02021R0451 — EN — 19.03.2021 — 000.001

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►B COMMISSION IMPLEMENTING REGULATION (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance) (OJ L 097 19.3.2021, p. 1)





Corrected by:









▼B

COMMISSION IMPLEMENTING REGULATION (EU) 2021/451

of 17 December 2020

laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014

(Text with EEA relevance)







Article 1

Subject matter and scope

This Regulation lays down uniform reporting formats and templates, instructions on and a methodology for how to use those templates, the frequency and dates of reporting, the definitions and the IT solutions for the reporting of institutions to their competent authorities in accordance with Article 415, paragraphs 3 and 3a, of Regulation (EU) No 575/2013, and Article 430, paragraphs 1 to 4 and paragraphs 7 and 9 of that Regulation.

Article 2

Reporting reference dates

1. Institutions shall submit information to competent authorities as this information 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 Annexes III and IV, in accordance with the instructions in Annex V and 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 and of information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates is done every three, six or 12 months from their accounting year-end, respectively.

Article 3

Reporting remittance dates

1. Institutions shall submit information to competent authorities by close of business on 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 or the information for the purposes of identifying G-SIIs and assigning G-SII buffer rates using adjusted reporting reference dates based on their accounting year-end as set out in paragraph 3 of Article 2, 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 that meet the conditions set out in in Article 4(1), point (145), of Regulation (EU) No 575/2013 shall start reporting information as small and non-complex institutions on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.

2. Institutions that meet the conditions set out in Article 4(1), point (146), of Regulation (EU) No 575/2013 shall start reporting information as large institutions, on the first reporting reference date after those conditions have been met. Where institutions no longer meet those conditions, they shall stop reporting the information on the first reporting reference date thereafter.

3. Institutions shall start reporting information subject to the thresholds set out in this Regulation on the next reporting reference date after those thresholds have been exceeded on two consecutive reporting reference dates. Institutions may stop reporting information subject to the thresholds set out in this Regulation on the next reporting reference date where they have fallen below the relevant thresholds on three consecutive reporting reference dates.

Article 5

Reporting on own funds and own funds requirements on an individual basis – quarterly reporting

1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a quarterly frequency.

2. Institutions shall submit information on own funds and own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1.

3. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the standardised approach as specified in Annex I, template 7, in accordance with the instructions in Annex II, Part II, point 3.2.

4. Institutions shall submit information on credit risk and counterparty credit risk exposures treated under the internal ratings-based approach as specified in Annex I, templates 8.1 and 8.2, in accordance with the instructions in Annex II, Part II, point 3.3.

5. Institutions shall submit information on the geographical distribution of exposures by country, as well as aggregated exposures at a total level, as specified in Annex I, template 9, in accordance with the instructions in Annex II, Part II, point 3.4.

Institutions shall submit information specified in templates 9.1 and 9.2, and in particular information on the geographical distribution of exposures by country, where non-domestic original exposures in all non-domestic countries in all exposure classes, as reported in accordance with Annex I, template 4, row 0850, are equal to or higher than 10 % of total domestic and non-domestic original exposures as reported in accordance with Annex I, template 4, row 0860. Exposures shall be deemed to be domestic where they are exposures to counterparties located in the Member State where the institution is established.

The entry and exit criteria set out in Article 4 shall apply.

6. Institutions shall submit information on counterparty credit risk as specified in Annex I, templates 34.01 to 34.05 and 34.08 to 34.10, in accordance with the instructions in Annex II, Part II, point 3.9.

7. Institutions applying the standardised approach or the internal model method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 3 and 6, of Regulation (EU) No 575/2013 shall submit information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

8. Institutions shall submit information on equity exposures treated under the internal ratings-based approach as specified in Annex I, template 10, in accordance with the instructions in Annex II, Part II, point 3.5.

9. Institutions shall submit information on settlement risk as specified in Annex I, template 11, in accordance with the instructions in Annex II, Part II, point 3.6.

10. Institutions shall submit information on securitisation exposures as specified in Annex I, template 13.01, in accordance with the instructions in Annex II, Part II, point 3.7.

11. Institutions shall submit information on own funds requirements and losses relating to operational risk as specified in Annex I, template 16, in accordance with the instructions in Annex II, Part II, point 4.1.

12. Institutions shall submit information on own funds requirements relating to market risk as specified in Annex I, templates 18 to 24, in accordance with the instructions in Annex II, Part II, points 5.1 to 5.7.

13. Institutions shall submit information on own funds requirements relating to credit valuation adjustment risk as specified in Annex I, template 25, in accordance with the instructions in Annex II, Part II, point 5.8.

14. Institutions shall submit information on prudent valuation as specified in Annex I, template 32, in accordance with the instructions in Annex II, Part II, point 6, as follows: (a) all institutions shall submit the information specified in Annex I, template 32.1, in accordance with the instructions in Annex II, Part II, point 6; (b) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 ( 1 ) shall, in addition to information referred in point (a) of this paragraph, report the information specified in Annex I, template 32.2, in accordance with the instructions in Annex II, Part II, point 6; (c) institutions that apply the core approach in accordance with Commission Delegated Regulation (EU) 2016/101 and which exceed the threshold referred to in Article 4(1) of that Regulation shall, in addition to information referred in points (a) and (b) of this paragraph, report the information specified in Annex I, templates 32.3 and 32.4, in accordance with the instructions in Annex II, Part II, point 6.

For the purposes of this paragraph, the entry and exit criteria set out in Article 4 shall not apply.

15. Institutions shall submit information on the prudential backstop for non-performing exposures (NPEs) as specified in Annex I, templates 35.01, 35.02 and 35.03, in accordance with the instructions in Annex II, Part II, point 8.

Article 6

Reporting on own funds and own funds requirements on an individual basis – semi-annual reporting

1. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, institutions shall submit information referred to in this Article with a semi-annual frequency.

2. Institutions shall submit information on all securitisation exposures as specified in Annex I, templates 14 and 14.01, in accordance with the instructions in Annex II, Part II, point 3.8; except where they are part of a group in the same country in which they are subject to own funds requirements.

3. Institutions shall submit information on sovereign exposures as follows: (a) where the aggregate carrying amount of financial assets from the counterparty sector ‘General governments’ is equal to or higher than 1 % of the sum of total carrying amount for ‘Debt securities’ and ‘Loans and advances’ institutions shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, and shall follow the instructions in Annex V regarding template 4 in Annex III or Annex IV, as applicable, to calculate the relevant values; (b) where the value reported for domestic exposures of non-derivative financial assets as defined in row 0010, column 0010 in Annex I, template 33 is less than 90 % of the value reported for domestic and non-domestic exposures for the same data point institutions that meet the condition referred to in point (a) shall submit the information as specified in Annex I, template 33, in accordance with the instructions in Annex II, Part II, point 7, with a full country breakdown; (c) institutions that meet the conditions referred to in point (a) and do not meet the condition referred in point (b) shall submit the information specified in template 33, in accordance with the instructions in Annex II, Part II, point 7, with exposures aggregated at: (i) total level; and (ii) domestic level.

The entry and exit criteria of Article 4(3) shall apply.

