Commission Implementing Regulation (EU) 2022/1994 ANNEX I

ANNEX ISupplementary provisions

ANNEX I ‘ANNEX I REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS COREP TEMPLATES Template number Template code Name of the template /group of templates Short name     CAPITAL ADEQUACY CA 1 C 01.00 OWN FUNDS CA1 2 C 02.00 OWN FUNDS REQUIREMENTS CA2 3 C 03.00 CAPITAL RATIOS CA3 4 C 04.00 MEMORANDUM ITEMS CA4     TRANSITIONAL PROVISIONS CA5 5.1 C 05.01 TRANSITIONAL PROVISIONS CA5.1 5.2 C 05.02 GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID CA5.2     GROUP SOLVENCY GS 6.1 C 06.01 GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL GS Total 6.2 C 06.02 GROUP SOLVENCY: INFORMATION ON AFFILIATES GS     CREDIT RISK CR 7 C 07.00 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: STANDARDISED APPROACH TO CAPITAL REQUIREMENTS CR SA     CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 8.1 C 08.01 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS CR IRB 1 8.2 C 08.02 CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (Breakdown by obligor grades or pools) CR IRB 2 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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B) CR IRB 5B 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   0352 1.1.1.11.1.1 (-) Of which: software assets accounted for as intangible assets before deduction of deferred tax liabilities   0360 1.1.1.11.2 Deferred tax liabilities associated to other intangible assets   0362 1.1.1.11.2.1 Of which: Deferred tax liabilities associated with software assets accounted for as 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 of Regulation (EU) No 575/2013   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 of Regulation (EU) No 575/2013   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 of Regulation (EU) No 575/2013   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 of Regulation (EU) No 575/2013   0030 1** Of which : Investment firms under Article 96, paragraph 2 and Article 97 of Regulation (EU) No 575/2013   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 of Regulation (EU) No 575/2013   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   0212 1.1.1.1.16.1 Of which: software assets accounted for as intangible assets   0240 1.1.2 Internal ratings based Approach (IRB)   0241 1.1.2* Of which: Additional stricter prudential requirements based on Article 164 of Regulation (EU) No 575/2013   0242 1.1.2** Of which: Additional stricter prudential requirements based on Article 124 of Regulation (EU) No 575/2013   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   0455 1.1.2.5.1 Of which: software assets accounted for as intangible 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 of Regulation (EU) No 575/2013   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 of Regulation (EU) No 575/2013   0760 1.8.4 Of which: Additional risk exposure amount due to Article 3 of Regulation (EU) No 575/2013   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 of Regulation (EU) No 575/2013 and Article 104a of Directive 2013/36/EU   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 Software assets accounted for as intangible assets exempted from the deduction 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 powers in accordance with Article 59 of Directive 2014/59/EU             0064 1.1.4.2* of which: Instruments governed by third-country law without effective and enforceable exercise of powers in accordance with Article 59 of Directive 2014/59/EU             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 01/01/2018 – 31/12/2019             0443 1.3.4.3 Memorandum item: ECL impact of the dynamic component for the period starting on 01/01/2020             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 Article 57, point (a) of Directive 2006/48/EC           link to {CA5.1;r060;c010) 0020 2. Instruments that qualified for Article 57, point (ca) and Article 154(8) and (9) of Directive 2006/48/EC, subject to the limit of Article 489 of Regulation (EU) No 575/2013           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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 after the date of effective maturity             0080 2.3 Excess on the limit of CET1 grandfathered instruments             0090 3 Items that qualified for Article 57, points (e), (f), (g) or (h) of Directive 2006/48/EC, subject to the limit of Article 490 of Regulation (EU) No 575/2013           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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 of Regulation (EU) No 575/2013 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 (%) TOTAL RISK EXPOSURE AMOUNT   OWN FUNDS     TOTAL RISK EXPOSURE AMOUNT   QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS   CONSOLIDATED OWN FUNDS   COMBINED BUFFER REQUIREMENT   CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS TOTAL TIER 1 CAPITAL     TIER 2 CAPITAL   CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK POSITION, FX AND COMMODITIES RISKS OPERATIONAL RISK OTHER RISK EXPOSURE AMOUNTS QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL   QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL OF WHICH: COMMON EQUITY TIER 1 OF WHICH: ADDITIONAL TIER 1 OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL CAPITAL CONSERVATION BUFFER INSTITUTION SPECIFIC COUNTER-CYCLICAL CAPITAL BUFFER CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE SYSTEMIC RISK BUFFER GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER COMMON EQUITY TIER 1 CAPITAL   ADDITIONAL TIER 1 CAPITAL   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 in exposure classes “items associated with a particular high risk” and “equity 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     0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0171 0172 0173 0180 0190 0200 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 IN ACCORDANCE WITH ARTICLE 180(1), POINT (f) OF REGULATION (EU) No 575/2013 (CR IRB 5B) 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   AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) OF WHICH: DEFAULTED DURING THE YEAR 0005 0006 0010 0020 0030 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   (-) 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 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 ARTICLE 166 OF REGULATION (EU) No 575/2013 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 % threshold for general credit exposure       0160 Use of 2 % threshold for trading book exposure       C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)   INTERNAL RATING SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE   EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OF WHICH: OFF BALANCE SHEET ITEMS EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 0010 0020 0030 0040 0050 0060 0061 0070 0080 0090 0010 TOTAL IRB EQUITY EXPOSURES                 Cell linked to CA   0020 PD/LGD APRROACH: TOTAL                     0050 SIMPLE RISK WEIGHT APPROACH: TOTAL                     0060 BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: 0070 RISK WEIGHT: 190 %                     0080 290 %                     0090 370 %                     0100 INTERNAL MODELS APPROACH                     0110 EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS                     0120 CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH                     C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2) OBLIGOR GRADE (ROW IDENTIFIER) INTERNAL RATING SCALE ORIGINAL EXPOSURE PRE CONVERSION FACTORS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE EXPOSURE VALUE EXPOSURE WEIGHTED AVERAGE LGD (%) RISK WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM: UNFUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM EXPECTED LOSS AMOUNT PD ASSIGNED TO THE OBLIGOR GRADE (%) (-) GUARANTEES (-) CREDIT DERIVATIVES (-) TOTAL OUTFLOWS 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090                     C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)   UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS OWN FUNDS REQUIREMENTS TOTAL SETTLEMENT RISK EXPOSURE AMOUNT 0010 0020 0030 0040 0010 Total unsettled transactions in the Non-trading Book       Cell linked to CA 0020 Transactions unsettled up to 4 days (Factor 0%)         0030 Transactions unsettled between 5 and 15 days (Factor 8%)         0040 Transactions unsettled between 16 and 30 days (Factor 50%)         0050 Transactions unsettled between 31 and 45 days (Factor 75%)         0060 Transactions unsettled for 46 days or more (Factor 100%)         0070 Total unsettled transactions in the Trading Book       Cell linked to CA 0080 Transactions unsettled up to 4 days (Factor 0%)         0090 Transactions unsettled between 5 and 15 days (Factor 8%)         0100 Transactions unsettled between 16 and 30 days (Factor 50%)         0110 Transactions unsettled between 31 and 45 days (Factor 75%)         0120 Transactions unsettled for 46 days or more (Factor 100%)         C 13.01 - CREDIT RISK: SECURITISATIONS (CR SEC)   TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITIZATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES SECURITISATION POSITIONS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*)   (-) NON REFUNDABLE PURCHASE PRICE DISCOUNT (-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES EXPOSURE VALUE     BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS RISK-WEIGHTED EXPOSURE AMOUNT ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO MATURITY MISMATCHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEM : RISK WEIGHTED EXPOSURE AMOUNT CORRESPONDING TO THE OUTFLOWS FROM SECURITISATIONS TO OTHER EXPOSURE CLASSES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) (-) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OF WHICH: SUBJECT TO A CCF OF 0% (-) DEDUCTED FROM OWN FUNDS SUBJECT TO RISK WEIGHTS SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS