02014R0680 — EN — 01.12.2018 — 009.001

This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document

►B COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance) (OJ L 191 28.6.2014, p. 1)

Amended by:





Corrected by:









▼B

COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014

of 16 April 2014

laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(Text with EEA relevance)







CHAPTER 1

SUBJECT MATTER AND SCOPE

Article 1

Subject matter and scope

This Regulation lays down uniform requirements in relation to supervisory reporting to competent authorities for the following areas:

(a) own funds requirements and financial information according to Article 99 of Regulation (EU) No 575/2013;

(b) losses stemming from lending collateralised by immovable property according to Article 101(4)(a) of Regulation (EU) No 575/2013;

(c) large exposures and other largest exposures according to Article 394(1) of Regulation (EU) No 575/2013;

(d) leverage ratio according to Article 430 of Regulation (EU) No 575/2013;

(e) liquidity Coverage requirements and Net Stable Funding requirements according to Article 415 of Regulation (EU) No 575/2013;

▼M1

(f) asset encumbrance according to Article 100 of Regulation (EU) No 575/2013;

▼M4

(g) additional liquidity monitoring metrics according to Article 415(3)(b) of Regulation (EU) No 575/2013.

▼B







CHAPTER 2

REPORTING REFERENCE AND REMITTANCE DATES AND REPORTING THRESHOLDS

Article 2

Reporting reference dates

1. Institutions shall submit information to competent authorities as it stands on the following reporting reference dates: (a) Monthly reporting: on the last day of each month; (b) Quarterly reporting: 31 March, 30 June, 30 September and 31 December; (c) Semi-annual reporting: 30 June and 31 December; (d) Annual reporting: 31 December.

2. Information submitted pursuant to the templates set out in Annex III and Annex IV according to the instructions in Annex V referring to a certain period shall be reported cumulatively from the first day of the accounting year to the reference date.

3. Where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year, reporting reference dates may be adjusted accordingly, so that reporting of financial information is done every three, six or twelve months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

1. Institutions shall submit information to competent authorities by close of business of the following remittance dates: (a) Monthly reporting: 15th calendar day after the reporting reference date; (b) Quarterly reporting: 12 May, 11 August, 11 November and 11 February; (c) Semi-annual reporting: 11 August and 11 February; (d) Annual reporting: 11 February.

2. If the remittance day is a public holiday in the Member State of the competent authority to which the report is to be provided, or a Saturday or a Sunday, data shall be submitted on the following working day.

3. Where institutions report their financial information using adjusted reporting reference dates based on their accounting year-end as set out in Article 2 paragraph 3, the remittance dates may also be adjusted accordingly so that the same remittance period from the adjusted reporting reference date is maintained.

4. Institutions may submit unaudited figures. Where audited figures deviate from submitted unaudited figures, the revised, audited figures shall be submitted without undue delay. Unaudited figures are figures that have not received an external auditor's opinion whereas audited figures are figures audited by an external auditor expressing an audit opinion.

5. Other corrections to the submitted reports shall also be submitted to the competent authorities without undue delay.

Article 4

Reporting thresholds — entry and exit criteria

1. Institutions shall start reporting information subject to thresholds from the next reporting reference date where they have exceeded the threshold on two consecutive reporting reference dates.

2. For the first two reporting reference dates on which institutions have to comply with the requirements of this Regulation, institutions shall report the information subject to thresholds if they exceed the relevant thresholds on the same reporting reference date.

3. Institutions may stop reporting information subject to thresholds from the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.







CHAPTER 3

FORMAT AND FREQUENCY OF REPORTING ON OWN FUNDS, OWN FUNDS REQUIREMENTS AND FINANCIAL INFORMATION







SECTION 1

Format and frequency of reporting on own funds and own funds requirements

Article 5

Format and frequency of reporting on own funds and on own funds requirements for institutions on an individual basis, except for investment firms subject to article 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit all the information listed in paragraphs (a) and (b).