4. Information on material losses regarding operational risk shall be reported as follows: (a) institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 4, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (b) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report that information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (c) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 3, of Regulation (EU) No 575/2013 shall report, in accordance with the instructions in Annex II, Part II, point 4.2, the following information: (i) the information as specified in Annex I, template 17.01, column 0080 for the following rows: — number of events (new events) (row 0910), — gross loss amount (new events) (row 0920), — number of events subject to loss adjustments (row 0930), — loss adjustments relating to previous reporting periods (row 0940), — maximum single loss (row 0950), — sum of the five largest losses (row 0960), — total direct loss recovery (except insurance and other risk transfer mechanisms) (row 0970), — total recoveries from insurance and other risk transfer mechanisms (row 0980); (ii) the information as specified in Annex I, template 17.02. (d) the institutions referred to in point (c) may report the complete set of information specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (e) large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 shall report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2; (f) institutions other than large institutions that calculate own funds requirements relating to operational risk in accordance with Part Three, Title III, Chapter 2, of Regulation (EU) No 575/2013 may report the information as specified in Annex I, templates 17.01 and 17.02, in accordance with the instructions in Annex II, Part II, point 4.2.

The entry and exit criteria of Article 4(3) shall apply.

5. Institutions applying the simplified standardised approach or the original exposure method for the calculation of counterparty credit risk exposures in accordance with Part Three, Title II, Chapter 6, Sections 4 and 5 Regulation (EU) No 575/2013 shall submit the information on counterparty credit risk as specified in Annex I, template 34.06, in accordance with the instructions in Annex II, Part II, point 3.9.7.

Article 7

Reporting on own funds and own funds requirements on a consolidated basis

In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in:

(a) Articles 5 and 6 of this Implementing Regulation on a consolidated basis with the frequency specified therein; and

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

Article 8

Reporting on own funds and own funds requirements – additional reporting requirements on individual and consolidated basis

1. Institutions subject to a requirement to disclose the information referred to in Article 438, points (e) or (h), or Article 452, points (b), (g) or (h), of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on credit risk and counterparty credit risk, as specified in Annex I, templates 8.3, 8.4, 8.5, 8.5.1, 8.6, 8.7 and 34.11, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, points 3.3 and 3.9.12, to this Regulation.

2. Institutions subject to a requirement to disclose the information referred to in point (l) of Article 439 of Regulation (EU) No 575/2013 with the frequency set out in Article 433a or Article 433c, as applicable, on an individual basis in accordance with Article 6 or on a consolidated basis in accordance with Article 13, as applicable, of that Regulation, shall submit the information on counterparty credit risk, as specified in Annex I, template 34.07, to this Regulation, with the same frequency and on the same basis, following the instructions in Annex II, Part II, point 3.9.8, to this Regulation.

Article 9

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

1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.

2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, with the exception of information on the leverage ratio, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 95 of Regulation (EU) No 575/2013 shall submit the information specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency.

3. In order to report information on own funds and own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual basis, investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the information referred to in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13), and Article 6(2) of this Regulation with the frequency laid down in those Articles.

Article 10

Reporting on own funds and own funds requirements for groups that consist only of investment firms subject to Articles 95 and 96 of Regulation (EU) No 575/2013 on a consolidated basis

1. Investment firms that apply the transitional provisions of Article 57(3) of Regulation (EU) 2019/2033 shall submit information as set out in this Article.

2. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, with the exception of information on the leverage ratio, investment firms of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference 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 on own funds requirements as specified in Annex I, templates 1 to 5, in accordance with the instructions in Annex II, Part II, point 1, with a quarterly frequency; (b) the information on own funds and on own funds requirements regarding entities included in the scope of consolidation as specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

3. In order to report information on own funds and on own funds requirements in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on a consolidated basis, investment firms of groups that consist only of investment firms subject to Article 95 and investment firms subject to Article 96 or of groups that consist only of investment firms making use of Article 57(3) of Regulation (EU) 2019/2033 with reference to Article 96 of Regulation (EU) No 575/2013 shall submit the following information on a consolidated basis: (a) the information specified in Article 5, paragraphs (1) to (5) and paragraphs (8) to (13) Article 6(2) of this Regulation with the frequency laid down in those Articles; (b) the information regarding entities included in the scope of consolidation specified in Annex I, template 6, in accordance with the instructions in Annex II, Part II, point 2, with a semi-annual frequency.

Article 11

Reporting on financial information on a consolidated basis for institutions subject to Regulation (EC) No 1606/2002 of the European Parliament and of the Council ( 2 )

1. In order to report financial information on a consolidated basis in accordance with Article 430(3) or (4) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex III on a consolidated basis, in accordance with the instructions in Annex V.

2. The information referred to in paragraph 1 shall be submitted as follows: (a) the information specified in Annex III, Part 1, with a quarterly frequency; (b) the information specified in Annex III, Part 3, with a semi-annual frequency; (c) the information specified in Annex III, Part 4, with the exception of the information specified in template 47, with an annual frequency; (d) the information specified in Annex III, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph; (e) the information specified in Annex III, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex III, Part 1,template 1.1; (f) the information specified in Annex III, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex III, Part 1, template 2; (g) the information specified in Annex III, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled: (i) the institution is not a small and non-complex institution; (ii) the ratio between the institution’s gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of that Regulation is equal to or higher than 5 %; (h) the information specified in Annex III, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purpose of point (g)(ii), the ratio shall not include loans and advances classified as held for sale, cash balances at central banks and other demand deposits in either the denominator or the numerator.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 12

Reporting on financial information on a consolidated basis for institutions applying national accounting frameworks

1. Where a competent authority has extended the reporting requirements on financial information to institutions established in a Member State in accordance with Article 430(9) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex IV to this Regulation on a consolidated basis, in accordance with the instructions in Annex V to this Regulation.

2. The information referred to in paragraph 1 shall be submitted as follows: (a) the information specified in Annex IV, Part 1, with a quarterly frequency; (b) the information specified in Annex IV, Part 3, with a semi-annual frequency; (c) the information specified in Annex IV, Part 4, with the exception of the information specified in template 47, with an annual frequency; (d) the information specified in Annex IV, Part 2, template 20, with a quarterly frequency where the institution exceeds the threshold laid down in Article 5(5), the second subparagraph; (e) the information specified in Annex IV, Part 2, template 21, with a quarterly frequency where tangible assets subject to operating leases are equal to or higher than 10 % of total tangible assets as reported in accordance with Annex IV, Part 1, template 1.1; (f) the information specified in Annex IV, Part 2, template 22, with a quarterly frequency where net fee and commission income is equal to or higher than 10 % of the sum of net fee and commission income and net interest income as reported in accordance with Annex IV, Part 1, template 2; (g) the information specified in Annex IV, Part 2, templates 23 to 26, with a quarterly frequency where both of the following conditions are fulfilled: (i) the institution is not a small and non-complex; (ii) the institution’s ratio as specified in Article 11(2), point (g)(ii) is equal to or higher than 5 %; (h) the information specified in Annex IV, Part 4, template 47, with an annual frequency where both of the conditions set out in point (g) of this paragraph are fulfilled.

For the purposes of points (d) to (h) of this paragraph, the entry and exit criteria referred to in Article 4(3) shall apply.

Article 13

Reporting on losses stemming from lending collateralised by immovable property in accordance with Article 430a(1) of Regulation (EU) No 575/2013 on an individual and a consolidated basis

1. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a consolidated basis with an annual frequency.

2. Institutions shall submit the information as specified in Annex VI, in accordance with the instructions in Annex VII, on a individual basis with an annual frequency.

3. Where an institution has a branch in another Member State, that branch shall submit to the competent authority of the host Member State the information specified in Annex VI related to that branch, in accordance with the instructions in Annex VII, with an annual frequency.