OTHER (RW=1 250  %)   SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS OTHER (RW=1 250  %) OF WHICH: SYNTHETIC SECURITISATIONS     BREAKDOWN BY RW BANDS OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)   BREAKDOWN BY RW BANDS   BREAKDOWN BY CREDIT QUALITY STEPS BREAKDOWN BY REASONS FOR APPLICATION OF SEC-ERBA   BREAKDOWN BY RW BANDS     OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)   OF WHICH: RW=1 250 % (W UNKNOWN)   AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013 FOLLOWING THE HIERARCHY OF APPROACHES   AVERAGE RISK WEIGHT (%) (-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) (-) TOTAL OUTFLOWS TOTAL INFLOWS   =< 20 % RW > 20 % TO 50 % RW > 50 % TO 100 % RW > 100 % TO < 1 250  % RW 1 250  % RW   = < 20 % RW > 20 % TO 50 % RW > 50 % TO 100 % RW > 100 % TO < 1 250  % RW 1 250  % RW (W UNKNOWN) 1 250  % RW (OTHER)   SHORT TERM CREDIT QUALITY STEPS LONG TERM CREDIT QUALITY STEPS AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES SEC-ERBA OPTION POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) No 575/2013 POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) No 575/2013 FOLLOWING THE HIERARCHY OF APPROACHES   =< 20 % RW > 20 % TO 50 % RW > 50 % TO 100 % RW > 100 % TO < 1 250  % RW 1 250  % RW                 CQS 1 CQS 2 CQS 3 ALL OTHER CQS CQS 1 CQS 2 CQS 3 CQS 4 CQS 5 CQS 6 CQS 7 CQS 8 CQS 9 CQS 10 CQS 11 CQS 12 CQS 13 CQS 14 CQS 15 CQS 16 CQS 17 ALL OTHER CQS             0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0310 0320 0330 0340 0350 0360 0370 0380 0390 0400 0410 0420 0430 0440 0450 0460 0470 0480 0490 0500 0510 0520 0530 0540 0550 0560 0570 0580 0590 0600 0610 0620 0630 0640 0650 0660 0670 0680 0690 0695 0700 0710 0720 0730 0740 0750 0760 0770 0780 0790 0800 0810 0820 0830 0840 0845 0850 0860 0870 0880 0890 0900 0910 0920 0930 0010 TOTAL EXPOSURES                                                                                                                                                                                           Cell linked to CA   0020 SECURITISATIONS                                                                                                                                                                                               0030 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0040 EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS                                                                                                                                                                                               0050 GRANDFATHERED SENIOR POSITION IN SME SYNTHETIC SECURITISATIONS                                                                                                                                                                                               0051 SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS                                                                                                                                                                                               0060 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0070 RE-SECURITISATIONS                                                                                                                                                                                               0080 ORIGINATOR: TOTAL EXPOSURES                                                                                                                                                                                               0090 SECURITISATIONS: ON-BALANCE SHEET ITEMS                                                                                                                                                                                               0100 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0110 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0120 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0121 EXPOSURES IN NON-NPE SECURITISATIONS                                                                                                                                                                                               0131 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0133 EXPOSURES IN NPE SECURITISATIONS                                                                                                                                                                                               0134 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0135 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0136 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0140 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES                                                                                                                                                                                               0150 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0160 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0170 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0180 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0190 RE-SECURITISATIONS                                                                                                                                                                                               0200 INVESTOR: TOTAL EXPOSURES                                                                                                                                                                                               0210 SECURITISATIONS: ON-BALANCE SHEET ITEMS                                                                                                                                                                                               0220 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0230 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0240 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0241 EXPOSURES IN NON-NPE SECURITISATIONS                                                                                                                                                                                               0251 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0253 EXPOSURES IN NPE SECURITISATIONS                                                                                                                                                                                               0254 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0255 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0256 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0260 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES                                                                                                                                                                                               0270 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0280 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0290 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0300 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0310 RE-SECURITISATIONS                                                                                                                                                                                               0320 SPONSOR: TOTAL EXPOSURES                                                                                                                                                                                               0330 SECURITISATIONS: ON-BALANCE SHEET ITEMS                                                                                                                                                                                               0340 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0350 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0360 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0361 EXPOSURES IN NON-NPE SECURITISATIONS                                                                                                                                                                                               0371 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0373 EXPOSURES IN NPE SECURITISATIONS                                                                                                                                                                                               0374 OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0375 OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0376 OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS                                                                                                                                                                                               0380 SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES                                                                                                                                                                                               0390 QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0400 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0410 NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                                                                                                               0420 OF WHICH: SENIOR EXPOSURES                                                                                                                                                                                               0430 RE-SECURITISATIONS                                                                                                                                                                                               0440 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Short term 0450 CQS 