(a) Institutions shall submit the following information with a quarterly frequency: (1) the information relating to own funds and own funds requirements as specified in templates 1 to 5 of Annex I, according to the instructions in Part II point 1 of Annex II; (2) the information on credit risk and counterparty credit risk exposures treated under the Standardised Approach as specified in template 7 of Annex I, according to the instructions in Part II point 3.2 of Annex II; (3) the information on credit risk and counterparty credit risk exposures treated under the Internal Rating Based Approach as specified in template 8 of Annex I, according to the instructions in Part II point 3.3 of Annex II; ▼M10 (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; ▼B (5) the information on equity exposures treated under the Internal Ratings Based Approach as specified in template 10 of Annex I, according to the instructions in Part II point 3.5 of Annex II; (6) the information on settlement risk as specified in template 11 of Annex I, according to the instructions in Part II point 3.6 of Annex II; (7) the information on securitisations exposures treated under the Standardised Approach as specified in template 12 of Annex I, according to the instructions in Part II point 3.7 of Annex II; (8) the information on securitisation exposures treated under the Internal Rating Based Approach as specified in template 13 of Annex I, according to the instructions in Part II point 3.8 of Annex II; (9) the information on own funds requirements and losses relating to operational risk as specified in template 16 of Annex I, according to the instructions in Part II point 4.1 of Annex II; (10) the information on own funds requirements relating to market risk as specified in templates 18 to 24 of Annex I, according to the instructions in Part II point 5.1 to 5.7 of Annex II; (11) the information on own funds requirements relating to credit valuation adjustment risk as specified in template 25 of Annex I, according to the instructions in Part II point 5.8 of Annex II; ▼M10 (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

(b) Institutions shall submit the following information with a semi-annual frequency: ▼M2 (1) the information on all securitisation exposures as specified in template 14 of Annex I, according to the instructions in point 3.9 of Part II of Annex II. Institutions shall be exempted from submitting those securitisation details where they are part of a group in the same country in which they are subject to own funds requirements; ▼M9 (2) the information on material losses stemming from operational risk events as follows: (a) institutions which calculate own funds requirements relating to operational risk in accordance with Chapter 4 of Title III of Part Three of Regulation (EU) No 575/2013 shall report this information as specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II; (b) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the following criteria shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II: (i) the ratio of the individual balance sheet total to the sum of individual balance sheet totals of all institutions within the same Member State is equal to or above 1 %, where balance sheet total figures are based on year-end figures for the year before the year preceding the reporting reference date; (ii) the total value of the institution's assets exceeds EUR 30 billion; (iii) the total value of the institution's assets exceeds both EUR 5 billion and 20 % of the GDP of the Member State where it is established; (iv) the institution is one of the three largest institutions established in a particular Member State measured by the total value of its assets; (v) the institution is the parent of subsidiaries, which are themselves credit institutions established in at least two Member States other than the Member State where the parent institution is authorised and where both of the following conditions are met: — the value of the institution's consolidated total assets exceeds EUR 5 billion, — more than 20 % of either the institution's consolidated total assets as defined in template 1.1 of Annex III or IV, as applicable, or the institution's consolidated total liabilities as defined in template 1.2 of Annex III or IV, as applicable, relates to activities with counterparties located in a Member State other than that where the parent institution is authorised; (c) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 3 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions in point (b) is met, shall report the information referred to in points (i) and (ii) below in accordance with the instructions in point 4.2 of Part II of Annex II: (i) the information as specified for column 080 of template 17.01 of Annex I for the following rows: — number of events (new events) (row 910), — gross loss amount (new events) (row 920), — number of events subject to loss adjustments (row 930), — loss adjustments relating to previous reporting periods (row 940), — maximum single loss (row 950), — sum of the five largest losses (row 960), — total direct loss recovery (except insurance and other risk transfer mechanisms) (row 970), — total recoveries from insurance and other risk transfer mechanisms (row 980); (ii) the information as specified in template 17.02 of Annex I; (d) the institutions referred to in point (c) may report the complete set of information specified in templates 17.01 and 17.02 of Annex I, in accordance with the instructions in point 4.2 of Part II of Annex II; (e) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and that meet at least one of the conditions (ii) to (v) of point (b) shall report this information as specified in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II; (f) institutions which calculate the own funds requirements relating to operational risk in accordance with Chapter 2 of Title III of Part Three of Regulation (EU) No 575/2013 and for which none of the conditions set out in points (ii) to (v) of point (b) are met, may report the information referred to in templates 17.01 and 17.02 of Annex I in accordance with the instructions in point 4.2 of Part II of Annex II; (g) the entry and exit criteria of Article 4 shall apply; ▼M9 (3) the information on sovereign exposures as follows: (a) institutions shall report the information specified in template 33 of Annex I in accordance with the instructions in ►M10 point 7 of Part II of Annex II ◄ where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal or higher than 1 % of the sum of total carrying amount for ‘Debt securities and Loans and advances’. For the purposes of determining those carrying amounts, institutions shall apply the definitions used in templates 4.1 to 4.4.1 of Annex III or templates 4.1 to 4.4.1 and 4.6 to 4.10 of Annex IV, as applicable; (b) institutions that meet the criterion referred to in point (a) and where the value reported for domestic exposures of non-derivative financial assets as defined in row 010, column 010 of template 33 of Annex I is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point, shall report the information specified in template 33 of Annex I in accordance with the instructions in ►M10 point 7 of Part II of Annex II ◄ of Annex II aggregated at a total level and for each individual country they are exposed to; (c) institutions that meet the criterion referred to in point (a) but do not meet the criterion referred in point (b) shall report the information specified in template 33 of Annex I in accordance with the instructions in ►M10 point 7 of Part II of Annex II ◄ with exposures aggregated at both a total level and at domestic level; (d) the entry and exit criteria of Article 4 shall apply. ▼B