Article 14

Reporting on large exposures on an individual and a consolidated basis

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

2. In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions subject to Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

3. In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital in accordance with Article 394(1) of Regulation (EU) No 575/2013 on a consolidated basis, institutions shall submit the information specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

4. In order to report information on the 10 largest exposures to institutions on a consolidated basis, and on the 10 largest exposures to shadow banking entities that carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2) of Regulation (EU) No 575/2013, institutions shall submit the information as specified in Annex VIII, in accordance with the instructions in Annex IX, with a quarterly frequency.

Article 15

Reporting on leverage ratio on an individual and a consolidated basis

1. In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.

2. The information specified in Annex X, template 40.00, cell {r0410;c0010} shall be reported only by: (a) large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency; (b) large institutions other than G-SIIs that are not listed institutions with an annual frequency; (c) institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.

3. Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of Regulation (EU) No 575/2013.

4. Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met: (a) the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %; (b) the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.

If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

5. Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10 000 million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article.

For the purposes of this paragraph, the entry criteria of Article 4(3) shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

6. Institutions are required to report the information referred to in Annex XI, Part II, point 14, where at least one of the following conditions is met: (a) the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million; (b) the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

Article 16

Reporting on the liquidity coverage requirement on an individual and a consolidated basis

1. In order to report information on the liquidity coverage requirement in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXIV to this Regulation, in accordance with the instructions in Annex XXV to this Regulation, with a monthly frequency;

2. The information set out in Annex 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.

Article 17

Reporting on stable funding on an individual and a consolidated basis

In order to report information on stable funding in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XII, in accordance with the instructions in Annex XIII, with a quarterly frequency as follows:

(a) small and non-complex institutions that have chosen to calculate their net stable funding ratio (NSFR) using the methodology set out in Part Six, Title IV, Chapters 6 and 7 of Regulation (EU) No 575/2013, with the prior permission of their competent authority in accordance with Article 428ai of that Regulation, shall submit templates 82 and 83 of Annex XII to this Regulation, in accordance with the instructions in Annex XIII to this Regulation;

(b) institutions other than those referred to in point (a) shall submit templates 80 and 81 of Annex XII, in accordance with the instructions in Annex XIII;

(c) all institutions shall submit template 84 of Annex XII, in accordance with the instructions in Annex XIII.

Article 18

Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

1. In order to report information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), 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; (c) the information specified in Annex XXII in accordance with the instructions in Annex XXIII.

2. By way of derogation from paragraph 1, an institution that meets all the conditions set out in Article 4(1), point (145), of Regulation (EU) No 575/2013 may report the information on additional liquidity monitoring metrics with a quarterly frequency.

Article 19

Reporting on asset encumbrance on an individual and a consolidated basis

1. In order to report information on asset encumbrance in accordance with Article 430(1), point (g), 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, in accordance with the instructions set out in Annex XVII to this Regulation.

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

3. Institutions shall not be required to report the information specified in Annex XVI, Parts B, C and E, where both of the following conditions are met: (a) the institution is not considered a large institution; (b) the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is below 15 %.

The entry and exit criteria of Article 4(3) shall apply.

4. Institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), the first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council ( 3 ).

The entry and exit criteria of Article 4(3) shall apply.

Article 20

Supplementary reporting on a consolidated basis for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1. In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI, in accordance with the instructions in Annex XXVII, on a consolidated basis with a quarterly frequency.

2. EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall only submit the information referred to in paragraph 1, where both of the following conditions are met: (a) the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000 million; (b) the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council ( 4 ).

3. By way of derogation from Article 3(1), point (b), the information referred to in paragraph 1 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.

4. By way of derogation from Article 4, the following shall apply with regard to the threshold specified in paragraph 2, point (a), of this Article: (a) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates; (b) the EU parent institution, EU parent financial holding or EU parent mixed financial holding shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

Article 21

Data exchange formats and information accompanying submissions

1. Institutions shall submit the information in the data exchange formats and representations specified by the competent authorities and respecting the data point definition of the data point model referred to in Annex XIV and the validation formulae referred to in Annex XV as well as the following specifications: (a) information that is not required or not applicable shall not be included in a data submission; (b) numerical values shall be submitted as follows: (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; (c) institutions and insurance undertakings shall be identified solely by their Legal Entity Identifier (LEI); (d) legal entities and counterparties other than institutions and insurance undertakings shall be identified by their LEI where available.

2. Institutions shall accompany the submitted data by the following information: (a) reporting reference date and reference period; (b) reporting currency; (c) accounting standard; (d) Legal Entity Identifier (LEI) of the reporting institution; (e) scope of consolidation.

Article 22

Repeal of Implementing Regulation (EU) No 680/2014

Implementing Regulation (EU) No 680/2014 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 23

Entry into force and application

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

It shall apply from 28 June 2021.

Notwithstanding the second paragraph of this Article, reporting on leverage ratio buffer requirement for institutions identified as G-SIIs provided for in template 47 of Annex X shall apply from 1 January 2023.

Articles 9 and 10 shall cease to apply on 26 June 2026.

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









ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS







COREP TEMPLATES Template number Template code Name of the template /group of templates Short name CAPITAL ADEQUACY CA 1 C 01.00 OWN FUNDS CA1 2 C 02.00 OWN FUNDS REQUIREMENTS CA2 3 C 03.00 CAPITAL RATIOS CA3 4 C 04.00 MEMORANDUM ITEMS CA4 TRANSITIONAL PROVISIONS CA5 5.1 C 05.01 TRANSITIONAL PROVISIONS CA5.1 5.2 C 05.02 GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID CA5.2 GROUP SOLVENCY GS 6.1 C 06.01 GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL GS Total 6.2 C 06.02 GROUP SOLVENCY: INFORMATION ON AFFILIATES GS CREDIT RISK CR 7 C 07.00 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS CR SA CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 8.1 C 08.01 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 1 8.2 C 08.02 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) CR IRB 2 8.3 C 08.03 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES CR IRB 3 8.4 C 08.04 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS CR IRB 4 8.5 C 08.05 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD CR IRB 5 8.5.1 C 08.05.1 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) 8.6 C 08.06 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH CR IRB 6 8.7 C 08.07 CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES CR IRB 7 GEOGRAPHICAL BREAKDOWN CR GB 9.1 C 09.01 Table 9.1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) CR GB 1 9.2 C 09.02 Table 9.2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) CR GB 2 9.4 C 09.04 Table 9.4 - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate CCB CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 10.1 C 10.01 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS CR EQU IRB 1 10.2 C 10.02 CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: CR EQU IRB 2 11 C 11.00 SETTLEMENT/DELIVERY RISK CR SETT 13.1 C 13.01 CREDIT RISK: SECURITISATIONS CR SEC 14 C 14.00 DETAILED INFORMATION ON SECURITISATIONS CR SEC Details 14.1 C 14.01 DETAILED INFORMATION ON SECURITISATIONS BY APPROACH CR SEC Details 2 COUNTERPARTY CREDIT RISK CCR 34.01 C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS CCR 1 34.02 C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH CCR 2 34.03 C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR CCR 3 34.04 C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE THE ORIGINAL EXPOSURE METHOD (OEM) CCR 4 34.05 C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) CCR 5 34.06 C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES CCR 6 34.07 C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE CCR 7 34.08 C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES CCR 8 34.09 C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES CCR 9 34.10 C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs CCR 10 34.11 C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM CCR 11 OPERATIONAL RISK OPR 16 C 16.00 OPERATIONAL RISK OPR OPERATIONAL RISK: LOSSES AND RECOVERIES 17.1 C 17.01 OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR OPR DETAILS 1 17.2 C 17.02 OPERATIONAL RISK: LARGE LOSS EVENTS OPR DETAILS 2 MARKET RISK MKR 18 C 18.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS MKR SA TDI 19 C 19.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS MKR SA SEC 20 C 20.00 MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO MKR SA CTP 21 C 21.00 MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES MKR SA EQU 22 C 22.00 MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK MKR SA FX 23 C 23.00 MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES MKR SA COM 24 C 24.00 MARKET RISK INTERNAL MODELS MKR IM 25 C 25.00 CREDIT VALUE ADJUSTMENT RISK CVA PRUDENT VALUATION MKR 32.1 C 32.01 PRUDENT VALUATION: FAIR-VALUED ASSETS AND LIABILITIES PRUVAL 1 32.2 C 32.02 PRUDENT VALUATION: CORE APPROACH PRUVAL 2 32.3 C 32.03 PRUDENT VALUATION: MODEL RISK AVA PRUVAL 3 32.4 C 32.04 PRUDENT VALUATION: CONCENTRATED POSITIONS AVA PRUVAL 4 GENERAL GOVERNMENTS EXPOSURES MKR 33 C 33.00 GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY GOV NPE LOSS COVERAGE NPE LC 35.1 C 35.01 NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES NPE LC1 35.2 C 35.02 NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING EXPOSURES EXCLUDING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR NPE LC2 35.3 C 35.03 NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) OF THE CRR NPE LC3







