up to which holdings in a financial sector entity where an institution does not have a significant investment are not deducted. The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %..

                                 200

                                 9   10 % CET1 threshold

                                 Article 48(1) points (a) and (b) of CRR
                                 This item contains the 10 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences.
                                 The amount results from adding up all items which are the base of the threshold and multiplying the sum thus obtained by 10 %.

                                 210

                                 10   17,65 % CET1 threshold

                                 Article 48(1) of CRR
                                 This item contains the 17,65 % threshold for holdings in financial sector entities where an institution has a significant investment, and for deferred tax assets that are dependent on future profitability and arise from temporary differences, to be applied after the 10 % threshold.
                                 The threshold is calculated so that the amount of the two items that is recognised must not exceed 15 % of the final Common Equity Tier 1 capital, i.e. the CET1 capital calculated after all deductions, not including any adjustment due to transitional provisions.

                                 225

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

                                 Article 4(1)(71)(a)

                                 226

                                 11.2.   Eligible capital for the purposes of large exposures

                                 Article 4(1)(71)(b)

                                 230

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

                                 Articles 44 to 46 and 49 of CRR

                                 240

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

                                 Articles 44, 45, 46 and 49 of CRR

                                 250

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

                                 Articles 44, 46 and 49 of CRR
                                 Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, excluding:

                                             a)

                                             Underwriting positions held for 5 working days or fewer;

                                             b)

                                             The amounts relating to the investments for which any alternative in article 49 is applied; and

                                             c)

                                             Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR

                                 260

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

                                 Article 45 of CRR
                                 Article 45 of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                                 270

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

                                 Articles 4(1)(114), 44 and 45 of CRR

                                 280

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

                                 Articles 4(1)(114), 44 and 45 of CRR
                                 The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                                 Holdings which are treated as reciprocal cross holdings according to article 36(1) point (g) of CRR shall not be included

                                 290

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

                                 Articles 4(1)(114) and 45 of CRR
                                 Article 45 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                                 291

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

                                 Articles 4(1)(126), 44 and 45 of CRR

                                 292

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

                                 Articles 4(1)(126), 44 and 45 of CRR

                                 293

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

                                 Articles 4(1)(126) and 45 of CRR

                                 300

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

                                 Articles 58 to 60 of CRR

                                 310

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

                                 Articles 58, 59 and 60(2) of CRR

                                 320

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

                                 Articles 58 and 60(2) of CRR
                                 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, excluding:

                                             a)

                                             Underwriting positions held for 5 working days or fewer; and

                                             b)

                                             Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR

                                 330

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

                                 Article 59 of CRR
                                 Article 59 point (a) of CRR allows offsetting short positions in the same underlying exposure provided the maturity of the short position matches the maturity of the long position or has a residual maturity of at least one year.

                                 340

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

                                 Articles 4(1)(114), 58 and 59 of CRR

                                 350

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

                                 Articles 4(1)(114), 58 and 59 of CRR
                                 The amount to be reported is the indirect holdings in the trading book of the capital instruments of financial sector entities that take the form of holdings of index securities. It is obtained by calculating the underlying exposure to the capital instruments of the financial sector entities in the indices.
                                 Holdings which are treated as reciprocal cross holdings according to article 56 point (b) of CRR shall not be included

                                 360
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