1                                                                                                                                                                                               0460 CQS 2                                                                                                                                                                                               0470 CQS 3                                                                                                                                                                                               0480 ALL OTHER CQS AND UNRATED                                                                                                                                                                                               0490 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQS AT INCEPTION: Long term 0500 CQS 1                                                                                                                                                                                               0510 CQS 2                                                                                                                                                                                               0520 CQS 3                                                                                                                                                                                               0530 CQS 4                                                                                                                                                                                               0540 CQS 5                                                                                                                                                                                               0550 CQS 6                                                                                                                                                                                               0560 CQS 7                                                                                                                                                                                               0570 CQS 8                                                                                                                                                                                               0580 CQS 9                                                                                                                                                                                               0590 CQS 10                                                                                                                                                                                               0600 CQS 11                                                                                                                                                                                               0610 CQS 12                                                                                                                                                                                               0620 CQS 13                                                                                                                                                                                               0630 CQS 14                                                                                                                                                                                               0640 CQS 15                                                                                                                                                                                               0650 CQS 16                                                                                                                                                                                               0660 CQS 17                                                                                                                                                                                               0670 ALL OTHER CQS AND UNRATED                                                                                                                                                                                               C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details) INTERNAL CODE IDENTIFIER OF THE SECURITISATION INTRA-GROUP, PRIVATE OR PUBLIC SECURITISATION? ROLE OF THE INSTITUTION (ORIGINATOR / SPONSOR / ORIGINAL LENDER / INVESTOR) IDENTIFIER OF THE ORIGINATOR SECURITISATION TYPE ACCOUNTING TREATMENT: SECURITISED EXPOSURES ARE KEPT OR REMOVED FROM THE BALANCE SHEET? SOLVENCY TREATMENT: Securitisation positions subject to own funds requirements? SIGNIFICANT RISK TRANSFER SECURITISATION OR RE-SECURITISATION? STS SECURITISATION SECURITISATION QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT TYPE OF EXCESS SPREAD AMORTISATION SYSTEM COLLATERALISATION OPTIONS RETENTION NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE TYPE OF RETENTION APPLIED % OF RETENTION AT REPORTING DATE COMPLIANCE WITH THE RETENTION REQUIREMENT? ORIGINATION DATE (yyyy-mm-dd) DATE OF LATEST ISSUANCE (yyyy-mm-dd) TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE TOTAL AMOUNT INSTITUTION'S SHARE (%) TYPE % of IRB IN APPROACH APPLIED NUMBER OF EXPOSURES EXPOSURES IN DEFAULT W (%) COUNTRY LGD (%) EL (%) UL (%) EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS (-) VALUE ADJUSTMENTS AND PROVISIONS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb % OF RETAIL EXPOSURES IN IRB POOLS OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa MEMORANDUM ITEMS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES MATURITY MEMORANDUM ITEMS CREDIT RISK ADJUSTMENTS DURING THE CURRENT PERIOD SENIOR MEZZANINE FIRST LOSS OVERCOLLATERALISATION AND FUNDED RESERVE ACCOUNTS SENIOR MEZZANINE FIRST LOSS SYNTHETIC EXCESS SPREAD FIRST FORESEEABLE TERMINATION DATE ORIGINATOR'S CALL OPTIONS INCLUDED IN TRANSACTION ATTACHMENT POINT OF RISK SOLD (%) DETACHMENT POINT OF RISK SOLD (%) RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%) AMOUNT ATTACHMENT POINT (%) CQS AMOUNT NUMBER OF TRANCHES CQS OF THE MOST SUBORDINATED TRANCHE AMOUNT DETACHMENT POINT (%) CQS AMOUNT OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT AMOUNT ATTACHMENT POINT (%) AMOUNT NUMBER OF TRANCHES AMOUNT DETACHMENT POINT (%)   0010 0020 0021 0110 0030 0040 0051 0060 0061 0070 0075 0446 0076 0077 0078 0080 0090 0100 0120 0121 0130 0140 0150 0160 0171 0180 0181 0190 0201 0202 0203 0204 0210 0221 0222 0223 0225 0230 0231 0232 0240 0241 0242 0250 0251 0252 0254 0255 0260 0265 0270 0275 0280 0285 0287 0290 0291 0302 0303 0304                                                                                                                         C 14.01 - DETAILED INFORMATION ON SECURITISATIONS BY APPROACH (SEC Details Approach) Approach: INTERNAL CODE IDENTIFIER OF THE SECURITISATION SECURITISATION POSITIONS EXPOSURE VALUE (-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS TOTAL RISK-WEIGHTED EXPOSURE AMOUNT MEMORANDUM ITEMS SECURITISATION POSITIONS - TRADING BOOK ORIGINAL EXPOSURE PRE-CONVERSION FACTORS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES PRE CONVERSION FACTORS RISK-WEIGHTED EXPOSURE AMOUNT UNDER SEC-ERBA RISK WEIGHTED EXPOSURE AMOUNT UNDER SEC-SA CTP OR NON-CTP? NET POSITIONS ON-BALANCE SHEET ITEMS OFF-BALANCE SHEET ITEMS AND DERIVATIVES DIRECT CREDIT SUBSTITUTES IRS / CRS LIQUIDITY FACILITIES OTHER SENIOR MEZZANINE FIRST LOSS SENIOR MEZZANINE   FIRST LOSS   SYNTHETIC EXCESS SPREAD BEFORE CAP (-) REDUCTION DUE TO RISK WEIGHT CAP (-) REDUCTION DUE TO OVERALL CAP AFTER CAP RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT RW CORRESPONDING TO PROTECTION PROVIDER / INSTRUMENT LONG SHORT 0010 0020 0310 0320 0330 0340 0350 0351 0360 0361 0362 0370 0380 0390 0400 0411 0420 0430 0431 0432 0440 0447 0448 0450 0460 0470                                                     C 34.01 COUNTERPARTY CREDIT RISK: SIZE OF THE DERIVATIVE BUSINESS (CCR 1)   MONTH 1 MONTH 2 MONTH 3 QUALITATIVE INFORMATION LONG DERIVATIVE POSITIONS SHORT DERIVATIVE POSITIONS TOTAL LONG DERIVATIVE POSITIONS SHORT DERIVATIVE POSITIONS TOTAL LONG DERIVATIVE POSITIONS SHORT DERIVATIVE POSITIONS TOTAL 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 Size of the derivative business                     0020 On- and off-balance sheet derivatives                     0030 (-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures                     0040 Total assets                     0050 Percentage of total assets                     DEROGATION IN ACCORDANCE WITH ARTICLE 273a (4) of Regulation (EU) No 575/2013 0060 Are the conditions of Article 273a (4) of Regulation (EU) No 575/2013 met, including the approval from the competent authority?                     