C 01.00 - OWN FUNDS (CA1) Rows ID Item Amount 0010 1 OWN FUNDS 0015 1.1 TIER 1 CAPITAL 0020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 0030 1.1.1.1 Capital instruments eligible as CET1 Capital 0040 1.1.1.1.1 Fully paid up capital instruments 0045 1.1.1.1.1* Of which: Capital instruments subscribed by public authorities in emergency situations 0050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 0060 1.1.1.1.3 Share premium 0070 1.1.1.1.4 (-) Own CET1 instruments 0080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 0090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 0091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 0092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 0130 1.1.1.2 Retained earnings 0140 1.1.1.2.1 Previous years retained earnings 0150 1.1.1.2.2 Profit or loss eligible 0160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 0170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 0180 1.1.1.3 Accumulated other comprehensive income 0200 1.1.1.4 Other reserves 0210 1.1.1.5 Funds for general banking risk 0220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 0230 1.1.1.7 Minority interest given recognition in CET1 capital 0240 1.1.1.8 Transitional adjustments due to additional minority interests 0250 1.1.1.9 Adjustments to CET1 due to prudential filters 0260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 0270 1.1.1.9.2 Cash flow hedge reserve 0280 1.1.1.9.3 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 0285 1.1.1.9.4 Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities 0290 1.1.1.9.5 (-) Value adjustments due to the requirements for prudent valuation 0300 1.1.1.10 (-) Goodwill 0310 1.1.1.10.1 (-) Goodwill accounted for as intangible asset 0320 1.1.1.10.2 (-) Goodwill included in the valuation of significant investments 0330 1.1.1.10.3 Deferred tax liabilities associated to goodwill 0335 1.1.1.10.4 Accounting revaluation of subsidiaries' goodwill derived from the consolidation of subsidiaries attributable to third persons 0340 1.1.1.11 (-) Other intangible assets 0350 1.1.1.11.1 (-) Other intangible assets before deduction of deferred tax liabilities 0360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets 0365 1.1.1.11.3 Accounting revaluation of subsidiaries' other intangible assets derived from the consolidation of subsidiaries attributable to third persons 0370 1.1.1.12 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 0380 1.1.1.13 (-) IRB shortfall of credit risk adjustments to expected losses 0390 1.1.1.14 (-) Defined benefit pension fund assets 0400 1.1.1.14.1 (-) Defined benefit pension fund assets 0410 1.1.1.14.2 Deferred tax liabilities associated to defined benefit pension fund assets 0420 1.1.1.14.3 Defined benefit pension fund assets which the institution has an unrestricted ability to use 0430 1.1.1.15 (-) Reciprocal cross holdings in CET1 Capital 0440 1.1.1.16 (-) Excess of deduction from AT1 items over AT1 Capital 0450 1.1.1.17 (-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1 250 % risk weight 0460 1.1.1.18 (-) Securitisation positions which can alternatively be subject to a 1 250 % risk weight 0470 1.1.1.19 (-) Free deliveries which can alternatively be subject to a 1 250 % risk weight 0471 1.1.1.20 (-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject to a 1 250 % risk weight 0472 1.1.1.21 (-) Equity exposures under an internal models approach which can alternatively be subject to a 1 250 % risk weight 0480 1.1.1.22 (-) CET1 instruments of financial sector entites where the institution does not have a significant investment 0490 1.1.1.23 (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 0500 1.1.1.24 (-) CET1 instruments of financial sector entities where the institution has a significant investment 0510 1.1.1.25 (-) Amount exceeding the 17.65 % threshold 0511 1.1.1.25.1 (-) Amount exceeding the 17.65 % threshold related to CET1 instruments of financial sector entities where the institution has a significant investment 0512 1.1.1.25.2 (-) Amount exceeding the 17.65 % threshold related to deferred tax assets arising from temporary differences 0513 1.1.1.25A (-) Insufficient coverage for non-performing exposures 0514 1.1.1.25B (-) Minimum value commitment shortfalls 0515 1.1.1.25C (-) Other foreseeable tax charges 0520 1.1.1.26 Other transitional adjustments to CET1 Capital 0524 1.1.1.27 (-) Additional deductions of CET1 Capital due to Article 3 CRR 0529 1.1.1.28 CET1 capital elements or deductions - other 0530 1.1.2 ADDITIONAL TIER 1 CAPITAL 0540 1.1.2.1 Capital instruments eligible as AT1 Capital 0551 1.1.2.1.1 Fully paid up, directly issued capital instruments 0560 1.1.2.1.2* Memorandum item: Capital instruments not eligible 0571 1.1.2.1.3 Share premium 0580 1.1.2.1.4 (-) Own AT1 instruments 0590 1.1.2.1.4.1 (-) Direct holdings of AT1 instruments 0620 1.1.2.1.4.2 (-) Indirect holdings of AT1 instruments 0621 1.1.2.1.4.3 (-) Synthetic holdings of AT1 instruments 0622 1.1.2.1.5 (-) Actual or contingent obligations to purchase own AT1 instruments 0660 1.1.2.2 Transitional adjustments due to grandfathered AT1 Capital instruments 0670 1.1.2.3 Instruments issued by subsidiaries that are given recognition in AT1 Capital 0680 1.1.2.4 Transitional adjustments due to additional recognition in AT1 Capital of instruments issued by subsidiaries 0690 1.1.2.5 (-) Reciprocal cross holdings in AT1 Capital 0700 1.1.2.6 (-) AT1 instruments of financial sector entities where the institution does not have a significant investment 0710 1.1.2.7 (-) AT1 instruments of financial sector entities where the institution has a significant investment 0720 1.1.2.8 (-) Excess of deduction from T2 items over T2 Capital 0730 1.1.2.9 Other transitional adjustments to AT1 Capital 0740 1.1.2.10 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 0744 1.1.2.11 (-) Additional deductions of AT1 Capital due to Article 3 CRR 0748 1.1.2.12 AT1 capital elements or deductions - other 0750 1.2 TIER 2 CAPITAL 0760 1.2.1 Capital instruments eligible as T2 Capital 0771 1.2.1.1 Fully paid up, directly issued capital instruments 0780 1.2.1.2* Memorandum item: Capital instruments not eligible 0791 1.2.1.3 Share premium 0800 1.2.1.4 (-) Own T2 instruments 0810 1.2.1.4.1 (-) Direct holdings of T2 instruments 0840 1.2.1.4.2 (-) Indirect holdings of T2 instruments 0841 1.2.1.4.3 (-) Synthetic holdings of T2 instruments 0842 1.2.1.5 (-) Actual or contingent obligations to purchase own T2 instruments 0880 1.2.2 Transitional adjustments due to grandfathered T2 Capital instruments 0890 1.2.3 Instruments issued by subsidiaries that are given recognition in T2 Capital 0900 1.2.4 Transitional adjustments due to additional recognition in T2 Capital of instruments issued by subsidiaries 0910 1.2.5 IRB Excess of provisions over expected losses eligible 0920 1.2.6 SA General credit risk adjustments 0930 1.2.7 (-) Reciprocal cross holdings in T2 Capital 0940 1.2.8 (-) T2 instruments of financial sector entities where the institution does not have a significant investment 0950 1.2.9 (-) T2 instruments of financial sector entities where the institution has a significant investment 0955 1.2.9A (-) Excess of deductions from eligible liabilities over eligible liabilities 0960 1.2.10 Other transitional adjustments to T2 Capital 0970 1.2.11 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 0974 1.2.12 (-) Additional deductions of T2 Capital due to Article 3 CRR 0978 1.2.13 T2 capital elements or deductions - other