Article 6

Format and frequency of reporting on own funds and own funds requirements on a consolidated basis, except for groups which only consist of investment firms subject to articles 95 and 96 of Regulation (EU) No 575/2013

In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, institutions in a member state shall submit:

(a) the information specified in Article 5 in the frequency specified therein but on a consolidated basis;

(b) the information specified in template 6 of Annex I according to the instructions provided in point 2 of Part II of Annex II regarding entities included in the scope of consolidation, with a semi-annual frequency.

Article 7

Format and frequency of reporting on own funds and own funds requirements for investment firms subject to Articles 95 and 96 Regulation (EU) No 575/2013 on an individual basis

1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in templates 1 to 5 of Annex I, according to the instructions in point 1 of Part II of Annex II with a quarterly frequency.

2. In order to report information on own funds and own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on an individual basis, investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the information specified in points (a) and (b) (1) of Article 5 of this Regulation with the frequency specified therein.

Article 8

Format and frequency of reporting on own funds and own funds requirements for groups which only consist of investment firms subject to Article 95 and 96 Regulation (EU) No 575/2013 on a consolidated basis

1. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist only of investment firms subject to Article 95 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis: (a) the information on own funds and own funds requirements as specified in templates 1 to 5 of Annex I according to the instructions in point 1 of Part II of Annex II, with a quarterly frequency; (b) the information on own funds and own funds requirements regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions in point 2 of Part II of Annex II, with a semi-annual frequency.

2. In order to report information on own funds and on own funds requirements according to Article 99 of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups which consist of investment firms subject to both Article 95 and Article 96 as well as groups which consist only of investment firms subject to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis: (a) the information specified in points (a) and (b) (1) of Article 5, with the frequency specified therein; (b) the information regarding entities included in the scope of consolidation as specified in template 6 of Annex I, according to the instructions of point 2 of Part II of Annex II, with a semi-annual frequency.







SECTION 2

Format and frequency of reporting on financial information on a consolidated basis

Article 9

Format and frequency of reporting on financial information for institutions subject to Article 4 of Regulation (EC) No 1606/2002 and other credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis

1. In order to report financial information on a consolidated basis according to Article 99 (2) of Regulation (EU) No 575/2013, institutions established in a Member State shall submit the information specified in Annex III on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2. The information referred to in paragraph 1 shall be submitted according to the following specifications: (a) the information specified in Part 1 of Annex III with a quarterly frequency; (b) the information specified in Part 3 of Annex III with a semi-annual frequency; (c) the information specified in Part 4 of Annex III with an annual frequency; ▼M10 (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; ▼B (e) the information specified in template 21 in Part 2 of Annex III where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply; (f) the information specified in template 22 in Part 2 of Annex III where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex III with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply; (g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.