0070 Method for calculating exposure values at consolidated level                     C 34.02 COUNTERPARTY CREDIT RISK: CCR EXPOSURES BY APPROACH (CCR 2) Exposures APPROACH NUMBER OF COUNTERPARTIES NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE VARIATION MARGIN (VM), RECEIVED VARIATION MARGIN (VM), POSTED NET INDEPENDENT COLLATERAL AMOUNT (NICA), RECEIVED NET INDEPENDENT COLLATERAL AMOUNT (NICA), POSTED REPLACE-MENT COST (RC) POTENTIAL FUTURE EXPOSURE (PFE) CURRENT EXPOSURE EEPE ALPHA USED FOR COMPUTING REGULATORY EXPOSURE VALUE EXPOSURE VALUE PRE-CRM EXPOSURE VALUE POST-CRM EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS   Positions treated with the CR Standardised Approach Positions treated with the CR IRB Approach   Positions treated with the CR Standardised Approach Positions treated with the CR IRB Approach 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0010 ORIGINAL EXPOSURE METHOD (FOR DERIVATIVES)                           1.4                 0020 SIMPLIFIED SA-CCR (FOR DERIVATIVES)                           1.4                 0030 SA-CCR (FOR DERIVATIVES)                           1.4                 0040 IMM (FOR DERIVATIVES AND SFTS)                                             0050 Securities financing transactions netting sets                                             0060 Derivatives and long settlement transactions netting sets                                             0070 From contractual cross-product netting sets                                             0080 FINANCIAL COLLATERAL SIMPLE METHOD (FOR SFTS)                                             0090 FINANCIAL COLLATERAL COMPREHENSIVE METHOD (FOR SFTS)                                             0100 VAR FOR SFTS                                             0110 TOTAL                                             0120 of which: SWWR positions                                             0130 Margined business                                             0140 Unmargined business                                             C 34.03 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH STANDARDISED APPROACHES: SA-CCR or SIMPLIFIED SA-CCR (CCR 3) CCR approach RISK CATEGORIES CURRENCY SECOND CURRENCY IN PAIR NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE ADD-ON 0010 0020 0030 0040 0050 0060 0070 0010 TOTAL               0020 of which: Mapped to 2 risk categories               0030 of which: Mapped to 3 risk categories               0040 of which: Mapped to more than 3 risk categories               0050 INTEREST RATE RISK               0060 of which: Mapped exclusively to Interest rate risk category               0070 of which: Largest currency               0080 of which: 2nd largest currency               0090 of which: 3rd largest currency               0100 of which: 4th largest currency               0110 of which: 5th largest currency               0120 FOREIGN EXCHANGE RISK               0130 of which: Mapped exclusively to Foreign Exchange risk category               0140 of which: Largest currency pair               0150 of which: 2nd largest currency pair               0160 of which: 3rd largest currency pair               0170 of which: 4th largest currency pair               0180 of which: 5th largest currency pair               0190 CREDIT RISK               0200 of which: Mapped exclusively to Credit risk category               0210 Single-name transactions               0220 Multi-names transactions               0230 EQUITY RISK               0240 of which: Mapped exclusively to Equity risk category               0250 Single-name transactions               0260 Multi-names transactions               0270 COMMODITY RISK               0280 of which: Mapped exclusively to Commodity risk category               0290 Energy               0300 Metals               0310 Agricultural goods               0320 Climatic conditions               0330 Other commodities               0340 OTHER RISKS               C 34.04 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE ORIGINAL EXPOSURE METHOD (OEM) (CCR 4) RISK CATEGORIES NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE POTENTIAL FUTURE EXPOSURE (PFE) 0010 0020 0030 0040 0050 0010 TOTAL           0020 INTEREST RATE RISK           0030 FOREIGN EXCHANGE RISK           0040 CREDIT RISK           0050 EQUITY RISK           0060 COMMODITY RISK           0070 of which: electricity           C 34.05 COUNTERPARTY CREDIT RISK: CCR EXPOSURES TREATED WITH THE INTERNAL MODEL METHOD (IMM) (CCR 5) INSTRUMENTS MARGINED UNMARGINED EXPOSURE VALUE NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE CURRENT EXPOSURE EEPE Stress EEPE EXPOSURE VALUE NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE CURRENT EXPOSURE EEPE Stress EEPE EXPOSURE VALUE 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0010 TOTAL                                   0020 of which: SWWR positions                                   0030 Netting sets treated with the CR Standardised Approach                                   0040 Netting sets treated with the CR IRB Approach                                   0050 OTC DERIVATIVES INTEREST RATE                                   0060 FOREIGN EXCHANGE                                   0070 CREDIT                                   0080 EQUITY                                   0090 COMMODITY                                   0100 OTHER                                   0110 TOTAL                                   0120 EXCHANGE TRADED DERIVATIVES INTEREST RATE                                   0130 FOREIGN EXCHANGE                                   0140 CREDIT                                   0150 EQUITY                                   0160 COMMODITY                                   0170 OTHER                                   0180 TOTAL                                   0190 SECURITIES FINANCING TRANSACTIONS BOND UNDERLYING                                   0200 EQUITY UNDERLYING                                   0210 OTHER UNDERLYING                                   0220 TOTAL                                   0230 CONTRACTUAL CROSS-PRODUCT NETTING SETS                                   C 34.06 COUNTERPARTY CREDIT RISK: TOP TWENTY COUNTERPARTIES (CCR 6) NAME CODE TYPE OF CODE NATIONAL CODE SECTOR OF THE COUN-TERPARTY COUNTERPARTY TYPE RESIDENCY OF THE COUNTERPARTY NUMBER OF TRANSACTIONS NOTIONAL AMOUNTS CURRENT MARKET VALUE (CMV), POSITIVE CURRENT MARKET VALUE (CMV), NEGATIVE EXPOSURE VALUE POST-CRM EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS 0010 0020 0030 0035 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130                             C 34.07 COUNTERPARTY CREDIT RISK: IRB APPROACH – CCR EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR 7) IRB Exposure class Own estimates of LGD and/or conversion factors: PD scale Exposure value Exposure weighted average PD (%) Number of obligors Exposure weighted average LGD (%) Exposure weighted average maturity (years) Risk weighted exposure amounts Density of risk weighted exposure amounts 0010 0020 0030 0040 0050 0060 0070 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 <2.50               0080 0.75 to <1.75               0090 1.75 to <2.5               0100 2.50 to <10.00               0110 2.50 to <5.00               0120 5.00 to <10.00               0130 10.00 to <100.00               0140 10.00 to <20.00               0150 20.00 to <30.00               0160 30.00 to <100.00               0170 100.00 (Default)               0180 Total               C 34.08 COUNTERPARTY CREDIT RISK: COMPOSITION OF COLLATERAL FOR CCR EXPOSURES (CCR 8) Collateral type Collateral used in derivative transactions Collateral used in SFTs Fair value of collateral received Fair value of posted collateral Fair value of collateral received Fair value of posted collateral Segregated Unsegregated Segregated Unsegregated Segregated Unsegregated Segregated Unsegregated Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin Initial margin Variation margin SFT security Initial margin Variation margin Initial margin Variation margin SFT security 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0010 Cash – domestic currency                                     0020 Cash – other currencies                                     0030 Domestic sovereign debt                                     0040 Other sovereign debt                                     0050 Government agency debt                                     0060 Corporate bonds                                     0070 Equity securities                                     0080 Other collateral                                     0090 Total                                     C 34.09 COUNTERPARTY CREDIT RISK: CREDIT DERIVATIVES EXPOSURES (CCR 9) Product type NOTIONAL AMOUNTS FAIR VALUES PROTECTION BOUGHT PROTECTION SOLD PROTECTION BOUGHT PROTECTION SOLD 0010 0020 0030 0040 0010 Single-name credit default swaps         0020 Index credit default swaps         0030 Total return swaps         0040 Credit options         0050 Other credit derivatives         0060 Total         FAIR VALUE BREAKDOWN 0070 Positive fair value (asset)         0080 Negative fair value (liability)         C 34.10 COUNTERPARTY CREDIT RISK: EXPOSURES TO CCPs (CCR 10)   EXPOSURE VALUE RISK WEIGHTED EXPOSURE AMOUNTS 0010 0020 0010 Exposures to QCCPs (total)     0020 Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which     0030 (i) OTC derivatives     0040 (ii) Exchange-traded derivatives     0050 (iii) SFTs     0060 (iv) Netting sets where cross-product netting has been approved     0070 Segregated initial margin     0080 Non-segregated initial margin     0090 Prefunded default fund contributions     0100 Unfunded default fund contributions     0110 Exposures to non-QCCPs (total)     0120 Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which     0130 (i) OTC derivatives     0140 (ii) Exchange-traded derivatives     0150 (iii) SFTs     0160 (iv) Netting sets where cross-product netting has been approved     0170 Segregated initial margin     0180 Non-segregated initial margin     0190 Prefunded default fund contributions     0200 Unfunded default fund contributions     C 34.11 COUNTERPARTY CREDIT RISK: RWEA FLOW STATEMENTS OF CCR EXPOSURES UNDER THE IMM (CCR 11)   RISK WEIGHTED EXPOSURE AMOUNTS QUARTERLY FLOWS ANNUAL FLOWS 0010 0020 0010 Risk Weighted Exposure Amounts as at the end of the previous reporting period     0020 Asset size     0030 Credit quality of counterparties     0040 Model updates (IMM only)     0050 Methodology and policy (IMM only)     0060 Acquisitions and disposals     0070 Foreign exchange movements     0080 Other     0090 Risk Weighted Exposure Amounts as at the end of the current reporting period     C 16.00 - OPERATIONAL RISK (OPR) BANKING ACTIVITIES RELEVANT