C 02.00 - OWN FUNDS REQUIREMENTS (CA2) Rows Item Label Amount 0010 1 TOTAL RISK EXPOSURE AMOUNT 0020 1* Of which: Investment firms under Article 95 paragraph 2 and Article 98 CRR 0030 1** Of which: Investment firms under Article 96 paragraph 2 and Article 97 CRR 0040 1.1 RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES 0050 1.1.1 Standardised approach (SA) 0051 1.1.1* Of which: Additional stricter prudential requirements based on Article 124 CRR 0060 1.1.1.1 SA exposure classes excluding securitisation positions 0070 1.1.1.1.01 Central governments or central banks 0080 1.1.1.1.02 Regional governments or local authorities 0090 1.1.1.1.03 Public sector entities 0100 1.1.1.1.04 Multilateral Development Banks 0110 1.1.1.1.05 International Organisations 0120 1.1.1.1.06 Institutions 0130 1.1.1.1.07 Corporates 0140 1.1.1.1.08 Retail 0150 1.1.1.1.09 Secured by mortgages on immovable property 0160 1.1.1.1.10 Exposures in default 0170 1.1.1.1.11 Items associated with particular high risk 0180 1.1.1.1.12 Covered bonds 0190 1.1.1.1.13 Claims on institutions and corporates with a short-term credit assessment 0200 1.1.1.1.14 Collective investments undertakings (CIU) 0210 1.1.1.1.15 Equity 0211 1.1.1.1.16 Other items 0240 1.1.2 Internal ratings based Approach (IRB) 0241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 CRR 0242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 CRR 0250 1.1.2.1 IRB approaches when neither own estimates of LGD nor Conversion Factors are used 0260 1.1.2.1.01 Central governments and central banks 0270 1.1.2.1.02 Institutions 0280 1.1.2.1.03 Corporates - SME 0290 1.1.2.1.04 Corporates - Specialised Lending 0300 1.1.2.1.05 Corporates - Other 0310 1.1.2.2 IRB approaches when own estimates of LGD and/or Conversion Factors are used 0320 1.1.2.2.01 Central governments and central banks 0330 1.1.2.2.02 Institutions 0340 1.1.2.2.03 Corporates - SME 0350 1.1.2.2.04 Corporates - Specialised Lending 0360 1.1.2.2.05 Corporates - Other 0370 1.1.2.2.06 Retail - Secured by real estate SME 0380 1.1.2.2.07 Retail - Secured by real estate non-SME 0390 1.1.2.2.08 Retail - Qualifying revolving 0400 1.1.2.2.09 Retail - Other SME 0410 1.1.2.2.10 Retail - Other non-SME 0420 1.1.2.3 Equity IRB 0450 1.1.2.5 Other non credit-obligation assets 0460 1.1.3 Risk exposure amount for contributions to the default fund of a CCP 0470 1.1.4 Securitisation positions 0490 1.2 TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY 0500 1.2.1 Settlement/delivery risk in the non-Trading book 0510 1.2.2 Settlement/delivery risk in the Trading book 0520 1.3 TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS 0530 1.3.1 Risk exposure amount for position, foreign exchange and commodities risks under standardised approaches (SA) 0540 1.3.1.1 Traded debt instruments 0550 1.3.1.2 Equity 0555 1.3.1.3 Particular approach for position risk in CIUs 0556 1.3.1.3* Memo item: CIUs exclusively invested in traded debt instruments 0557 1.3.1.3** Memo item: CIUs invested exclusively in equity instruments or in mixed instruments 0560 1.3.1.4 Foreign Exchange 0570 1.3.1.5 Commodities 0580 1.3.2 Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) 0590 1.4 TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) 0600 1.4.1 OpR Basic indicator approach (BIA) 0610 1.4.2 OpR Standardised (STA) / Alternative Standardised (ASA) approaches 0620 1.4.3 OpR Advanced measurement approaches (AMA) 0630 1.5 ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS 0640 1.6 TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT 0650 1.6.1 Advanced method 0660 1.6.2 Standardised method 0670 1.6.3 Based on OEM 0680 1.7 TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK 0690 1.8 OTHER RISK EXPOSURE AMOUNTS 0710 1.8.2 Of which: Additional stricter prudential requirements based on Article 458 CRR 0720 1.8.2* Of which: requirements for large exposures 0730 1.8.2** Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property 0740 1.8.2*** Of which: due to intra financial sector exposures 0750 1.8.3 Of which: Additional stricter prudential requirements based on Article 459 CRR 0760 1.8.4 Of which: Additional risk exposure amount due to Article 3 CRR







C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3) Rows ID Item Amount 0010 1 CET1 Capital ratio 0020 2 Surplus(+)/Deficit(-) of CET1 capital 0030 3 T1 Capital ratio 0040 4 Surplus(+)/Deficit(-) of T1 capital 0050 5 Total capital ratio 0060 6 Surplus(+)/Deficit(-) of total capital Memorandum Items: Total SREP Capital Requirement (TSCR), Overall Capital Requirement (OCR) and Pillar 2 Guidance (P2G) 0130 13 Total SREP capital requirement (TSCR) ratio 0140 13* TSCR: to be made up of CET1 capital 0150 13** TSCR: to be made up of Tier 1 capital 0160 14 Overall capital requirement (OCR) ratio 0170 14* OCR: to be made up of CET1 capital 0180 14** OCR: to be made up of Tier 1 capital 0190 15 OCR and Pillar 2 Guidance (P2G) 0200 15* OCR and P2G: to be made up of CET1 capital 0210 15** OCR and P2G: to be made up of Tier 1 capital 0220 16 Surplus(+)/Deficit(-) of CET1 capital considering the requirements of Article 92 CRR and 104a CRD Memorandum Items: Capital ratios without application of the transitional provisions on IFRS 9 0300 20 CET1 Capital ratio without application of the transitional provisions on IFRS 9 0310 21 T1 Capital ratio without application of the transitional provisions on IFRS 9 0320 22 Total capital ratio without application of the transitional provisions on IFRS 9