Article 10

Format and frequency of reporting on financial information for credit institutions applying Regulation (EC) No 1606/2002 on a consolidated basis, by virtue of Article 99(3) Regulation (EU) No 575/2013

Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions in a Member State in accordance with Article 99(3) Regulation (EU) No 575/2013, institutions shall submit financial information according to Article 9.

Article 11

Format and frequency of reporting on financial information for institutions applying national accounting frameworks developed under Directive 86/635/EEC on a consolidated basis

1. Where a competent authority has extended the reporting requirements of financial information on a consolidated basis to institutions established in a Member State in accordance with Article 99(6) Regulation (EU) No 575/2013, institutions shall submit the information specified in Annex IV on a consolidated basis, according to the instructions in Annex V and the information specified in Annex VIII on a consolidated basis, according to the instructions in Annex IX.

2. The information referred to in paragraph 1 shall be submitted according to the following specifications: (a) the information specified in Part 1 of Annex IV with a quarterly frequency; (b) the information specified in Part 3 of Annex IV with a semi-annual frequency; (c) the information specified in Part 4 of Annex IV with an annual frequency; (d) the information specified in template 20 in Part 2 of Annex IV with a quarterly frequency in the manner provided in point (4) of Article 5 (a). The entry and exit criteria referred to in Article 4 shall apply; (e) the information specified in template 21 in Part 2 of Annex IV where tangible assets subject to operating leases are equal or higher than 10 % of total tangible assets as reported in template 1.1 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply; (f) the information specified in template 22 in Part 2 of Annex IV where net fee and commission income is equal or higher than 10 % of the sum of net fee and commission income and net interest income as reported in template 2 in Part 1 of Annex IV with a quarterly frequency. The entry and exit criteria referred to in Article 4 shall apply; (g) the information specified in Annex VIII for exposures whose exposure value is larger than or equal to EUR 300 million but less than 10 % of the institution's eligible capital with a quarterly frequency.







CHAPTER 4

FORMAT AND FREQUENCY OF SPECIFIC REPORTING OBLIGATIONS ON LOSSES STEMMING FROM LENDING COLLATERALISED BY IMMOVABLE PROPERTY ACCORDING TO ARTICLE 101 OF REGULATION (EU) No 575/2013

Article 12

1. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on a consolidated basis with a semi-annual frequency.

2. Institutions shall submit information as specified in Annex VI according to the instructions in Annex VII on an individual basis with a semi-annual frequency.

3. Branches in another Member State shall also submit to the competent authority of the host Member State information as specified in Annex VI according to the instructions in Annex VII related to that branch with a semi-annual frequency.







CHAPTER 5

FORMAT AND FREQUENCY OF REPORTING ON LARGE EXPOSURES ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 13

1. In order to report information on large exposures to clients and groups of connected clients according to Article 394(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

2. In order to report information on the twenty largest exposures to clients or groups of connected clients according to the last sentence of Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions which are subject to Chapter 3 of Title II of Part Three of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.

3. In order to report information on the ten largest exposures to institutions as well as on the ten largest exposures to unregulated financial entities according to Article 394(2) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII according to the instructions in Annex IX, with a quarterly frequency.







CHAPTER 6

FORMAT AND FREQUENCY OF REPORTING ON LEVERAGE RATIO ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 14

1. In order to report information on the leverage ratio according to Article 430 (1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex X according to the instructions in Annex XI, with a quarterly frequency.

▼M6

2. The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.

3. Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met: (a) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %; (b) the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.

The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

4. Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3.

The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

5. Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met: (a) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million; (b) the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

▼M6 —————

▼B







CHAPTER 7

FORMAT AND FREQUENCY OF REPORTING ON LIQUIDITY AND ON STABLE FUNDING ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

▼C2

Article 15

Format and frequency of reporting on liquidity coverage requirement

1. In order to report information on the liquidity coverage requirement in accordance with Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall apply the following: (a) credit institutions shall submit the information specified in Annex XXIV according to the instructions in Annex XXV with a monthly frequency; (b) all other institutions except those specified in point (a), shall submit the information specified in Annex XII according to the instructions in Annex XIII with a monthly frequency.

2. The information set out in Annexes XII and XXIV shall take into account the information submitted for the reference date and the information on the cash-flows of the institution over the following 30 calendar days.