INDICATOR LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) OWN FUNDS REQUIREMENT Total operational risk exposure amount AMA MEMORANDUM ITEMS TO BE REPORTED IF APPLICABLE YEAR-3 YEAR-2 LAST YEAR YEAR-3 YEAR-2 LAST YEAR OF WHICH: DUE TO AN ALLOCATION MECHANISM OWN FUNDS REQUIREMENT BEFORE ALLEVIATION DUE TO EXPECTED LOSS, DIVERSIFICATION AND RISK MITIGATION TECHNIQUES (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO THE EXPECTED LOSS CAPTURED IN BUSINESS PRACTICES (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO DIVERSIFICATION (-) ALLEVIATION OF OWN FUNDS REQUIREMENT DUE TO RISK MITIGATION TECHNIQUES (INSURANCE AND OTHER RISK TRANSFER MECHANISMS) 0010 0020 0030 0040 0050 0060 0070 0O71 0080 0090 0100 0110 0120 0010 1. BANKING ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA)               Cell linked to CA2           0020 2. BANKING ACTIVITIES SUBJECT TO STANDARDISED (TSA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES               Cell linked to CA2             SUBJECT TO TSA:                           0030 CORPORATE FINANCE (CF)                           0040 TRADING AND SALES (TS)                           0050 RETAIL BROKERAGE (RBr)                           0060 COMMERCIAL BANKING (CB)                           0070 RETAIL BANKING (RB)                           0080 PAYMENT AND SETTLEMENT (PS)                           0090 AGENCY SERVICES (AS)                           0100 ASSET MANAGEMENT (AM)                             SUBJECT TO ASA:                           0110 COMMERCIAL BANKING (CB)                           0120 RETAIL BANKING (RB)                           0130 3. BANKING ACTIVITIES SUBJECT TO ADVANCED MEASUREMENT APPROACHES AMA               Cell linked to CA2           C 17.01 - OPERATIONAL RISK: LOSSES AND RECOVERIES BY BUSINESS LINES AND EVENT TYPES IN THE LAST YEAR (OPR DETAILS 1) MAPPING OF LOSSES TO BUSINESS LINES EVENT TYPES TOTAL EVENT TYPES MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION INTERNAL FRAUD EXTERNAL FRAUD EMPLOYMENT PRACTICES AND WORKPLACE SAFETY CLIENTS, PRODUCTS & BUSINESS PRACTICES DAMAGE TO PHYSICAL ASSETS BUSINESS DISRUPTION AND SYSTEM FAILURES EXECUTION, DELIVERY & PROCESS MANAGEMENT LOWEST HIGHEST Rows   0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 CORPORATE FINANCE [CF] Number of events (new events)                     0020 Gross loss amount (new events)                     0030 Number of events subject to loss adjustments                     0040 Loss adjustments relating to previous reporting periods                     0050 Maximum single loss                     0060 Sum of the five largest losses                     0070 Total direct loss recovery                     0080 Total recovery from insurance and other risk transfer mechanisms                     0110 TRADING AND SALES [TS] Number of events (new events)                     0120 Gross loss amount (new events)                     0130 Number of events subject to loss adjustments                     0140 Loss adjustments relating to previous reporting periods                     0150 Maximum single loss                     0160 Sum of the five largest losses                     0170 Total direct loss recovery                     0180 Total recovery from insurance and other risk transfer mechanisms                     0210 RETAIL BROKERAGE [RBr] Number of events (new events)                     0220 Gross loss amount (new events)                     0230 Number of events subject to loss adjustments                     0240 Loss adjustments relating to previous reporting periods                     0250 Maximum single loss                     0260 Sum of the five largest losses                     0270 Total direct loss recovery                     0280 Total recovery from insurance and other risk transfer mechanisms                     0310 COMMERCIAL BANKING [CB] Number of events (new events)                     0320 Gross loss amount (new events)                     0330 Number of events subject to loss adjustments                     0340 Loss adjustments relating to previous reporting periods                     0350 Maximum single loss                     0360 Sum of the five largest losses                     0370 Total direct loss recovery                     0380 Total recovery from insurance and other risk transfer mechanisms                     0410 RETAIL BANKING [RB] Number of events (new events)                     0420 Gross loss amount (new events)                     0430 Number of events subject to loss adjustments                     0440 Loss adjustments relating to previous reporting periods                     0450 Maximum single loss                     0460 Sum of the five largest losses                     0470 Total direct loss recovery                     0480 Total recovery from insurance and other risk transfer mechanisms                     0510 PAYMENT AND SETTLEMENT [PS] Number of events (new events)                     0520 Gross loss amount (new events)                     0530 Number of events subject to loss adjustments                     0540 Loss adjustments relating to previous reporting periods                     0550 Maximum single loss                     0560 Sum of the five largest losses                     0570 Total direct loss recovery                     0580 Total recovery from insurance and other risk transfer mechanisms                     0610 AGENCY SERVICES [AS] Number of events (new events)                     0620 Gross loss amount (new events)                     0630 Number of events subject to loss adjustments                     0640 Loss adjustments relating to previous reporting periods                     0650 Maximum single loss                     0660 Sum of the five largest losses                     0670 Total direct loss recovery                     0680 Total recovery from insurance and other risk transfer mechanisms                     0710 ASSET MANAGEMENT [AM] Number of events (new events)                     0720 Gross loss amount (new events)                     0730 Number of events subject to loss adjustments                     0740 Loss adjustments relating to previous reporting periods                     0750 Maximum single loss                     0760 Sum of the five largest losses                     0770 Total direct loss recovery                     0780 Total recovery from insurance and other risk transfer mechanisms                     0810 CORPORATE ITEMS [CI] Number of events (new events)                     0820 Gross loss amount (new events)                     0830 Number of events subject to loss adjustments                     0840 Loss adjustments relating to previous reporting periods                     0850 Maximum single loss                     0860 Sum of the five largest losses                     0870 Total direct loss recovery                     0880 Total recovery from insurance and other risk transfer mechanisms                     0910 TOTAL BUSINESS LINES Number of events (new events). Of which:                     0911 related to losses ≥ 10,000 and < 20,000                     0912 related to losses ≥ 20,000 and < 100,000                     0913 related to losses ≥ 100,000 and < 1,000,000                     0914 related to losses ≥ 1,000,000                     0920 Gross loss amount (new events). Of which:                     0921 related to losses ≥ 10,000 and < 20,000                     0922 related to losses ≥ 20,000 and < 100,000                     0923   related to losses ≥ 100,000 and < 1,000,000                     0924 related to losses ≥ 1,000,000                     0930 Number of events subject to loss adjustments. Of which:                     0935 of which: number of events with a positive loss adjustment                     0936 of which: number of events with a negative loss adjustment                     0940 Loss adjustments relating to previous reporting periods                     0945 of which: positive loss adjustment amounts (+)                     0946 of which: negative loss adjustment amounts (-)                     0950   Maximum single loss                     0960 Sum of the five largest losses                     0970 Total direct loss recovery                     0980 Total recovery from insurance and other risk transfer mechanisms                     C 17.02 - OPERATIONAL RISK: LARGE LOSS EVENTS (OPR DETAILS 2)   Event ID Date of accounting Date of occurrence Date of discovery Event Type Gross loss Gross loss net of direct recoveries GROSS LOSS BY BUSINESS LINE Legal Entity name Code Type of code Business Unit Description Corporate Finance [CF] Trading and Sales [TS] Retail Brokerage [RBr] Commercial Banking [CB] Retail Banking [RB] Payment and Settlement [PS] Agency Services [AS] Asset Management [AM] Corporate Items [CI] Rows 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0181 0185 0190 0200 …                                           C 18.