C 04.00 - MEMORANDUM ITEMS (CA4) Row ID Item Column Deferred tax assest and liabilities 0010 0010 1 Total deferred tax assets 0020 1.1 Deferred tax assets that do not rely on future profitability 0030 1.2 Deferred tax assets that rely on future profitability and do not arise from temporary differences 0040 1.3 Deferred tax assets that rely on future profitability and arise from temporary differences 0050 2 Total deferred tax liabilities 0060 2.1 Deferred tax liabilities non deductible from deferred tax assets that rely on future profitability 0070 2.2 Deferred tax liabilities deductible from deferred tax assets that rely on future profitability 0080 2.2.1 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 0090 2.2.2 Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and arise from temporary differences 0093 2A Tax overpayments and tax loss carry backs 0096 2B Deferred Tax Assets subject to a risk weight of 250% 0097 2C Deferred Tax Assets subject to a risk weight of 0% Exception from deductions from CET1 0901 2W Exception from deduction of intangible assets from CET1 Accounting classification of AT1 instruments 0905 2Y Capital instruments and the related share premium accounts classified as equity under applicable accounting standards 0906 2Z Capital instruments and the related share premium accounts classified as liabilities under applicable accounting standards Credit risk adjustments and expected losses 0100 3 IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses for non defaulted exposures 0110 3.1 Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the expected loss amount 0120 3.1.1 General credit risk adjustments 0130 3.1.2 Specific credit risk adjustments 0131 3.1.3 Additional value adjustments and other own funds reductions 0140 3.2 Total expected losses eligible 0145 4 IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures 0150 4.1 Specific credit risk adjustments and positions treated similarily 0155 4.2 Total expected losses eligible 0160 5 Risk weighted exposure amounts for calculating the cap to the excess of provision eligible as T2 0170 6 Total gross provisions eligible for inclusion in T2 capital 0180 7 Risk weighted exposure amounts for calculating the cap to the provision eligible as T2 Thresholds for Common Equity Tier 1 deductions 0190 8 Threshold non deductible of holdings in financial sector entities where an institution does not have a significant investment 0200 9 10% CET1 threshold 0210 10 17.65% CET1 threshold 0225 11 Eligible capital for the purposes of qualifying holdings outside the financial sector Investments in the capital of financial sector entities where the institution does not have a significant investment 0230 12 Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 0240 12.1 Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0250 12.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0260 12.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0270 12.2 Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0280 12.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0290 12.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0291 12.3 Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0292 12.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment 0293 12.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0300 13 Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions 0310 13.1 Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0320 13.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0330 13.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0340 13.2 Indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0350 13.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0360 13.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0361 13.3 Synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0362 13.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution does not have a significant investment 0363 13.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0370 14 Holdings of T2 capital of financial sector entities where the institution does not have a significant investment, net of short positions 0380 14.1 Direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0390 14.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0400 14.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0410 14.2 Indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0420 14.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0430 14.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0431 14.3 Synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0432 14.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution does not have a significant investment 0433 14.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Investments in the capital of financial sector entities where the institution has a significant investment 0440 15 Holdings of CET1 capital of financial sector entities where the institution has a significant investment, net of short positions 0450 15.1 Direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 0460 15.1.1 Gross direct holdings of CET1 capital of financial sector entities where the institution has a significant investment 0470 15.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0480 15.2 Indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 0490 15.2.1 Gross indirect holdings of CET1 capital of financial sector entities where the institution has a significant investment 0500 15.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0501 15.3 Synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 0502 15.3.1 Gross synthetic holdings of CET1 capital of financial sector entities where the institution has a significant investment 0503 15.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0504 15A Investments in CET1 capital of financial sector entities where the institution has a significant investment - subject to a risk weight of 250% 0510 16 Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions 0520 16.1 Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 0530 16.1.1 Gross direct holdings of AT1 capital of financial sector entities where the institution has a significant investment 0540 16.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0550 16.2 Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 0560 16.2.1 Gross indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment 0570 16.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0571 16.3 Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 0572 16.3.1 Gross synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment 0573 16.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above 0580 17 Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions 0590 17.1 Direct holdings of T2 capital of financial sector entities where the institution has a significant investment 0600 17.1.1 Gross direct holdings of T2 capital of financial sector entities where the institution has a significant investment 0610 17.1.2 (-) Permitted offsetting short positions in relation to the direct gross holdings included above 0620 17.2 Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 0630 17.2.1 Gross indirect holdings of T2 capital of financial sector entities where the institution has a significant investment 0640 17.2.2 (-) Permitted offsetting short positions in relation to the indirect gross holdings included above 0641 17.3 Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 0642 17.3.1 Gross synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment 0643 17.3.2 (-) Permitted offsetting short positions in relation to the synthetic gross holdings included above Total risk exposure amounts of holdings not deducted from the corresponding capital category: 0650 18 Risk weighted exposures of CET1 holdings in financial sector entities which are not deducted from the institution's CET1 capital 0660 19 Risk weighted exposures of AT1 holdings in financial sector entities which are not deducted from the institution's AT1 capital 0670 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 0680 21 Holdings on CET1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 0690 22 Holdings on CET1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 0700 23 Holdings on AT1 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 0710 24 Holdings on AT1 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived 0720 25 Holdings on T2 Capital Instruments of financial sector entities where the institution does not have a significant investment temporary waived 0730 26 Holdings on T2 Capital Instruments of financial sector entities where the institution has a significant investment temporary waived Capital buffers 0740 27 Combined buffer requirement 0750 Capital conservation buffer 0760 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State 0770 Institution specific countercyclical capital buffer 0780 Systemic risk buffer 0800 Global Systemically Important Institution buffer 0810 Other Systemically Important Institution buffer Pillar II requirements 0820 28 Own funds requirements related to Pillar II adjustments Additional information for investment firms 0830 29 Initial capital 0840 30 Own funds based on Fixed Overheads Additional information for calculation of reporting thresholds 0850 31 Non-domestic original exposures 0860 32 Total original exposures







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 0010 0020 0030 0040 0050 0060 0010 1 TOTAL ADJUSTMENTS 0020 1.1 GRANDFATHERED INSTRUMENTS link to {CA1;r0220} link to {CA1;r0660} link to {CA1;r0880} 0060 1.1.2 Instruments not constituting state aid 0061 1.1.3 Instruments issued through special purpose vehicles 0062 1.1.4 Instruments issued before 27 June 2019 that do not meet the eligibility criteria related to write-down and conversion powers pursuant to Article 59 BRRD or are subject to set-off or netting arrangements 0063 1.1.4.1* of which: Instruments without legally or contractually mandatory write-down or conversion upon exercise of Article 59 BRRD powers 0064 1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of Article 59 BRRD powers 0065 1.1.4.3* of which: Instruments subject to set-off or netting arrangements 0070 1.2 MINORITY INTERESTS AND EQUIVALENTS link to {CA1;r0240} link to {CA1;r0680} link to {CA1;r0900} 0080 1.2.1 Capital instruments and items that do not qualify as minority interests 0090 1.2.2 Transitional recognition in consolidated own funds of minority interests 0091 1.2.3 Transitional recognition in consolidated own funds of qualifying Additional Tier 1 capital 0092 1.2.4 Transitional recognition in consolidated own funds of qualifying Tier 2 capital 0100 1.3 OTHER TRANSITIONAL ADJUSTMENTS link to {CA1;r0520} link to {CA1;r0730} link to {CA1;r0960} 0111 1.3.1.6 Unrealised gains and losses from certain debt exposures to central governments, regional governments, local authorities and PSEs 0112 1.3.1.6.1 of which: amount A 0140 1.3.2 Deductions 0170 1.3.2.3 Deferred tax assets that rely on future profitability and do not arise from temporary differences 0380 1.3.2.9 Deferred tax assets that are dependent on future profitability and arise from temporary differences and CET1 instruments of financial sector entities where the institution has a significant investment 0385 1.3.2.9a Deferred tax assets that are dependent on future profitability and arise from temporary differences 0425 1.3.2.11 Exemption from deduction of Equity Holdings in Insurance Companies from CET 1 Items 0430 1.3.3 Additional filters and deductions 0440 1.3.4 Adjustments due to IFRS 9 transitional arrangements 0441 1.3.4.1 Memorandum item: ECL impact of the static component 0442 1.3.4.2 Memorandum item: ECL impact of the dynamic component for the period 1.1.2018 – 31.12.2019 0443 1.3.4.3 Memorandum item: ECL impact of the dynamic component for the period starting on 1.1.2020