▼B

Article 16

Format and frequency of reporting on stable funding

In order to report information on the stable funding according to Article 415 of Regulation (EU) No 575/2013 on an individual and consolidated basis, institutions shall submit the information specified in Annex XII according to the instructions in Annex XIII with a quarterly frequency.

▼M1







CHAPTER 7a

FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 16a

Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis

1. In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.

2. The information referred to in paragraph 1 shall be submitted according to the following specifications: (a) the information specified in Parts A, B and D of Annex XVI with a quarterly frequency; (b) the information specified in Part C of Annex XVI with an annual frequency; (c) the information specified in Part E of Annex XVI with a semi-annual frequency.

3. Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met: (a) the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion; (b) the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.

4. Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council ( 1 ).

▼M4







CHAPTER 7b

FORMAT AND FREQUENCY OF REPORTING ON ADDITIONAL LIQUIDITY MONITORING METRICS ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 16b

1. In order to report information on additional liquidity monitoring metrics in accordance with Article 415(3)(b) of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit all of the following information with a monthly frequency: (a) the information specified in Annex XVIII in accordance with the instructions in Annex XIX; (b) the information specified in Annex XX in accordance with the instructions in Annex XXI; ▼M9 (c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII. ▼M4

2. By way of derogation from paragraph 1, an institution may report the information on additional liquidity monitoring metrics with a quarterly frequency where all of the following conditions are met: ▼M9 (a) the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation; ▼M4 (b) the ratio of the individual balance sheet total of the institution to the sum of individual balance sheet totals of all institutions in the respective Member State is below 1 % for two consecutive years preceding the year of reporting; (c) the institution has total assets, calculated in accordance with Council Directive 86/635/EEC ( 2 ), of less than EUR 30 billion.

For the purposes of point (b), balance sheet total figures for calculating the ratio shall be based on year-end audited figures for the year before the year preceding the reporting reference date.

3. For the purposes of the obligations set out in paragraphs 1 and 2, the first month for which information on additional liquidity monitoring metrics is to be reported shall be April 2016.

▼B







CHAPTER 8

IT SOLUTIONS FOR THE SUBMISSION OF DATA FROM INSTITUTIONS TO COMPETENT AUTHORITIES

Article 17

▼M1

1. Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications: (a) information not required or not applicable shall not be included in a data submission; (b) numeric values shall be submitted as facts according to the following: (i) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units; (ii) data points with the data type ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals; (iii) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.

▼B

2. The data submitted by the institutions shall be associated with the following information: (a) reporting reference date and reference period; (b) reporting currency; (c) accounting standard; (d) identifier of the reporting institution; (e) level of application as individual or consolidated.







CHAPTER 9

TRANSITIONAL AND FINAL PROVISIONS

Article 18

Transitional period

The remittance date for data with a quarterly reporting frequency relating to the reference date 31 March 2014 for information to be reported shall be 30 June 2014 at the latest.

For the period from 31 March 2014 to 30 April 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be 30 June 2014.

For the period from 31 May 2014 to 31 December 2014 as a deviation from point (a) of Article 3(1) the reporting remittance date relating to monthly reporting shall be the thirtieth calendar day after the reporting reference date

▼M1

In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.

▼M2

Without prejudice to Article 2, the first remittance date for templates 18 and 19 in Annex III shall be 31 December 2014. Rows and columns of templates 6, 9.1, 20.4, 20.5, and 20.7 in Annex III referring to forborne exposures and to non-performing exposures shall be completed for the remittance date 31 December 2014.

▼M4

By way of derogation from Article 3(1)(a), for the months from April 2016 to October 2016 inclusive, the reporting remittance date relating to the monthly reporting of the additional liquidity monitoring metrics shall be the thirtieth calendar day after the reporting reference date.

▼M5

For the period from 10 September 2016 to 10 March 2017, as a deviation from point (a) of Article 3(1), the reporting remittance date relating to the monthly reporting of the LCR for credit institutions shall be the 30th calendar day after the reporting reference date.

▼B

Article 19

Entry into Force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall apply from 1 January 2014.

Articles 9, 10 and 11 shall apply from 1 July 2014.

Article 15 shall apply from 1 March 2014.

▼M1

Article 16a shall apply from 1 December 2014.

▼B

This Regulation shall be binding in its entirety and directly applicable in all Member States.

▼M10









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 F