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISKS IN TRADED DEBT INSTRUMENTS (MKR SA TDI) Currency:   POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 0010 0020 0030 0040 0050 0060 0070 0010 TRADED DEBT INSTRUMENTS IN TRADING BOOK             Cell linked to CA2 0011 General risk               0012 Derivatives               0013 Other assets and liabilities               0020 Maturity-based approach               0030 Zone 1               0040 0 ≤ 1 month               0050 > 1 ≤ 3 months               0060 > 3 ≤ 6 months               0070 > 6 ≤ 12 months               0080 Zone 2               0090 > 1 ≤ 2 (1,9 for cupon of less than 3%) years               0100 > 2 ≤ 3 (> 1,9 ≤ 2,8 for cupon of less than 3%) years               0110 > 3 ≤ 4 (> 2,8 ≤ 3,6 for cupon of less than 3%) years               0120 Zone 3               0130 > 4 ≤ 5 (> 3,6 ≤ 4,3 for cupon of less than 3%) years               0140 > 5 ≤ 7 (> 4,3 ≤ 5,7 for cupon of less than 3%) years               0150 > 7 ≤ 10 (> 5,7 ≤ 7,3 for cupon of less than 3%) years               0160 > 10 ≤ 15 (> 7,3 ≤ 9,3 for cupon of less than 3%) years               0170 > 15 ≤ 20 (> 9,3 ≤ 10,6 for cupon of less than 3%) years               0180 > 20 (> 10,6 ≤ 12,0 for cupon of less than 3%) years               0190 (> 12,0 ≤ 20,0 for cupon of less than 3%) years               0200 (> 20 for cupon of less than 3%) years               0210 Duration-based approach               0220 Zone 1               0230 Zone 2               0240 Zone 3               0250 Specific risk               0251 Own funds requirement for non-securitisation debt instruments               0260 Debt securities under the first category in Table 1               0270 Debt securities under the second category in Table 1               0280 With residual term ≤ 6 months               0290 With a residual term > 6 months and ≤ 24 months               0300 With a residual term > 24 months               0310 Debt securities under the third category in Table 1               0320 Debt securities under the fourth category in Table 1               0321 Rated nth-to default credit derivatives               0325 Own funds requirement for securitisation instruments               0330 Own funds requirement for the correlation trading portfolio               0350 Additional requirements for options (non-delta risks)               0360 Simplified method               0370 Delta plus approach - additional requirements for gamma risk               0380 Delta plus approach - additional requirements for vega risk               0385 Delta plus approach - non-continuous options and warrants               0390 Scenario matrix approach               C 19.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN SECURITISATIONS (MKR SA SEC)   ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES OVERALL EFFECT (ADJUSTMENT) DUE TO INFRINGEMENT OF CHAPTER 2 OF REGULATION (EU) 2017/2402 BEFORE CAP AFTER CAP / TOTAL OWN FUND REQUIREMENTS LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 - 10%] [10 - 12%] [12 - 20%] [20 - 40%] [40 - 100%] [100 - 150%] [150 - 200%] [200 - 225%] [225 - 250%] [250 - 300%] [300 - 350%] [350 - 425%] [425 - 500%] [500 - 650%] [650 - 750%] [750 - 850%] [850 - 1250%] [0 - 10%] [10 - 12%] [12 - 20%] [20 - 40%] [40 - 100%] [100 - 150%] [150 - 200%] [200 - 225%] [225 - 250%] [250 - 300%] [300 - 350%] [350 - 425%] [425 - 500%] [500 - 650%] [650 - 750%] [750 - 850%] [850 - 1250%] 1250% SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESSMENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS OTHER (RW=1 250 %) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 0010 0020 0030 0040 0050 0060 0061 0062 0063 0064 0065 0066 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0085 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0098 0099 0101 0102 0103 0104 0402 0403 0404 0405 0900 0406 0530 0540 0570 0601 0010 TOTAL EXPOSURES                                                                                                     Cell linked to MKR SA TDI {325:060} 0020 Of which: RE-SECURITISATIONS                                                                                                       0030 ORIGINATOR: TOTAL EXPOSURES                                                                                                       0040 SECURITISATIONS                                                                                                       0041 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                       0050 RE-SECURITISATIONS                                                                                                       0060 INVESTOR: TOTAL EXPOSURES                                                                                                       0070 SECURITISATIONS                                                                                                       0071 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                       0080 RE-SECURITISATIONS                                                                                                       0090 SPONSOR: TOTAL EXPOSURES                                                                                                       0100 SECURITISATIONS                                                                                                       0101 OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT                                                                                                       0110 RE-SECURITISATIONS                                                                                                       C 20.00 - MARKET RISK: STANDARDISED APPROACH FOR SPECIFIC RISK IN THE CORRELATION TRADING PORTFOLIO (MKR SA CTP)   ALL POSITIONS (-) POSITIONS DEDUCTED FROM OWN FUNDS NET POSITIONS BREAKDOWN OF THE NET POSITION (LONG) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION (SHORT) ACCORDING TO RISK WEIGHTS BREAKDOWN OF THE NET POSITION ACCORDING TO APPROACHES BEFORE CAP AFTER CAP TOTAL OWN FUNDS REQUIRE-MENTS LONG SHORT (-) LONG (-) SHORT LONG SHORT [0 - 10%] [10 - 12%] [12 - 20%] [20 - 40%] [40 - 100%] [100 - 250%] [250 - 350%] [350 - 425%] [425 - 650%] [650 - 1250%] 1250% [0 - 10%] [10 - 12%] [12 - 20%] [20 - 40%] [40 - 100%] [100 - 250%] [250 - 350%] [350 - 425%] [425 - 650%] [650 - 1250%] 1250% SEC-IRBA SEC-SA SEC-ERBA INTERNAL ASSESS-MENT APPROACH SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITI-SATIONS OTHER (RW = 1250%) WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS WEIGHTED NET LONG POSITIONS WEIGHTED NET SHORT POSITIONS 0010 0020 0030 0040 0050 0060 0071 0072 0073 0074 0075 0076 0077 0078 0079 0081 0082 0086 0087 0088 0089 0091 0092 0093 0094 0095 0096 0097 0402 0403 0404 0405 0900 0406 0410 0420 0430 0440 0450 0010 TOTAL EXPOSURES                                                                             Cell linked to MKR SA TDI {0330:0060}   SECURITISATION POSITIONS: 0020 ORIGINATOR: TOTAL EXPOSURES                                                                               0030 SECURITISATIONS                                                                               0040 OTHER CTP POSITIONS                                                                               0050 INVESTOR: TOTAL EXPOSURES                                                                               0060 SECURITISATIONS                                                                               0070 OTHER CTP POSITIONS                                                                               0080 SPONSOR: TOTAL EXPOSURES                                                                               0090 SECURITISATIONS                                                                               0100 OTHER CTP POSITIONS                                                                                 N-TH-TO-DEFAULT CREDIT DERIVATIVES: 0110 N-TH-TO-DEFAULT CREDIT DERIVATIVES                                                                               0120 OTHER CTP POSITIONS                                                                               C 21.00 - MARKET RISK: STANDARDISED APPROACH FOR POSITION RISK IN EQUITIES (MKR SA EQU) National market:   POSITIONS OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT 0010 0020 0030 0040 0050 0060 0070 0010 EQUITIES IN TRADING BOOK             Cell linked to CA 0020 General risk               0021 Derivatives               0022 Other assets and liabilities               0030 Exchange traded stock-index futures broadly diversified subject to particular approach               0040 Other equities than exchange traded stock-index futures broadly diversified               0050 Specific risk               0090 Additional requirements for options (non-delta risks)               0100 Simplified method               0110 Delta plus approach - additional requirements for gamma risk               0120 Delta plus approach - additional requirements for vega risk               0125 Delta plus approach - non-continuous options and warrants               0130 Scenario matrix approach               C 22.00 - MARKET RISK: STANDARDISED APPROACHES FOR FOREIGN EXCHANGE RISK (MKR SA FX)   ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in non-reporting currencies subject to special treatment for matched positions) OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT LONG SHORT MATCHED 0020 0030 0040 0050 0060 0070 0080 0090 0100 0010 TOTAL POSITIONS                 Cell linked to CA 0020 Currencies closely correlated                   0025 of which: reporting currency                   0030 All other currencies (including CIUs treated as different currencies)                   0040 Gold                   0050 Additional requirements for options (non-delta risks)                   0060 Simplified method                   0070 Delta plus approach - additional requirements for gamma risk                   0080 Delta plus approach - additional requirements for vega risk                   0085 Delta plus approach - non-continuous options and warrants                   0090 Scenario matrix approach                   BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES 0100 Other assets and liabilities other than off-balance sheet items and derivatives                   0110 Off-balance sheet items                   0120 Derivatives                   Memorandum items: CURRENCY POSITIONS 0130 Euro                   0140 Lek                   0150 Argentine Peso                   0160 Australian Dollar                   0170 Brazilian Real                   0180 Bulgarian Lev                   0190 Canadian Dollar                   0200 Czech Koruna                   0210 Danish Krone                   0220 Egyptian Pound                   0230 Pound Sterling                   0240 Forint                   