C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2) Amount of instruments plus related share premium Base for calculating the limit Applicable percentage Limit (-) Amount that exceeds the limits for grandfathering Total grandfathered amount Code ID Item 0010 0020 0030 0040 0050 0060 0010 1. Instruments that qualified for point (a) of Article 57 of 2006/48/EC link to {CA5.1;r060;c010) 0020 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 CRR link to {CA5.1;r060;c020) 0030 2.1 Total instruments without a call or an incentive to redeem 0040 2.2. Grandfathered instruments with a call and incentive to redeem 0050 2.2.1 Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 52 CRR after the date of effective maturity 0060 2.2.2 Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 52 CRR after the date of effective maturity 0070 2.2.3 Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 52 CRR after the date of effective maturity 0080 2.3 Excess on the limit of CET1 grandfathered instruments 0090 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 CRR link to {CA5.1;r060;c030) 0100 3.1 Total items without an incentive to redeem 0110 3.2 Grandfathered items with an incentive to redeem 0120 3.2.1 Items with a call exercisable after the reporting date, and which meet the conditions in Article 63 CRR after the date of effective maturity 0130 3.2.2 Items with a call exercisable after the reporting date, and which do not meet the conditions in Article 63 CRR after the date of effective maturity 0140 3.2.3 Items with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 63 CRR after the date of effective maturity 0150 3.3 Excess on the limit of AT1 grandfathered instruments







C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL) INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP CAPITAL BUFFERS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIREMENTS CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0470 0480 0010 TOTAL







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 TYPE OF CODE NATIONAL CODE INSTITUTION OR EQUIVALENT (YES/NO) TYPE OF ENTITY SCOPE OF DATA: SOLO FULLY CONSOLIDATED (SF) OR SOLO PARTIALLY CONSOLIDATED (SP) COUNTRY CODE SHARE OF HOLDING (%) OWN FUNDS TOTAL RISK EXPOSURE AMOUNT QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS CONSOLIDATED OWN FUNDS COMBINED BUFFER REQUIREMENT TOTAL RISK EXPOSURE AMOUNT CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS TOTAL TIER 1 CAPITAL TIER 2 CAPITAL CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER COMMON EQUITY TIER 1 CAPITAL ADDITIONAL TIER 1 CAPITAL MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL OF WHICH: QUALIFYING OWN FUNDS RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: QUALIFYING TIER 1 CAPITAL RELATED T1 INSTRUMENTS, RELATED RETAINED EARNINGS AND SHARE PREMIUM ACCOUNTS OF WHICH: MINORITY INTERESTS RELATED OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL OF WHICH: QUALIFYING TIER 2 CAPITAL 0011 0021 0026 0027 0030 0035 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0470 0480







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 SUPPORTING FACTORS (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM VOLATILITY ADJUSTMENT TO THE EXPOSURE (-) FINANCIAL COLLATERAL: ADJUSTED VALUE (Cvam) 0 % 20 % 50 % 100 % OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: WITH A CREDIT ASSESSMENT BY A NOMINATED ECAI OF WHICH: WITH A CREDIT ASSESSMENT DERIVED FROM CENTRAL GOVERNMENT (-) GUARANTEES (-) CREDIT DERIVATIVES (-) FINANCIAL COLLATERAL: SIMPLE METHOD (-) OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) (-) OF WHICH: VOLATILITY AND MATURITY ADJUSTMENTS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK EXCLUDING EXPOSURES CLEARED THROUGH A CCP 0010 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0211 0215 0216 0217 0220 0230 0240 0010 TOTAL EXPOSURES Cell linked to CA 0015 of which: Defaulted exposures 0020 of which: SME 0030 of which: Exposures subject to SME-supporting factor 0035 of which: Exposures subject to the Infrastructure supporting factor 0040 of which: Secured by mortgages on immovable property - Residential property 0050 of which: Exposures under the permanent partial use of the standardised approach 0060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 0070 On balance sheet exposures subject to credit risk 0080 Off balance sheet exposures subject to credit risk Exposures / Transactions subject to counterparty credit risk 0090 Securities Financing Transactions netting sets 0100 of which: centrally cleared through a QCCP 0110 Derivatives & Long Settlement Transactions netting sets 0120 of which: centrally cleared through a QCCP 0130 From Contractual Cross Product netting sets BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS: 0140 0 % 0150 2 % 0160 4 % 0170 10 % 0180 20 % 0190 35 % 0200 50 % 0210 70 % 0220 75 % 0230 100 % 0240 150 % 0250 250 % 0260 370 % 0270 1 250 % 0280 Other risk weights BREAKDOWN OF TOTAL EXPOSURES BY APPROACH (CIU): 0281 Look-through approach 0282 Mandate-based approach 0283 Fall-back approach MEMORANDUM ITEMS 0290 Exposures secured by mortgages on commercial immovable property 0300 Exposures in default subject to a risk weight of 100 % 0310 Exposures secured by mortgages on residential property 0320 Exposures in default subject to a risk weight of 150 %







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 SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENTS HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0171 0172 0173 0180 0190 0200 0210 0220 0230 0240 0250 0255 0256 0257 0260 0270 0280 0290 0300 0310 0010 TOTAL EXPOSURES Cell linked to CA 0015 of which: Exposures subject to SME-supporting factor 0016 of which: Exposures subject to the Infrastructure supporting factor BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 0020 On balance sheet items subject to credit risk 0030 Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit risk 0040 Securities Financing Transactions netting sets 0050 Derivatives & Long Settlement Transactions netting sets 0060 From Contractual Cross Product netting sets 0070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL 0080 SPECIALIZED LENDING SLOTTING APPROACH: TOTAL 0160 ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE 0170 EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS 0180 DILUTION RISK: TOTAL PURCHASED RECEIVABLES







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 SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT SUBJECT TO DOUBLE DEFAULT TREATMENT EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: UNFUNDED CREDIT PROTECTION (-) OTHER FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OWN ESTIMATES OF LGD'S ARE USED: UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION UNFUNDED CREDIT PROTECTION EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS TOTAL INFLOWS (+) OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES GUARANTEES CREDIT DERIVATIVES OWN ESTIMATES OF LGD'S ARE USED: OTHER FUNDED CREDIT PROTECTION ELIGIBLE FINANCIAL COLLATERAL OTHER ELIGIBLE COLLATERAL OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES CASH ON DEPOSIT LIFE INSURANCE POLICIES INSTRUMENTS HELD BY A THIRD PARTY REAL ESTATE OTHER PHYSICAL COLLATERAL RECEIVABLES 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0171 0172 0173 0180 0190 0200 0210 0220 0230 0240 0250 0255 0256 0257 0260 0270 0280 0290 0300 0310