0250 Yen                   0270 Lithuanian Litas                   0280 Denar                   0290 Mexican Peso                   0300 Zloty                   0310 Rumanian Leu                   0320 Russian Ruble                   0330 Serbian Dinar                   0340 Swedish Krona                   0350 Swiss Franc                   0360 Turkish Lira                   0370 Hryvnia                   0380 US Dollar                   0390 Iceland Krona                   0400 Norwegian Krone                   0410 Hong Kong Dollar                   0420 New Taiwan Dollar                   0430 New Zealand Dollar                   0440 Singapore Dollar                   0450 Won                   0460 Yuan Renminbi                   0470 Other                   0480 Croatian Kuna                   C 23.00 - MARKET RISK: STANDARDISED APPROACHES FOR COMMODITIES (MKR SA COM)   ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT LONG SHORT LONG SHORT 0010 0020 0030 0040 0050 0060 0070 0010 TOTAL POSITIONS IN COMMODITIES             Cell linked to CA 0020 Precious metals (except gold)               0030 Base metals               0040 Agricultural products (softs)               0050 Others               0060 Of which energy products (oil, gas)               0070 Maturity ladder approach               0080 Extended maturity ladder approach               0090 Simplified approach: All positions               0100 Additional requirements for options (non-delta risks)               0110 Simplified method               0120 Delta plus approach - additional requirements for gamma risk               0130 Delta plus approach - additional requirements for vega risk               0135 Delta plus approach - non-continuous options and warrants               0140 Scenario matrix approach               C 24.00 - MARKET RISK INTERNAL MODELS (MKR IM)   VaR STRESSED VaR INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE ALL PRICE RISKS CAPITAL CHARGE FOR CTP OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT Number of overshootings during previous 250 working days VaR Multiplication Factor (m c ) SVaR Multiplication Factor (m s ) ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET LONG POSITIONS AFTER CAP ASSUMED CHARGE FOR CTP FLOOR - WEIGHTED NET SHORT POSITIONS AFTER CAP MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg ) PREVIOUS DAY (VaR t-1 ) MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg ) LATEST AVAILABLE (SVaR t-1 ) 12 WEEKS AVERAGE MEASURE LAST MEASURE FLOOR 12 WEEKS AVERAGE MEASURE LAST MEASURE 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0010 TOTAL POSITIONS                     Cell linked to CA             Memorandum items: BREAKDOWN OF MARKET RISK 0020 Traded debt instruments                                 0030 TDI - General risk                                 0040 TDI - Specific Risk                                 0050 Equities                                 0060 Equities - General risk                                 0070 Equities - Specific Risk                                 0080 Foreign Exchange risk                                 0090 Commodities risk                                 0100 Total amount for general risk                                 0110 Total amount for specific risk                                 C 25.00 - CREDIT VALUE ADJUSTMENT RISK (CVA)   EXPOSURE VALUE VaR STRESSED VaR OWN FUNDS REQUIREMENTS TOTAL RISK EXPOSURE AMOUNT MEMORANDUM ITEMS CVA RISK HEDGE NOTIONALS   of which: OTC Derivatives of which: SFT MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg ) PREVIOUS DAY (VaR t-1 ) MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg ) LATEST AVAILABLE (SVaR t-1 ) Number of counterparties of which: proxy was used to determine credit spread INCURRED CVA SINGLE NAME CDS INDEX CDS 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0010 CVA risk total                 Link to {CA2;r640;c010}           0020 According to Advanced method                 Link to {CA2;r650;c010}           0030 According to Standardised method                 Link to {CA2;r660;c010}           0040 Based on OEM                 Link to {CA2;r670;c010}           C 32.01 - Prudent Valuation: Fair-Valued Assets and Liabilities (PRUVAL 1)   FAIR-VALUED ASSETS AND LIABILITIES   FAIR-VALUED ASSETS AND LIABILITIES EXCLUDED BECAUSE OF PARTIAL IMPACT ON CET1 FAIR-VALUED ASSETS AND LIABILITIES INCLUDED IN ART. 4(1) THRESHOLD   OF WHICH: TRADING BOOK EXACTLY MATCHING HEDGE ACCOUNTING PRUDENTIAL FILTERS OTHER COMMENTS FOR OTHER OF WHICH: TRADING BOOK 0010 0020 0030 0040 0050 0060 0070 0080 0090 0010 1 TOTAL FAIR-VALUED ASSETS AND LIABILITIES                   0020 1.1 TOTAL FAIR-VALUED ASSETS                   0030 1.1.1 FINANCIAL ASSETS HELD FOR TRADING                   0040 1.1.2 TRADING FINANCIAL ASSETS                   0050 1.1.3 NON-TRADING FINANCIAL ASSETS MANDATORILY AT FAIR VALUE THROUGH PROFIT OR LOSS                   0060 1.1.4 FINANCIAL ASSETS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS                   0070 1.1.5 FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME                   0080 1.1.6 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS                   0090 1.1.7 NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS MEASURED AT FAIR VALUE TO EQUITY                   0100 1.1.8 OTHER NON-TRADING NON-DERIVATIVE FINANCIAL ASSETS                   0110 1.1.9 DERIVATIVES - HEDGE ACCOUNTING                   0120 1.1.10 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK                   0130 1.1.11 INVESTMENTS IN SUBSIDIARIES, JOINT VENTURES AND ASSOCIATES                   0140 1.1.12 (-) HAIRCUTS FOR TRADING ASSETS AT FAIR VALUE                   0142 1.1.13 OTHER ASSETS                   0143 1.1.14 NON-CURRENT ASSETS AND DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE                   0150 1.2 TOTAL FAIR-VALUED LIABILITIES                   0160 1.2.1 FINANCIAL LIABILITIES HELD FOR TRADING                   0170 1.2.2 TRADING FINANCIAL LIABILITIES                   0180 1.2.3 FINANCIAL LIABILITIES DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS                   0190 1.2.4 DERIVATIVES - HEDGE ACCOUNTING                   0200 1.2.5 FAIR VALUE CHANGES OF THE HEDGED ITEMS IN PORTFOLIO HEDGE OF INTEREST RATE RISK                   0210 1.2.6 HAIRCUTS FOR TRADING LIABILITIES AT FAIR VALUE                   0220 1.2.7 OTHER LIABILITIES                   0230 1.2.8 LIABILITIES INCLUDED IN DISPOSAL GROUPS CLASSIFIED AS HELD FOR SALE                   C 32.02 - PRUDENT VALUATION: CORE APPROACH (PRUVAL 2)   CATEGORY LEVEL AVA TOTAL AVA UPSIDE UNCERTAINTY FAIR-VALUED ASSETS AND LIABILITIES QTD REVENUE IPV DIFFE-RENCE FAIR VALUE ADJUSTMENTS DAY 1 P&L EXPLANATION DESCRIPTION MARKET PRICE UNCERTAINTY   CLOSE-OUT COSTS   MODEL RISK   CONCENTRATED POSITIONS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK FAIR-VALUED ASSETS FAIR-VALUED LIABILITIES MARKET PRICE UNCERTAINTY CLOSE-OUT COSTS MODEL RISK CONCENTRATED POSITIONS UN-EARNED CREDIT SPREADS INVES-TING AND FUNDING COSTS FUTURE ADMINIS-TRATIVE COSTS EARLY TERMINATION OPERATIONAL RISK OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH OF WHICH: CALCULATED USING THE EXPERT BASED APPROACH 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0010 1 TOTAL CORE APPROACH                                                       0020   OF WHICH: TRADING BOOK                                                       0030 1.1 PORTFOLIOS UNDER ARTICLES 9 TO 17 - TOTAL CATEGORY LEVEL POST-DIVERSIFICATION                                                       0040 1.1.1 TOTAL CATEGORY LEVEL PRE-DIVERSIFICATION                                                       0050 1.1.1* OF WHICH: UNEARNED CREDIT SPREADS AVA                                                       0060 1.1.1** OF WHICH: INVESTMENT AND FUNDING COSTS AVA                                                       0070 1.1.1*** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 9(2) OF DELEGATED REGULATION (EU) 2016/101                                                       0080 1.1.1**** OF WHICH: AVA ASSESSED TO HAVE ZERO VALUE UNDER ARTICLE 10(2) AND (3) OF DELEGATED REGULATION (EU) 2016/101                                                       0090 1.1.1.1 INTEREST RATES                                                       0100 1.1.1.2 FOREIGN EXCHANGE                                                       0110 1.1.1.3 CREDIT                                                       0120 1.1.1.4 EQUITIES                                                       0130 1.1.1.5 COMMODITIES                                                       0140 1.1.2 (-) DIVERSIFICATION BENEFITS                                                       0150 1.1.2.1 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 1                                                       0160 1.1.2.2 (-) DIVERSIFICATION BENEFIT CALCULATED USING METHOD 2                                                       0170 1.1.2.2* MEMORANDUM ITEM: PRE-DIVERSIFICATION AVAS REDUCED BY MORE THAN 90% BY DIVERSIFICATION UNDER METHOD 2                                                       0180 1.2 PORTFOLIOS UNDER THE FALL-BACK APPROACH                                                       0190 1.2.1 100% OF NET UNREALISED PROFIT                                                       0200 1.2.2 10% OF NOTIONAL VALUE                                                       0210 1.2.3 25% OF INCEPTION VALUE                                                       C 32.03 - Prudent Valuation: Model Risk AVA (PRUVAL 3) RANK MODEL RISK CATEGORY PRODUCT OBSER-VABILITY MODEL RISK AVA     AGGREGATED AVA CALCULATED UNDER METHOD 2 FAIR-VALUED ASSETS AND LIABILITIES IPV DIFFERENCE (OUTPUT TESTING) IPV COVERAGE (OUTPUT TESTING) FAIR VALUE ADJUSTMENTS DAY1 P&L OF WHICH: USING THE EXPERT BASED APPROACH OF WHICH: AGGRE-GATED USING METHOD 2 FAIR VALUED ASSETS FAIR VALUED