C 08.03 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BREAKDOWN BY PD RANGES (CR IRB 3) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGE ON-BALANCE SHEET EXPOSURES OFF-BALANCE-SHEET EXPOSURES PRE-CONVERSION FACTORS EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM EXPOSURE WEIGHTED AVERAGE PD (%) NUMBER OF OBLIGORS EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE MATURITY (YEARS) RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT VALUE ADJUST-MENTS AND PROVISIONS 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 0.00 to <0.15 0020 0.00 to <0.10 0030 0.10 to <0.15 0040 0.15 to <0.25 0050 0.25 to <0.50 0060 0.50 to <0.75 0070 0.75 to <2.5 0080 0.75 to <1.75 0090 1.75 to <2.5 0100 2.5 to <10 0110 2.5 to <5 0120 5 to <10 0130 10 to <100 0140 10 to <20 0150 20 to <30 0160 30 to <100 0170 100 (Default)







C 08.04 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: RWEA FLOW STATEMENTS (CR IRB 4) RISK WEIGHTED EXPOSURE AMOUNT 0010 0010 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD 0020 ASSET SIZE (+/-) 0030 ASSET QUALITY (+/-) 0040 MODEL UPDATES (+/-) 0050 METHODOLOGY AND POLICY (+/-) 0060 ACQUISITIONS AND DISPOSALS (+/-) 0070 FOREIGN EXCHANGE MOVEMENTS (+/-) 0080 OTHER (+/-) 0090 RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD







C 08.05 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD (CR IRB 5) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGE ARITHMETIC AVERAGE PD (%) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR OBSERVED AVERAGE DEFAULT RATE (%) AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0010 0020 0030 0040 0050 0010 0.00 to <0.15 0020 0.00 to <0.10 0030 0.10 to <0.15 0040 0.15 to <0.25 0050 0.25 to <0.50 0060 0.50 to <0.75 0070 0.75 to <2.5 0080 0.75 to <1.75 0090 1.75 to <2.5 0100 2.5 to <10 0110 2.5 to <5 0120 5 to <10 0130 10 to <100 0140 10 to <20 0150 20 to <30 0160 30 to <100 0170 100 (Default)







C 08.05.1 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: BACK-TESTING OF PD ACCORDING TO POINT (f) OF ARTICLE 180(1) (CR IRB 5) IRB Exposure class: Own estimates of LGD and/or conversion factors: PD RANGE EXTERNAL RATING EQUIVALENT ARITHMETIC AVERAGE PD (%) NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR OBSERVED AVERAGE DEFAULT RATE (%) AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0005 0006 0010 0020 0030 0040 0050







C 08.06 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SPECIALISED LENDING SLOTTING APPROACH (CR IRB 6) Type of specialised lending: ORIGINAL EXPOSURE PRE CONVERSION FACTORS EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS EXPOSURE VALUE RISK WEIGHT RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS MEMORANDUM ITEMS: EXPECTED LOSS AMOUNT (-) VALUE ADJUSTMENTS AND PROVISIONS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: OFF BALANCE SHEET ITEMS OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 CATEGORY 1 LESS THAN 2.5 YEARS 50 % 0020 EQUAL TO OR MORE THAN 2.5 YEARS 70 % 0030 CATEGORY 2 LESS THAN 2.5 YEARS 70 % 0040 EQUAL TO OR MORE THAN 2.5 YEARS 90 % 0050 CATEGORY 3 LESS THAN 2.5 YEARS 115 % 0060 EQUAL TO OR MORE THAN 2.5 YEARS 115 % 0070 CATEGORY 4 LESS THAN 2.5 YEARS 250 % 0080 EQUAL TO OR MORE THAN 2.5 YEARS 250 % 0090 CATEGORY 5 LESS THAN 2.5 YEARS — 0100 EQUAL TO OR MORE THAN 2.5 YEARS — 0110 TOTAL LESS THAN 2.5 YEARS 0120 EQUAL TO OR MORE THAN 2.5 YEARS







C 08.07 - CREDIT RISK AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS: SCOPE OF USE OF IRB AND SA APPROACHES (CR IRB 7) TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 CRR TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) 0010 0020 0030 0040 0050 0010 CENTRAL GOVERNMENTS OR CENTRAL BANKS 0020 OF WHICH: REGIONAL GOVERNMENTS OR LOCAL AUTHORITIES 0030 OF WHICH: PUBLIC SECTOR ENTITIES 0040 INSTITUTIONS 0050 CORPORATES 0060 OF WHICH: CORPORATES - SPECIALISED LENDING, EXCLUDING SLOTTING APPROACH 0070 OF WHICH: CORPORATES - SPECIALISED LENDING, INCLUDING SLOTTING APPROACH 0080 OF WHICH: CORPORATES - SMES 0090 RETAIL 0100 OF WHICH RETAIL – SECURED BY REAL ESTATE SMES 0110 OF WHICH RETAIL – SECURED BY REAL ESTATE NON-SMES 0120 OF WHICH RETAIL – QUALIFYING REVOLVING 0130 OF WHICH RETAIL – OTHER SMES 0140 OF WHICH RETAIL – OTHER NON-SMES 0150 EQUITY 0160 OTHER NON-CREDIT OBLIGATION ASSETS 0170 TOTAL







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 Additional value adjustments and other own funds reductions Credit risk adjustments/write-offs for observed new defaults EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS Defaulted exposures 0010 0020 0040 0050 0055 0060 0061 0070 0075 0080 0081 0082 0090 0010 Central governments or central banks 0020 Regional governments or local authorities 0030 Public sector entities 0040 Multilateral Development Banks 0050 International Organisations 0060 Institutions 0070 Corporates 0075 of which: SME 0080 Retail 0085 of which: SME 0090 Secured by mortgages on immovable property 0095 of which: SME 0100 Exposures in default 0110 Items associated with particularly high risk 0120 Covered bonds 0130 Claims on institutions and corporates with a short-term credit assessment 0140 Collective investments undertakings (CIU) 0141 Look-through approach 0142 Mandate-based approach 0143 Fall-back approach 0150 Equity exposures 0160 Other exposures 0170 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 SUPPORTING FACTORS (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR (-) ADJUSTMENT TO RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS EXPECTED LOSS AMOUNT Of which: defaulted Of which: defaulted Of which: defaulted 0010 0030 0040 0050 0055 0060 0070 0080 0090 0100 0105 0110 0120 0121 0122 0125 0130 0010 Central governments or central banks 0020 Institutions 0030 Corporates 0042 Of Which: Specialised Lending (excl. SL under the slotting approach) 0045 Of Which: Specialised Lending under the slotting approach 0050 Of Which: SME 0060 Retail 0070 Secured by immovable property 0080 SME 0090 Non-SME 0100 Qualifying Revolving 0110 Other Retail 0120 SME 0130 Non-SME 0140 Equity 0150 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 0010 0020 0030 Relevant credit exposures - Credit Risk 0010 Exposure value under the Standardised Approach 0020 Exposure value under the IRB Approach Relevant credit exposures – Market risk 0030 Sum of long and short positions of trading book exposures for standardised approaches 0040 Value of trading book exposures for internal models Relevant credit exposures – Securitisation 0055 Exposure value of securitisation positions in the banking book Own funds requirements and weights 0070 Total own funds requirements for CCB 0080 Own funds requirements for relevant credit exposures – Credit risk 0090 Own funds requirements for relevant credit exposures – Market risk 0100 Own funds requirements for relevant credit exposures – Securitisation positions in the banking book 0110 Own funds requirements weights Countercyclical capital buffer rates 0120 Countercyclical capital buffer rate set by the Designated Authority 0130 Countercyclical capital buffer rate applicable for the country of the institution 0140 Institution-specific countercyclical capital buffer rate Use of 2 % threshold 0150 Use of 2 %