LIABILITIES MODEL RISK EARLY TERMINATION 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150                                 C 32.04 - Prudent Valuation: Concentrated Positions AVA (PRUVAL 4) RANK RISK CATEGORY PRODUCT UNDERLYING CONCEN-TRATED POSITION SIZE SIZE MEASURE MARKET VALUE PRUDENT EXIT PERIOD CONCEN-TRATED POSITIONS AVA CONCEN-TRATED POSITION FAIR VALUE ADJUSTMENT IPV DIFFERENCE 0005 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100                       C 33.00 - GENERAL GOVERNMENTS EXPOSURES BY COUNTRY OF THE COUNTERPARTY (GOV) Country:   Direct exposures Memorandum item: credit derivatives sold on general government exposures Exposure value Risk weighted exposure amount On-balance sheet exposures Accumulated impairment   Accumulated negative changes in fair value due to credit risk     Derivatives Off-balance sheet exposures Total gross carrying amount of non-derivative financial assets Total carrying amount of non-derivative financial assets (net of short positions) Non-derivative financial assets by accounting portfolios Short positions         Derivatives with positive fair value Derivatives with negative fair value Nominal amount Provisions Accumulated negative changes in fair value due to credit risk Derivatives with positive fair value - Carrying amount Derivatives with negative fair value - Carrying amount Financial assets held for trading Trading financial assets Non-trading financial assets mandatorily at fair value through profit or loss Financial assets designated at fair value through profit or loss Non-trading non-derivative financial assets measured at fair value through profit or loss Financial assets at fair value through other comprehensive income Non-trading non-derivative financial assets measured at fair value to equity Financial assets at amortised cost Non-trading non-derivative financial assets measured at a cost-based method Other non-trading non-derivative financial assets Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity of which: from non-trading financial assets mandatorily at fair value through profit or loss, financial assets designated at fair value through profit or loss or from non-trading financial assets measured at fair value through profit or loss of which: from financial assets at fair value through other comprehensive income or from non-trading non-derivative financial assets measured at fair value to equity Carrying amount Notional amount Carrying amount Notional amount 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0230 0240 0250 0260 0270 0280 0290 0300 0010 Total exposures                                                             BREAKDOWN OF TOTAL EXPOSURES BY RISK, REGULATORY APPROACH AND EXPOSURE CLASSES: 0020 Exposures under the credit risk framework                                                             0030 Standardised Approach                                                             0040 Central governments                                                             0050 Regional governments or local authorities                                                             0060 Public sector entities                                                             0070 International Organisations                                                             0075 Other general government exposures subject to Standardised Approach                                                             0080 IRB Approach                                                             0090 Central governments                                                             0100 Regional governments or local authorities [Central governments]                                                             0110 Regional governments or local authorities [Institutions]                                                             0120 Public sector entities [Central governments]                                                             0130 Public sector entities [Institutions]                                                             0140 International Organisations [Central governments]                                                             0155 Other general government exposures subject to IRB approach                                                             0160 Exposures under the market risk framework                                                             BREAKDOWN OF TOTAL EXPOSURES BY RESIDUAL MATURITY: 0170 [ 0 - 3M]                                                             0180 [ 3M - 1Y]                                                             0190 [ 1Y - 2Y]                                                             0200 [ 2Y - 3Y]                                                             0210 [3Y - 5Y]                                                             0220 [5Y - 10Y]                                                             0230 [10Y - more]                                                             C 35.01 - NPE LOSS COVERAGE: THE CALCULATION OF DEDUCTIONS FOR NON-PERFORMING EXPOSURES (NPE LC1)   Time passed since exposures classified as non-performing Total <= 1 year > 1 year <= 2 years > 2 years <= 3 years > 3 years <= 4 years > 4 years <= 5 years > 5 years <= 6 years > 6 years <= 7 years > 7 years <= 8 years > 8 years <= 9 years > 9 years 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 Applicable amount of insufficient coverage                       MINIMUM COVERAGE REQUIREMENT 0020 Total minimum coverage requirement                       0030 Unsecured part of NPEs                       0040 Secured part of NPEs                       0050 Exposure value                       0060 Unsecured part of NPEs                       0070 Secured part of NPEs                       AVAILABLE COVERAGE 0080 Total provisions and adjustments or deductions (capped)                       0090 Total provisions and adjustments or deductions (uncapped)                       0100 Specific credit risk adjustments                       0110 Additional valuation adjustments                       0120 Other own funds reductions                       0130 IRB shortfall                       0140 Difference between the purchase price and the amount owed by the debtor                       0150 Amounts written-off by the institution since the exposure was classified as non-performing                       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) CRR (NPE LC2)   Time passed since exposures classified as non-performing Total <= 1 year > 1 year <= 2 years > 2 years <= 3 years > 3 years <= 4 years > 4 years <= 5 years > 5 years <= 6 years > 6 years <= 7 years > 7 years <= 8 years > 8 years <= 9 years > 9 years 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 TOTAL MINIMUM COVERAGE REQUIREMENT                       0020 Unsecured part of NPEs                       0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider                       0040 Part of NPEs secured by other funded or unfunded credit protection                       0050 Part of NPEs guaranteed or insured by an official export credit agency                       0060 EXPOSURE VALUE                       0070 Unsecured part of NPEs                         Factor     0.35 1 1 1 1 1 1 1   0080 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider                         Factor       0.25 0.35 0.55 0.7 0.8 0.85 1   0090 Part of NPEs secured by other funded or unfunded credit protection                         Factor       0.25 0.35 0.55 0.8 1 1 1   0100 Part of NPEs guaranteed or insured by an official export credit agency                         Factor               1 1 1   C 35.03 - NPE LOSS COVERAGE: MINIMUM COVERAGE REQUIREMENTS AND EXPOSURE VALUES OF NON-PERFORMING FORBORNE EXPOSURES THAT FALL UNDER ARTICLE 47C (6) CRR (NPE LC3)   Time passed since exposures classified as non-performing TOTAL <= 1 year > 1 year <= 2 years > 2 years <= 3 years > 3 years <= 4 years > 4 years <= 5 years > 5 years <= 6 years > 6 years <= 7 years > 7 years <= 8 years > 8 years <= 9 years > 9 years 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0010 TOTAL MINIMUM COVERAGE REQUIREMENT                       0020 Unsecured part of NPEs                       0030 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider                       0040 Part of NPEs secured by other funded or unfunded credit protection                       0050 EXPOSURE VALUE                       0060 Unsecured part of NPEs First forbearance measure applied between 1 year and 2 years after classification as non-performing (>1 year; <=2 years)                         Factor   0 0 1 1 1 1 1 1 1   0070 Part of NPEs secured by immovable property or residential loan guaranteed by an eligible protection provider Breakdown by point in time of granting the first forbearance measure                       0080 > 2 and <= 3 years after classification as NPE                         Factor     0 0 0.35 0.55 0.7 0.8 0.85 1   0090 > 3 and <= 4 years after classification as NPE                         Factor       0.25 0.25 0.55 0.7 0.8 0.85 1   0100 > 4 and <= 5 years after classification as NPE                         Factor         0.35 0.35 0.7 0.8 0.85 1   0110 > 5 and <= 6 years after classification as NPE                         Factor           0.55 0.55 0.8 0.85 1   0120 Part of NPEs secured by other funded or unfunded credit protection Breakdown by point in time of granting the first forbearance measure                       0130 > 2 and <= 3 years after classification as NPE                         Factor     0 0 0.35 0.55 0.8 1 1 1   0140 > 3 and <= 4 years after classification as NPE                         Factor       0.25 0.25 0.55 0.8 1 1 1   0150 > 4 and <= 5 years after classification as NPE                         Factor         0.35 0.35 0.8 1 1 1   0160 > 5 and <= 6 years after classification as NPE                         Factor           0.55 0.55 1 1 1 ’